The triple swap day

One day a week, a position that has been carrying a small nightly financing entry is charged or credited roughly three times the usual amount. Nothing about the position changed, no rate moved, and no additional charge was introduced. The entry is larger because the rollover on that day advances the position's value date across a weekend, and financing is settled by value date rather than by calendar night.

Value dates, not calendar nights 

The spot currency market settles two business days after a trade is agreed. A trade agreed on a Monday settles on Wednesday, one agreed on Tuesday settles on Thursday, and so on. That settlement day is the value date, and it is the date the money would actually move if the position were delivered rather than rolled. A CFD is never delivered, but its financing inherits the convention of the market it references, because the money being financed is money that would otherwise have to be found on that date.

Each daily rollover advances the value date by one business day. Business days exclude weekends, so the rollover that would advance a value date onto a Saturday advances it to the following Monday instead, covering three calendar days in one step. Financing is charged for the number of calendar days the value date moves, which is why that one rollover carries three nights and every other rollover in the week carries one.

Counting backwards from the settlement rule places the event on Wednesday for spot currency. A position rolled on Wednesday moves its value date from Friday to Monday, three calendar days, so the Wednesday rollover is the one that carries the weekend. Rolling on Thursday moves the value date from Monday to Tuesday, one day. The market did not choose Wednesday for any reason connected to trading. It falls out of a two day settlement cycle and a five day week.

What the entry looks like 

The multiplication is applied to whatever the position's ordinary one night figure is, and the sign is unchanged. A position that is credited nightly is credited three times on that rollover, and a position that is debited nightly is debited three times. The convention is not a penalty and it does not fall on one side only.

The total is the useful line. Seven calendar nights were financed across five rollovers, so the week costs what seven nights cost. Nothing is added and nothing is skipped. A reader who counts only the ordinary entries will underestimate a week's financing by two nights, and over a quarter that is a material amount on a large position.

Where the day differs by instrument 

Wednesday is the spot currency convention, and it is not universal. Instruments whose underlying settles on a different cycle carry the weekend on a different day, and some equity and index contracts are financed on a plain calendar count that charges Friday for three nights instead. Metals traded on the spot convention usually follow the currency market, while contracts written on futures may carry no interest financing at all and adjust for the futures curve instead.

The day is published per instrument in the contract specifications alongside the rates themselves, and it is the one detail of the mechanism that cannot be inferred from first principles. Reading the specification is the only reliable way to know which rollover on a given instrument carries the weekend.

• Spot currency pairs conventionally carry the weekend on the Wednesday rollover, from a two business day settlement cycle.
• Some share and index contracts are financed on calendar days and carry three nights on the Friday rollover instead.
• Public holidays in either currency's settlement centre extend the value date further, so a rollover into a holiday period can carry more than three nights.
• Futures based contracts adjust for the shape of the futures curve rather than for an interest rate, so the convention does not apply to them in the same form.

Holidays and longer carries 

The three night convention is a special case of a general rule rather than a fixed weekly event. The rule is that a rollover finances every calendar day the value date advances by, and a weekend is simply the most frequent reason it advances by more than one. A public holiday in the settlement centre of either currency in a pair removes another business day, and a rollover that crosses both a holiday and a weekend can carry four nights or more.

Because the holidays that matter are those of the settlement centres rather than those of the trader's own location, the affected rollovers are not obvious from a local calendar. Firms publish the adjusted schedule in advance for exactly this reason, usually as a notice covering the period around major national holidays in the relevant financial centres.