Measuring the impact of the Turn in FX markets

“Turn and face the strange”
David Bowie

In our latest paper we continue our research into measuring the impact of the ‘turn’ within the FX markets. This somewhat strange phenomenon, which manifests itself around key dates throughout the year, is generally caused by supply and demand for funding by large financial institutions, which can create dislocations in the forward curves for certain currencies. In this latest research we empirically measure the impact of the turn around a range of different dates, including year, quarter and month end, but also event days such as NFP, FOMC etc. In summary, we find that the impact is most significant for year and quarter ends, with, for example, an average magnitude at year-end of between 0.6 and 1.5 bps for EURUSD depending on the tenor of the transaction. The work has helped us prioritise where to adjust the forward curve interpolation to better estimate mid for broken dates. To receive a copy of the paper please email us at