When receiving a value date of D from the counterparty for a trade in NZD/USD, is D assumed to be
- date D in Auckland
- date D in New York
- date D in UTC
- date D in some arbitrary time zone
There are lots of online references to market close being 7AM Auckland time for NZD/USD trades, but I cannot find any places that describe the convention for which timezone the trade and value dates (which are just raw dates, with no time or time zone qualification) are specified in. In addition, the FIX type for this field in an Execution Report simply says it is a "local market date"; it's not clear whether this means "the local market for the primary currency" or "the local market of the counterparty".
This matters because, when calculating exposure, you need to be able to determine the UTC 'close of market' time by which the trade must be reconciled. Since Auckland is ~16 hours ahead of New York, it's important to know whether the counterparty's value date is 'date in Auckland' versus 'date somewhere else'.