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


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

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