Bank ALM crisis leaves FX hedgers with steeper roll costs
Spreads on EUR/USD forwards jumped more than fourfold in past two weeks
Asset managers may need deeper pockets than usual to roll their foreign exchange hedges at the end of the first quarter, after stress in the US and European banking sectors filtered through to the market for forwards and swaps.
Spreads on three-month euro/US dollar forward points hit 1.49 pips on March 21, having been at 0.33 pips on March 8 – a more-than-fourfold increase in the space of nine
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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
Weekend staffing looms as 24/7 trading hurdle
Out-of-hours coverage was “not an easy task” for CME’s continuous crypto launch
Europe ‘lagging behind’ US in crypto markets
Mica made Europe first mover, but rapid US adoption leaves the region trailing, market participants say
EU lags UK on commodity position limits – RWE
German energy firm urges EU to follow UK in handing position limit powers to trading venues
Will Kalshi and Polymarket win over prop shops? Don’t bet on it.
A few market-makers – Jump Trading and Susquehanna among them – are dabbling in prediction markets but most are holding off due to patchy liquidity and legal uncertainty
Euronext, LCH back Esma as exchange super-regulator
National oversight hurts Europe, exchange officials say – but some are not ready to accept a single watchdog
FactSet’s Portware expands to tackle complex FX
EMS vendor eyes automation for high-touch FX trades while adding connectivity to new venues
Treasury basis trade loses its allure as returns shrink
Tight spreads and rising funding costs are pushing the cash-futures basis trade out of favour
How vol eruption blew up Goldman’s rates book
Dealers were short payer skew from corporate and hedge fund flows. Then came the Iran war.
