Bank ALM crisis leaves FX hedgers with steeper roll costs

Spreads on EUR/USD forwards jumped more than fourfold in past two weeks

EUR-USD-forwards-spreads-spike

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 trading days, with the biggest jumps coming on the Monday after the collapse of Silicon Valley Bank

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