Overnight FX Swaps on a USD Holiday
Summary
The note explains why an overnight FX swap quote can appear when the United States is observing a holiday but the other currency’s market is open. It says Bloomberg generic prices are indicative composites rather than executable quotes, and interprets overnight, tomorrow-next, and spot tenors using their standard settlement logic.
The key distinction is that tomorrow-next’s next date is the first business day under all relevant calendars. Before a Federal Reserve holiday, that tenor is undefined and there is no tomorrow-next funding, while an overnight quote may still be shown if the relevant calendars permit trading. The note offers a convention-level explanation based on an example, but gives no detailed calendar rules for particular currency pairs or settlement situations.
Key ideas
- Bloomberg generic FX swap quotes are indicative and may blend multiple market quotes.
- An overnight quote can appear when one currency market is open despite a holiday in the other currency.
- Tomorrow-next advances to the next business day across all relevant calendars.
- Tomorrow-next is undefined on the day before a Federal Reserve holiday, so there is no funding for that tenor.
Tags
Full text
# FX-swap market convention question for o/n # FX-swap market convention question for o/n Can someone enlighten me regarding the market convention for quoting an overnight fx swap where one leg is USD and today is a USD-holiday (but not a holiday in the other currency)? An example is attached below from bbg where today = 24/11 (=thanksgiving holiday in the US). It seems there is a quote for an o/n fx swap from 24/11 to 25/11 and this I find a bit odd. ## Answer by AKdemy (score 3) https://quant.stackexchange.com/a/73892 Firstly, whenever looking at Bloomberg FRD you need to have the following in mind: - Prices are only indicative (not executable). - BGN is Bloomberg generic, a blend of existing quotes that are filtered and combined by an algo (L stands for London and only matters historically for the close time). Having a quote for ON is no different from having a quote in any other tenor or spot. If there is a proper holiday in all relevant calendars, you will not have quotes (same as a weekend). Since you have quotes on that day, you also have ON quotes. ON, TN and Spot follow the standard logic in your screenshot (Spot is simply T+2, TN is Friday to Monday/Next day and ON is Thursday to Friday). TN (tomorrow next) is different. Next refers to the following business day (the first day that is neither a weekend nor a holiday in ANY respected calendar), which for a two-day settlement currency is almost always the same as spot. However, it is undefined on the day before a Fed holiday and there is no TN funding to do. You can look at this answer to see the relevant sections on the help page of FRD discussing this special special rule for US holidays.
Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.