Banks tout early roll dates for FX swaps as quarter-end looms

Asset managers open to more flexible hedging strategies since March turbulence, say dealers

second-quarter crunch?

As the end of the first quarter approached amid the dollar funding squeeze driven by Covid-19, some asset managers rolled their FX swaps before month-end to avoid a price jump. As the end of the second quarter draws near, dealers say they’re having conversations with clients about repeating the strategy.

“We are starting to see a small widening of the FX basis as we approach quarter-end with implied yields rising, which may prompt more people to start looking at it,” says Tim Jones, head of

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a 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 individual account here: