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Value dates are the dates on which FX trades settle, i.e. the date that the payments in each currency are made. Value dates for most FX trades are "spot", which generally means two business days from the trade date (T+2). The most notable exception to this rule is USD/CAD, which has a spot date of one business day after the trade date (T+1). Where the component currency pairs of a cross currency pair have different spot dates, then the later spot date applies; for example the spot date for GBP/CAD is T+2 because this is the later spot date of USD/CAD (T+1) and GBP/USD (T+2).
It is possible to settle trades on dates other than the spot date, in which case the rate is adjusted by forward points account for the interest rate differential between the two currencies being traded. In addition to the spot date, there are many standard tenors on which it is possible to settle an FX trade. Examples are TOM (tomorrow), 1W (1 week), 1M (1 month), 6M (6 months), 1Y (1 year) and 18M (18 months). Post-spot tenors are calculated from the spot date, not from the trade date. It is also possible to settle on any value date between any standard tenor; this is known as a "broken date".
Value date roll-over
For all currency pairs except NZD/USD, global market convention is that value dates roll forward at 5pm New York time from Monday to Thursday and on Saturday. Value dates for NZD/USD instead roll forward at 7am Auckland time from Monday to Friday. This means that the local time of the value date roll-over varies throughout the year, depending on the currency pair, each counterparty's location and daylight savings time conventions, as follows:
|With effect from||Daylight Savings Time||Time of value date roll-over|
|GMT NZD||London non-NZD||London NZD||NY
|2nd Sunday in March||GMT||EDT||NZDT||21:00||18:00||21:00||18:00||14:00||10:00|
|Last Sunday in March||BST||EDT||NZDT||21:00||18:00||22:00||19:00||14:00||10:00|
|1st Sunday in April||BST||EDT||NZST||21:00||19:00||22:00||20:00||15:00||09:00|
|Last Sunday in September||BST||EDT||NZDT||21:00||18:00||22:00||19:00||14:00||10:00|
|Last Sunday in October||GMT||EDT||NZDT||21:00||18:00||21:00||18:00||14:00||10:00|
|1st Sunday in November||GMT||EST||NZDT||22:00||18:00||22:00||18:00||13:00||11:00|
|Trade date||Today||Tomorrow||Spot 1||Spot 2|
Some banks, particularly Arab banks when trading with their customers,
use split settlement for USD/Arab currency pairs, with USD settling on
the Friday or Monday, and the Arab currency settling on the Sunday. In
such cases of split settlement, the USD payment is always to the bank's
advantage, whereby the bank receives USD from its customer on the Friday
but pays USD to its customer on the Monday.
Some Balkan currencies, when they are traded against EUR, are an exception to the rule preventing spot dates and forward tenors on USD holidays. The spot date for EUR/BGN, EUR/HRK and EUR/RSD can fall on a USD holiday. This rule is derived from FX forwards in Balkan currencies, RON, BGN, HRK and RSD, being traded interbank against EUR, as opposed to against USD. The spot date and forward tenors for EUR/RON cannot fall on USD holidays.
NDFs (non-deliverable forwards)
NDFs are similar to forward outrights except that the cashflows are not settled (delivered) and instead P&L (profit and loss) is paid by one counterparty to the other depending on the difference in the market rate between the trade time and the fixing date. The fixing date is calculated backwards from the value date (settlement date) using the same rules as for calculating the spot date. For example, if the value date is a Thursday and the currency pair has a T+1 spot date, then the fixing date will be the Wednesday. The most common value date for NDFs, particularly in the interbank market, is 1M (one month).
The trade date/time is a timestamp to record when a trade was executed. It is customary to store the trade date/time in GMT/UTC in a database, and for display purposes either to suffix it with "GMT" or "UTC", or otherwise to translate it to a user's local time zone. It is normal that the value date may sometimes not appear as expected in relation to the trade date. For example, to a customer in New York at 22:30 GMT, the spot date for EUR/USD appears as T+3; likewise to a customer in New Zealand at 20:30 GMT, the spot date for EUR/USD appears as T+1. Being a timestamp, the trade date does not change at the time of the value date roll-over.
Some systems include an additional trade date field to indicate the effective trade date for value date calculation purposes, i.e. in order to maintain a constant relationship, e.g. T+2, between trade date and value date. This additional field should not incorporate a time, only a date, and is not normally displayed to price takers.
Sources of holiday data
There are many vendors of holiday data for calculating value dates. On almost every FX forward trader's desk in banks around the world, paper holiday calendars supplied by Copp Clark can be seen. Their data is also available in electronic format at GoodBusinessDay.com and given that the electronic version reflects the paper version that is authoritatively used by interbank traders, it is the most reliable electronic source to use in FX trading systems for value date calculations.
Observance of market convention
It is very common for client-facing systems, including the largest multi-dealer platforms and tier one banks' single-dealer platforms, to fail to implement many of the above market conventions correctly. The most reliable way to verify market convention is for a bank's FX trader to ask a voice broker who specialises in the currency or region in question; voice brokers have a vested interest to ensure that all their price-makers and price-takers trade with each other on the same value dates for both spot and forward tenors.