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Easter holidays and FX swaps / overnight funding


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Please be aware that if you are holding T+2 FX positions past 10pm tomorrow night and T+1 pairs past 10pm Wednesday night (all times GMT), you will be charged/credited 5 days’ worth of funding due to the bank holidays on Friday and Monday across most pairs. (Some crosses will settle on the 2nd so clients will be charged/credited 4 days.)

 

Quarter end swap rates look to be slightly higher than what they normally are for a 5 day period over 29th March-3rd April roll. Notably, if you’re short dollars you’ll be paying more, whilst if you’re long dollars you’ll be receiving more. The rationale for the quarter-end movement remains the same  - it is a reflection of the expected demand for dollars around month-, quarter- and year-end and as such it is very flow driven.

 

All things being equal, the spot rate should adjust to reflect this at 10pm as it did over year end. This is, however out of our control. Please note the moves are nowhere near what we saw over year end, but if you have any questions please just add a comment below.

 
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