How rollover is calculated for Currency Conversion Fees

Direct answer

Rollover for Currency Conversion Fees is typically calculated by converting an interest-rate differential into a cash amount, then adjusting it for the provider’s swap convention (for example, single-swap vs triple-swap) and any method used to quote or apply rates. Because the inputs can be updated by the provider and the market, you can’t assume one fixed number will repeat across time.

Mechanism or definition

Rollover (also called “swap”) is the cost or credit applied when a position is held overnight rather than closed at the same time. For many currency positions, the economic driver is the interest-rate differential between the two currencies involved.

In plain terms, a common calculation workflow looks like this:

1. Identify the currency pair direction (which currency you effectively fund, and which you effectively receive).
2. Compute an interest-rate differential: roughly, the interest on one currency minus the interest on the other.
3. Convert the differential into a daily cash amount using assumptions such as notional size, day-count convention, and whether the quoted figure is “per lot,” “per unit,” or “per day.”
4. Apply the provider’s convention for the number of rollover days charged. This is where triple-swap often appears: some rollover days include an extra day’s amount to account for the weekend/non-business-day gap.
5. Apply any provider adjustments used in the quote. Even if two providers reference the same underlying benchmark rates, they may differ in how they convert them to a fee/credit.

A key idea is that the rollover number you see is often not “just the raw benchmark differential.” It can be the result of a quoted swap rate (or a derived value) plus internal adjustments.

Evidence or example

Assume a hypothetical currency position that is held overnight. You want to verify how a rollover charge could be produced without relying on live prices.

Example approach (illustrative assumptions only):

• Let the trade notional be N.
• Let the provider’s methodology represent a daily swap rate (already expressed in a form that maps to currency units).
• Let the rollover convention multiplier be M, where M=1 for a normal overnight rollover day and M=3 for a triple-swap day.

Then a simplified structure is:

• Rollover amount ≈ N × (provider daily swap component) × M

What you would check independently:

• Whether the rollover shown by the provider is single-day or includes weekend adjustment.
• Whether the rollover is credited or charged for your direction.
• Whether the provider documentation indicates a day-count method and when rollover is applied relative to market time.

Limitations and risks

1. Provider methodology can change. Even with the same basic concept, the exact conversion from rate differential to cash can differ and may be updated.
2. Timing matters. Execution/holding time and cut-off moments can change which rollover day convention applies.
3. Triple-swap is a convention, not a guarantee of a fixed formula. The multiplier can vary by provider, instrument, and calendar rules.
4. Edge cases can break intuition. For example, different instruments or contract types may use different quoting conventions, and historical relationships between rates and swap charges do not ensure future outcomes.

Verification or next question

To verify rollover for Currency Conversion Fees in a self-contained way, look for three items in the provider’s own published fee/swap documentation:

• The definition of rollover/swap for the relevant instrument
• The day-count / calculation convention (including what triggers triple-swap)
• The inputs or mapping between interest-rate differentials and the applied fee/credit

If you want, the next question to answer is: What day-count and triple-swap rule does the provider apply to your specific currency conversion fees, and how does that rule map to your holding times?