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Quantum Ideas Portal
Welcome to the FIS Treasury and Risk Manager - Quantum Edition Aha! Ideas Portal.

By visiting this portal, you will be able to contribute towards the evolution of the Quantum solution through interactions with other Quantum users, FIS trusted partners and FIS staff from around the world. Each Portal User receives 5 votes. Each user is allowed 1 vote per idea. Votes are reset when an idea is in a final state i.e. Shipped (delivered in the product).

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Status Future consideration
Created by Chris Hitch
Created on Feb 9, 2022

NDF Fixing Date business days should refer to the non-deliverable currency

Fixing date Should use holiday calendar based on the Non Deliverable Currency only

Details of the issue: In the example attached you can see a standard NDF deal, USD/IDR. With IDR being the Non-Deliverable currency.
The instrument setup for the NDF Standard instrument has the fixing date -2BD before the value date, therefore since the valued date is the 15^th^ Nov (Monday), ISAG was expecting the Fixing date to be 11^th^ Nov (Thurs).
Issue: 11^th^ NOV is a holiday for USD so the system flags it as NBD even if it is not an holiday for IDR

CHANGE REQUEST: Business days for the fixing date should always refer to the NON-DELIVERABLE CURRENCY (IDR) and NOT the DELIVERABLE CCY (USD). This is the correct market standard according to IKEA.

AS-IS: Currently Quantum is using the DELIVERABLE CCY (USD) to define the BD for Fixing (and this is also stated in the Help file)

https://jira.fis.dev/browse/AQT-66043

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