Quarter-ends add $184bn to FX swap costs, study finds

A new research paper suggests the widening of bid/ask spreads at quarter-end could be generating as much as $184 billion in additional transaction costs within the foreign exchange swaps market.

The paper, “Foreign Exchange Swap Liquidity”, by authors from the University of St Gallen and the Swiss Finance Institute, finds that so-called balance sheet window dressing from a few major banks affects market liquidity conditions. In the euro/US dollar currency pair, for example, there is a 36%