US banks eye collateralisation to tackle SA-CCR costs

US banks and asset managers are increasingly in talks to collateralise their deliverable foreign exchange forward and swap positions, in a bid to reduce the trading costs stemming from new counterparty credit risk capital rules.

Deliverable FX swaps and forwards were carved out of the margining requirements for non-cleared derivatives that have been introduced in waves for other instruments over the past seven years. However, the introduction of the standardised approach to counterparty credit