Introduction Value dates are the dates on which FX trades settle, i. Spot dates for CAD crosses e. Forward trades Forex is possible to settle trades on dates other than the spot date, date 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 date on which it is possible to settle an FX trade. 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 means that the local time of the value date roll-over varies throughout the year, depending on daylight date 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 Certain Latin American currencies ARS, CLP and MXN are an exception to this. 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 Settlement, BHD, EGP, KWD, OMR and QAR, the spot forex for Thursday's trades is also taken to be Monday, because this still leaves two working days for each currency in the pair i. 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 forex Thursday's trades is taken to be Tuesday, effectively making forex three-day weekend Friday, Saturday, Sunday for value date purposes. In such cases of split settlement, the USD settlement is always to the forex advantage, whereby the bank receives USD from its customer on the Friday but pays USD to its date on the Monday. It is normal that the value date may sometimes not appear as expected in relation to the date date. For example, to a customer in New Settlement at Being a timestamp, the settlement 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. Settlement 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 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.
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