Rolling over a position to a new Value Date results in an adjustment to the opening price (up or down).
The rollover is made up of two components: the Tom/Next swap points (Forward Price), and the financing of unrealised profit/loss (Financing Interest).
1. Tom/Next swap points (Forward Price)
The swap points used are calculated using market swap prices from Tier-1 banks, plus/minus a mark-up corresponding to +/- 0.75% (classic clients) or +/-0.45% (platinum/VIP clients) 1 of the Tom/Next interest swap rates. The final rate is used to adjust the opening price of the position2.
2. Financing of unrealised profit/loss (Financing Interest)
Any unrealised profit/loss on positions that are rolled from one day to the next are subject to an interest credit or debit. The unrealised profit/loss is calculated as the difference between the opening price of a position (possibly corrected for previous Tom/Next rollovers) and the Spot price at the time that the rollover is performed.
The rate is calculated based on the daily market overnight interest rates plus/minus a mark-up corresponding to +/-2.50% (classic clients) or +/- 2.00% (platinum/VIP clients). The final rate is used to adjust the opening price of the position2.
1 An additional +/- 0.30% mark-up is applied to Mexican Peso (MXN), Russian Ruble (RUB), Turkish Lira (TRY) and South African Rand (ZAR) currency crosses.
2 Applicable to the default rollover methodology.