© London FX Ltd

Introduction

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 most commonly means two business days after the trade date (T+2).

Forward trades

A forward outright is a trade with a value date other than the spot date, whereby the spot 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".

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).

Value date roll-over

For all currency pairs except NZD/USD and USD/SAR, 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. Value dates for USD/SAR roll forward at 12pm Riyadh time. 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
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

If the spot date falls on a holiday of either currency of a pair, then the spot date is pushed out to become the next common business day for both currencies of the pair.

Usually spot dates can never fall on USD holidays, even for non-USD currency pairs. The key reason for this is that all nearly currencies in the interbank forward market are traded primarily against USD, and given that all forward tenors are calculated from the spot date, which is usually the value date of one swap leg, the spot date cannot be a USD holiday. For example, EUR/GBP can never have its spot date or a standard tenor on 4th July (US Independence Day). However, it is possible to settle non-USD currency pairs on USD holidays as broken dates, but the forward points are usually unattractive for the price taker because of the difficulties in calculating forward points in USD component currency pairs for a value date when USD cannot be settled.

An exception to standard tenors not being able to fall on USD holidays is Balkan currencies – now only RSD, but formerly BGN and HRK before these two currencies joined the euro. The EUR/RSD spot date and forward tenors can fall on USD holidays. This exception rule is derived from FX forwards in Balkan currencies RON and RSD (formerly also BGN and HRK) being traded interbank against EUR, as opposed to against USD. Although RON is traded primarily against EUR in the forward market, the spot date and forward tenors for EUR/RON cannot fall on USD holidays.

Spot dates earlier than T+2

For spot date calculation purposes, USD and UAH can be considered to have a T+0 spot date. This means that USD/UAH has a T+0 spot date.

CAD, KZT, PHP, RUB and TRY have a T+1 spot date. Therefore any trades between these currencies, or between these currencies and the above T+0 currencies, have a T+1 spot date, e.g. USD/CAD, USD/TRY, CAD/TRY etc. Note that KZT and PHP can be traded offshore only as NDFs, for which their T+1 spot date convention determines the fixing date.

Where the component currencies 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 CAD (T+1) and GBP (T+2).

Historically USD/TRY had a T+0 spot date, but now has a T+1 spot date with the usual 5pm NY rollover, including in the Turkish interbank market, the same as USD/CAD, although T+0 in USD/TRY remains possible until 12pm Istanbul time.

Holidays on T+1

For most currency pairs with a T+2 spot date, a USD or ILS holiday falling on T+1 does not prevent a T+2 spot date. If any other currency has a holiday on T+1, then it will push a T+2 spot date out to the next common business date after T+2 for both currencies of the pair, i.e. T+3 or later.

The exception to this rule is certain Latin American currencies (ARS, CLP and MXN). If T+1 is a USD holiday, then the spot date for these currencies will be T+3 (or later if T+3 is a holiday). For example, if the trade date is Monday and a USD holiday falls on Tuesday, then the spot date for EUR/USD will be Wednesday, but the spot date for USD/MXN will be Thursday.

Arab currencies

Whereas most countries' currencies cannot settle on a Saturday and Sunday, most Arab currencies cannot settle on a Friday and Saturday. Therefore value dates in relation to the trade date are as follows:

Trade date Today Tomorrow Spot 1 Spot 2
Mon Mon Tue Wed Wed
Tue Tue Wed Thu Thu
Wed Wed Thu Mon Mon
Thu Thu Mon Mon Tue
Fri N/A Mon Tue Tue

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.

Trade date

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.