The impact of SA-CCR on FX Swap Trading

US banks adopted the standardized approach for counterparty credit risk (SA-CCR) mandates on January 1, 2022. We saw a divergence of normalized spread for short-term swaps with less than 1-year tenor between the US banks and their European counterparts beginning January 2022. The normalized spread for US banks was 0.1 bps (0.2 bps in bid-ask spread) wider than their European peers and this is may be driven by the stringent regulatory capital requirements of SA-CCR.

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