Introduction

Value dates are the dates on which FX trades settle, i.e. the date that the payments of each currency are made. The 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 one business day from the trade date (T+1). Spot dates for CAD crosses (e.g. GBP/CAD) normally take the spot date of the crossed currency pair and are therefore T+2.

Forward trades

It is possible to settle trades on dates other than the spot date, in which case the rate will be adjusted by forward points to compensate for the interest rate differential between the two currencies being traded. In addition to the spot date, there are many standard tenors (periods) on which it is possible to settle an FX trade. These include “1 month”, “tomorrow” (tom) and “6 months”. The post-spot tenors are calculated from the spot date rather than 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 major currency pairs except NZD/USD, global market convention is that value dates roll forward at 5pm New York time. Value dates for NZD/USD roll forward at 7am Auckland time. This means that the local time of the value date roll-over varies throughout the year, depending on daylight savings time conventions, as follows:

With effect from	Daylight Savings Time			Time of value date rollover
	London	New York	Auckland	GMT non-NZD	GMT NZD	London non-NZD	London NZD	NY NZD	Auckland non-NZD
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

Currency holidays

For most T+2 currency pairs, if T+1 is a USD holiday, then this does not normally affect the spot date, but if a non-USD currency in the currency pair has a holiday on T+1, then it will make the spot date become T+3. If USD or either currency of a pair have a holiday on T+2, then the spot date will be T+3. This means, for example, that crosses such as EUR/GBP can never have a spot date on 4th July (although such a date could be quoted as an outright).

USD/TRY spot date

The spot date for USD/TRY in the Turkish interbank market is T+0 (same day) until 3:30pm Istanbul time, following which the spot date becomes T+1. This means the value date rollover time is 3:30pm Istanbul instead of 5pm New York. Reuters Dealing 3000 Spot Matching (D2) supports both T+0 and T+1. However, it is normal for banks to quote their customers a spot date of T+1 with a 5pm NY rollover. For customers, it is therefore similar to USD/CAD, with the exception that for crosses (e.g. EUR/TRY, GBP/TRY etc), the spot date is also T+1.

USD/RUB spot date

USD/RUB is traded interbank as T+0, T+1 and T+2. Reuters Dealing 3000 Spot Matching (D2) supports T+0 and T+1 for USD/RUB. The most popular of the three value dates is T+1, which could therefore be considered as the spot date.

Latin American currencies

USD holidays normally affect the spot date only if T+2 is a USD holiday. If T+1 is a USD holiday, this does not normally prevent T+2 from being the spot date. Certain Latin American currencies (ARS, CLP and MXN) are an exception to this. If T+1 is a USD holiday, then the spot date for the affected currencies will be T+3. For example, if the trade date is a Monday and a USD holiday falls on the Tuesday, then the spot date for EUR/USD will be the Wednesday, but the spot date for USD/MXN will be the Thursday.

Arab currencies

Whereas most countries' currencies cannot settle on a Saturday and Sunday, most Arab currencies cannot settle on a Friday and Saturday. Market convention in the interbank market for Arab currencies is that the spot date for Wednesday's trades is taken to be Monday. For AED, BHD, EGP, KWD, OMR and QAR, the spot date for Thursday's trades is also taken to be Monday, because this still leaves two working days for each currency in the pair (i.e. Friday and Monday for the USD, and Sunday and Monday for the Arab currency). This means that Tuesday is never a spot date in these currencies and can only be priced as a broken date. The exceptions to this rule are SAR and JOD, where the spot date for Thursday's trades is taken to be Tuesday, effectively making a three-day weekend (Friday, Saturday, Sunday) for value date purposes. 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 on the Friday but would pay USD on the Monday.