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Clarification of Value Dates

Thursday, November 09, 2017

10 and 13 November 2017.

Saturday 11 November 2017 is Veterans Day in the United States. This would normally make Friday 10 November 2017 a Public Holiday in the US and merit the Value Date for Trades setup on Wednesday 8 November 2017 to be Monday 13 November 2017 (the Value Date currently published on the LBMA Website) and the earliest point at which US Dollar transactions can clear. Information currently available on the Federal Reserve website indicates that Banks and Branches will be open as normal on Friday 10 November and this has given rise to some uncertainty surrounding the value date to be applied.

The OTC Guide covers Value Dates and states: “Delivery of currency and metal is effected on the ‘spot date’ for the first leg of the swap/forward transaction. Excluding public holidays, it means that a trade entered into on a Monday will settle on a Wednesday and a trade entered into on a Friday will not settle until the following Tuesday. Forward transactions will be quoted, unless specified to the contrary, from the spot date to the requested date. While there must be two good London business days between trade date and spot, if a US holiday falls between the trade date and what would otherwise be the good spot date from the London holiday schedule, the US holiday is generally ignored. It is worth noting though that metal will not settle on US holidays. Sometimes it can be the case that certain institutions will prefer to have two clear business days in each of London and New York to ensure that there is sufficient time for both currency and metal to settle. Therefore, it is worth clarifying with the quoting institution to ensure that any possibility of confusion is minimised.”

Any guidance issued to the Market in respect of the current uncertainty must recognise that fact some trades will already have value dates fixed and that others may be awaiting clarification of the value date situation. In order to minimise the impact upon the market and its supporting systems, the market should adopt the flexibility offered within the OTC Guide. Thus, for the weekend of 10-13 November 2017, the Value Dates of either 10 November 2017 or 13 November 2017 are considered acceptable.

Any questions please contact myself or Simon Rostron