How FX Spot Value Dates Roll Across Currency Pairs
Summary
The document discusses when FX spot value dates roll and whether NZD pairs follow a different schedule. It presents competing explanations: one answer says NZD pairs roll at the Auckland market’s opening while most other pairs use the New York close; another says the standard rollover is the New York close even for NZD pairs, with timing potentially changing when an account’s settlement currency differs from USD. A further answer distinguishes the time a market begins quoting a new value date from a broker or platform’s operational cutoff for same-day settlement.
The discussion shows that “rollover time” can refer to different things: the market’s first prices for a new value date, or a settlement provider’s cutoff. It cites market convention and contract references but does not resolve the disagreement with a single authoritative rule. Actual timing may depend on pair, settlement currency, bank, platform, and local market hours, so traders should verify the convention used for the instrument and venue they trade.
Key ideas
- FX value-date rollover conventions may vary by currency pair and settlement currency.
- Some sources place NZD pair rollover at the Auckland market open, while others use the New York close.
- A market’s first quote for a new value date can differ from a provider’s same-day settlement cutoff.
- Banks, platforms, and settlement arrangements can affect operational cutoff times.
Tags
Full text
# Fx Currency Pairs Roll over dates # Fx Currency Pairs Roll over dates Is NZD/USD the only currency pair with a different value date roll-over time? Where do you see this? The only information I found so far is from http://www.londonfx.co.uk/valdates.html ## Answer by Morc (score 2) https://quant.stackexchange.com/a/41696 I know this is may be very late to the party, but the LondonFX page is correct. Other answers either do not understand the spot FX market or your question. NZD pairs roll at 7AM Auckland as backed by the https://www.nzfma.org/Site/practices_standards/market_conventions.aspx site and the "FX Forward Rate Roll Date Convention" document within it. For any other pair I'm aware of it is 5PM NY. I could not find a page that describes this better than the LondonFX page, not even Wikipedia. Same day value date (T+0 aka ON aka TOD aka overnight) transactions have an intraday cut-off time, which depends on the bank settling the transaction or the platform facilitating the transaction and their opening/operating hours and usually defined in the time zone of the bank/platform. ## Answer by pyCthon (score 0) https://quant.stackexchange.com/a/35002 I think that article you listed is fairly old. The standard practice is to calculate the `value date roll-over` at 5:00pm NY time even for NZD/USD or other non G10 pairs. I can't find a source for holidays, however I think that is exchange/ECN/IB/liquidity provider dependent with most trading 24/5 regardless of holidays. Update: If the settlement currency is not USD, it may be different. AUD based accounts would have a 3:00pm Sydney time value date. https://www.citibank.com.au/Global_docs/pdf/MCG15054-MCA-and-FX-PDS.pdf See: http://www.cmegroup.com/trading/fx/g10/new-zealand-dollar_contract_specifications.html ## Answer by rupweb (score 0) https://quant.stackexchange.com/a/35012 For a price quotation you can make any value date you like. What I mean by that is if the market's open and there's someone there to make a price then that's when the value date rolls. For example, at 7am Wellington time when the NZD market opens that's when the first prices for the new day's value date will be made and thus the NZD value date rolls from then on. I guess the same thing happens for all local markets and sovereign currencies.
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