Looking at the market data for USD/CHF on investing.com and can't get my head around the difference between the forward and futures rates for this pair.

USD/CHF spot rate is 0.9898

MAR23 Futures contract trading at 1.035 while USDCHF5M Forward is at -157 from spot (0.9741)

Trying to calculate FW rate manually using LIBOR rates, yield numbers closer to the futures contract.

What am I missing here? And how appropriate is to use LIBOR rates for Forward calculation?


1 Answer 1


A buy of the USD/CHF Spot represents a sell of the CHF. A buy of the Swiss Franc March Futures represents a buy of the CHF.

The reciprocal of the Swiss Franc March Futures represents a sell of the CHF. The futures reciprocal of 0.9662 versus the spot of 0.9898, represents the dollar benefiting from the difference in what the dollar receives in interest and what the franc receives in interest and that fundamental across the time period running to March. The reciprocal of the March Futures will approach the spot price as the March future nears expiration.

  • This makes sense now. Given the dollar interest rate higher than franc's, shouldn't the futures reciprocal be above spot? Does this mean the general expectation of dollars fundamental is worse? Oct 7, 2022 at 0:05
  • A seller of the Swiss Franc March Futures wants the given futures price to go down or wants the reciprocal of the futures price to go up. But the reciprocal of the futures price shows the discount that the position gets relative to the spot pricing. The discount allows for the net interest that is due to the dollar position between now and March
    – S Spring
    Oct 7, 2022 at 1:34
  • @Vitaly Samara, covered interest parity is a no arbitrage argument and it indeed suggest that the higher interest rate currency should depreciate.
    – AKdemy
    Jan 13 at 7:26

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