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Triple swap Wednesday

The convention of charging or crediting three days of financing at the Wednesday rollover, because that roll carries the value date over the weekend.

A Wednesday trade settles Friday under spot-date rules. Rolling it one business day makes the new value date Monday, three calendar days later. Interest accrues on calendar days, so the Wednesday roll carries three days of it.

On pairs whose currencies have different holiday calendars the triple can land on a different day, and a public holiday can produce a four-day roll. Brokers publish their own schedule; assume nothing.

Example: a short position on a pair costing $6 per night accrues $6 Monday, $6 Tuesday, $18 Wednesday, $6 Thursday. Holding through Wednesday for a single extra day costs three times what a Tuesday hold would.

Related: rollover, swap-rate, spot-date, carry-trade

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