FX swaps to avoid year-end basis blowout, banks say

Earlier rollovers likely to ensure no repeat of previous cross-currency volatility

FX swaps to avoid year-end basis blowout

Bankers are confident that as the year-end nears, financial markets won’t experience the turbulence of previous fourth quarters when the cross-currency basis widened and repo rates spiked amid a US dollar funding squeeze.

The market distortion has historically occurred when banks reduced balance sheet during the final quarter to achieve lower regulatory capital, but treasurers and investors have positioned themselves better this year, participants say.

“My expectation is that volatility stays

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: