Various hand-crafted features representations of bio-signals rely primarily on the amplitude or power of the signal in specific frequency bands. The phase component is often discarded as it is more sample specific, and thus more sensitive to noise, than the amplitude. However, in general, the phase component also carries information relevant to the underlying biological processes. In fact, in this paper we show the benefits of learning the coupling of both phase and amplitude components of a bio-signal. We do so by introducing a novel self-supervised learning task, which we call Phase-Swap, that detects if bio-signals have been obtained by merging the amplitude and phase from different sources. We show in our evaluation that neural networks trained on this task generalize better across subjects and recording sessions than their fully supervised counterpart.