The Implicit Cost of Algo forward rolls

In the newest mini paper to our BestX Empirical Statistics of FX Algorithm Series, we highlight the hidden costs associated with Algo forward roll. The well-recognized premium attached to the Algo forward roll stems from its lack of competitiveness compared to booking a competitive swap elsewhere. This, however, constitutes a balancing act between operational/accounting costs and spread costs. The purpose of this paper is to numerically represent this difference, enabling users to reevaluate the situation and make well-informed decisions.

Please email contact@bestx.co.uk if you are a BestX client and would like to receive a copy of the paper, which is also hosted within our FAQ section of the UI.