Fixing Details Window

Certain instruments include fixings, which are a series of dates on which the underlying is measured to give a fixing rate.

Fixing rates are needed in a number of different situations. For example, CM fixings are needed in Asian-based options and commodity swaps (and swap strips) where the final settlement amounts are based on an average daily rate of the underlying commodity traded over the life of the instrument. In addition, the FX spot rate is needed if the selected settlement currency is different from the asset's default base currency or, for a gas formula swap or gas formula swap strip, if the selected gas formula contains an FX Rate or an FX Rate Average parameter.

For any instrument with fixings (both CM and FX fixings as relevant) you can see this information in the Fixing Details window. The Fixings Details window provides information on the current instrument's fixings. This includes the fixing dates, weights, and fixing rates (in the asset's base currency), and, if relevant, the FX spot rates, and the fixing rates in the selected settlement currency (if this is different from the asset's default base currency).

Accessing the Fixing Details window For most instruments this window is accessed by clicking the Fixing Details button in the pricing page. However, for a gas formula swap it is accessed by first clicking the Parameter Rates & Fixings button and then clicking the Fixings link next to the parameter for which you want to see the fixings information. For a gas formula swap strip you access it by clicking the Settlement Dates button in the pricing page, then the Parameter Rates & Fixings link next to the relevant swap in the Expiry Dates & Rates window and then clicking the Fixings link next to the parameter for which you want to see the fixings information.

Why is the fixings information necessary? When two parties enter into such a deal they agree between themselves which contributor will be used for the following:

The asset's fixing rates

The FX spot rate

For most CM instruments this is only necessary if you price the instrument using a currency other than the selected asset's default currency. However, for a gas formula swap or gas formula swap strip it is necessary if the gas formula includes an FX Rate or an FX Rate Average parameter.

These facts are then entered into the actual term sheet sent as a confirmation of the deal. By defining the official contributor, there can then be no arguments as to what the exact rate was on any given day.

What can you do in the Fixing Details window?

In the Fixing Details window you can:

See all the instrument's fixing dates.

By default, these dates are set in accordance with both the fixing frequency and the first and last fixing dates. For a forward and underlying forwards in a forward strip the fixing date is set to the exchange date.

You can then edit the fixings if required.

For each historical fixing date, view the actual fixing rate and, if relevant, the FX spot rate fixed on that date.

You can then edit these fixings if required and recalculate the floating rate(s).

When pricing using a currency other than the default currency for the selected commodity, the Fixing Details window lists the actual fixing rate in the default currency (in the Base Rates column) and in the selected currency (in the Rates column), and displays the historical spot rate between the default currency and the selected currency on that date (in the FX Rates column).

If you change the fixings:

For an Asian/Asian strategy/Asian strip/Asian strip strategy, the underlying swap rate for the option is automatically recalculated.

For a swap, to see the new swap rate you need to recalculate the swap by clicking the Calculate button in the pricing page.

Edit the displayed fixings.

You can do this in either of the following two ways:

Manually

Via Excel by first exporting the fixings to Excel, editing the data there, and then importing the edited data back into the Fixing Details window. By facilitating the copying and pasting of data to and from an Excel spreadsheet, users can easily price their trades using their own fixing data and so avoid operational errors.

However, whether you edit the fixings manually or via Excel, you must then click the Accept button to save the changes into the instrument in the pricing window.

Change the fixing rates source on a per-instrument basis.

By default, for all assets the SD rates are used. However:

If you are pricing an OTC energy asset (e.g., Jet Fuel USGC or Gasoil FOB Singapore) and you have access to your own fixing rates feed besides the SD feed, then you can change the fixing rates contributor to use for the current instrument.

If you are pricing one of the four precious metal assets, then for:

Gold (XAU) and Silver (XAG) SD also provides both the LBMA AM and the LBMA PM fixing rates. LBMA is the London Bullion Market Association, the official fixing provider for precious metals.

Platinum (XPT) and Palladium (XPD) SD also provides both the LPPM AM and the LPPM PM fixing rates. LPPM is the London Platinum and Palladium Market.

That is, although by default for each precious metal underlying the SD fixing rates are still used, you can now choose to use one of the LBMA or the LPPM fixing rates (as relevant) instead.

In both cases you do this in the Fixings Dates window using the Fixings Source dropdown list. For all other assets, the SD rates are used by default and this dropdown list is not displayed.

Alternatively, you can change the default fixings rates source across the system in the Customize window > Default Settings tab > Fixings Source dropdown list. However, if you do that, note that the selected source is only used for relevant assets; for all other assets the system still uses the SD fixing rates. So, for example, if you set the system default to LBMA_AM, when you price an instrument on an asset other than XAU or XAG, the system will still use SD's fixing rates.

Change the FX spot source on a per-instrument basis.

By default, for all FX spots the SD rates are used. However, if you changed the instrument's base currency to a currency other than the asset's default base currency or the instrument is a gas formula swap or gas formula swap strip whose gas formula includes an FX Rate or an FX Rate Average parameter, then you can change the FX spot source for the current instrument. You do this in the Fixings Dates window, using the FX Spot Source dropdown list.

Currently, in addition to the SD rates source two other FX spot sources are available for all users, as follows: ECB37 and ECB Average Rate. To add other FX spot sources, contact [email protected].

This dropdown list is only displayed if you have changed the base currency to a different currency.

See the actual underlying contract used for each fixing in the Underlying Future column.

Change the fixing frequency.

This will create a new list of fixing dates.

Delete existing fixing dates.

You do this by checking the relevant fixing dates and then clicking the Delete button.

Add new fixing dates.

You can add a new fixing date to the end of the list using the Insert button, and a new historical fixing date to the start of the list using the Add Previous Fixings button.

See the underlying future for each fixing date.

Export the Data in the Fixings Details Window to an Excel spreadsheet

From the Fixing Details window you can export the supported data from the Fixing Details window to an Excel spreadsheet. For each fixing this includes the fixing date, weight, rate in the base currency and, if relevant, the FX spot rate between the base currency and the selected settlement currency.

You do this using the Export button. Once you have exported the data into the Excel spreadsheet you can then edit it before pasting it back into the Fixings Details window.

Pasting Data into the Fixings Details Window

In the Fixings Details Window, you can paste the following fixings data from Excel—the fixing date, weight, rate in the base currency and, if relevant, the FX spot rate between the base currency and the selected settlement currency.

You do this by first selecting the data in the Excel spreadsheet and then clicking the Paste button in the Fixing Details window.

It is important to note the following:

In order to paste data into the Fixing Details window the data must be in the supported format. The supported format can be seen in the Excel spreadsheet created by SDX Commodities & Energy when you export the fixings data from the Fixings Details window to Excel using the Export button.

When you paste information into the Fixings Details window from the Excel spreadsheet, the system overwrites any fixings data that is already in the window.

Once you have imported fixings data into the Fixings Details window you must then click the Accept button to ensure that the changes are saved into the pricing page as well.