I got your point. Still the question of what doing with spare EUR with IB remains. I do not see many options there...
this ETF may serve the purpose: http://ch.ishares.com/en/pc/products/IEGE if I got this right it should be like investing in short term 0-1 bonds
just a quick question: do you have to convert EUR at the spot price when you buy the future? Right? Otherwise when the future expire you are "forced" to convert CHF in EUR and you do not have CHF. Alternatively you can roll the position, isn't it?