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 homepage.
Rollover Methodology for Saxo retail clients
Normal Forward (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
Historic Swap points
To provide full transparency to clients, Saxo publishes the Historic 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 > 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)
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