SA-CCR hits Citi’s FX forwards pricing

Citi headquarters in Canary Wharf — Håkan Dahlström/Flickr

- By Joe Parsons
- @Joe_Parsons416
- 22 Apr 2022

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Citi’s foreign exchange forwards business has been among the hardest hit by new rules measuring counterparty credit risk, with clients of the US bank saying it has widened its bid/offer spreads on short-dated G10 trades because of the new rule.

Four buy-side clients that use Citi for FX forwards and swaps single out the US bank as having noticeably widened out spreads this year as a result of increased regulatory costs brought about by the standardised approach to counterparty credit risk (SA

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