At a number of points throughout the day (also referred to as cut-off times) the system saves the IR market rates into the database for that date.
The supported cut-off times are as follows:
London 12 am
London 9 am
London 10 am
London 11 am
London 12 pm
London 5 pm
London 1 pm
London 2 pm
London 3 pm
London 4 pm
London 4.15 pm
London 4.30 pm
London 5 pm
London 6 pm
New York 3 pm
New York 4 pm
New York 5 pm
Tokyo 3 pm
Tokyo 4 pm
By default for historical pricing the system uses the market data saved at the cut-off time of London 12 am. However, for your own user you can customize the cut-off time to be used for each currency in historical pricing. This is true both for SD rates and for any rates that you upload to SDX Interest Rates.
That is, for each supported currency you can instruct the system that for any historical date it should use the market rates saved for that date at one of the supported cut-off times other than London 12 am. So for USD you can choose to use the New York 5 pm cut-off time and for JPY you can choose to use the Tokyo 4 pm cut-off time.
You do this via the Settings window > Default Settings tab > Currency tab. For more information on selecting a cut-off time per currency for use in historical pricing see Customizing the Market Rates Cut-off Time per Currency for Historical Pricing.
SD’s market data is available back to 1 January 2005.
If you are using your own rates feed, for any historical trade date that you did not upload rates the system automatically displays the SD rates.