FX swap users hope to avoid month-end crunch

Blowout in spreads prompted SSGA and other managers to limit need for hedges on March 31

Photo of pressure gauge
Liquidity concerns prompted State Street Global Advisors to roll swaps positions early

Asset managers have been trying to avoid a liquidity crunch in the foreign exchange swaps market by executing more of their vast hedging programmes ahead of March's month-end roll.

The move is an attempt to ease the burden on dealers that facilitate hundreds of billions of dollars in swaps trades during the days approaching the end of each month. In a sign of scarce liquidity, bid/offer spreads for major swaps currencies blew out more than tenfold from mid-March. They have since narrowed, but

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