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
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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