Rollover Methodology for Saxo retail clients
Year-end ‘turn’ effect in FX swap points
What is Forex rollover?
At Saxo, FX Spot trades do not settle. Instead, open positions held at the end of a trading day (17.00 Eastern Standard Time) are rolled forward to the next available business day (with some exceptions).
In such a case, the opening price gets adjusted.
Intraday FX positions are not subject to rollovers.
The rollover is made up of two components: the Tom/Next swap points (Forward Price) and the financing of unrealised profit/loss (Financing Interest). You can find details about FX Rollover Procedure and examples on our website.
Rollover Methodology for Saxo retail clients
NormalForward (price adjustment to the opening price of a position)
|
Amount |
100,000 |
|
OpenRate |
1.12212923 |
|
SpotNow |
1.05586 |
|
Forward Price |
0.000064 |
|
Financing Interest |
0.00000218 |
|
New Rate |
1.12219541 |
The rollover is applied by:
- Adjusting the opening price of a position to include the Forward Price and Financing Interest components:
- OpenRate + Forward Price + Financing Interest = New Rate
- 1.12212923 + 0.000064 + 0.00000218 = 1.12219541
- No closing rate and no closing position is generated for a swap executed using this method
Historical Swap points
To provide full transparency to clients, Saxo publishes the Historical swap points used for the tom/next rollover on a daily basis.
Forex Rollovers Report
You can view the rollover history on your FX positions by going to the Main menu > Account activity and reports > Account reports > Download reports > Select the Forex rollovers report and choose the account and period and export to either PDF or Excel file.
Year-end ‘turn’ effect in FX swap points
The ‘turn’ effect is a phenomenon that exists in financial markets which are caused by supply and demand for funding over key dates such as year or quarter-end. This can create anomalies in the forward curves for certain currencies, and we are already beginning to see this priced into the year-end swap points that we receive from our liquidity providers.
Swap points are a key component of the FX Value Date Rollover which is used to adjust the opening price of a position[1], and therefore if you hold an FX spot position over year-end you may bear the cost of paying these inflated swap points[2] when compared to normal market conditions.
[1] Applicable to the default rollover methodology
[2] Depending on the currency pair and your positioning (long/short)
Read more: