PFIXR - Price Fixing Reports
What is
The use of this report is three-fold;
Mainly to report outstanding Price Fixings, especially when a market/prompt is going off-the-board, the other main use is to report the status of hedging per contract. The 3rd application is reconciling transactional data between TRADE/Fixations and TERM links to TRADE/Fixations, especially in price differences (recon 3).
The selections available allow for different sequences, filtering on Contract pricing types, filtering on TRADE and WIP information and what report modes are required.
If the INVOICING selections are applied to the TRADE records then the results can be confusing where the LOTS calculated for the hedge can be less than the number actually hedged; the hedging is actioned at contract family level and invoice marking is per split
F&O Options that are assigned to Price fixing contracts with the relevant 'trade code' will be processed and their delta lots value will be shown as memorandum at the end of the line. These are for evaluation purposes only as their value as hedge lots will only be effective when they are exercised.
The report lists lots, to ascertain this number from a priced TRADE the number of hedge lots required is less straightforward than a Price Fixing TRADE, where the lots are maintained by the user. The PFIXR/TRADE calculation of hedge lots needed is often inconsistent with performance e.g. 10MT contract size and hedge requirement is 25MT so is hedge 2 or 3 lots? To assist in administration/reporting of conditions where the hedge has been fulfilled, the user can tick in TRADE/Pricing page the ‘F&O Hedge Completed’ box.
This will be reported in PFIXR in the column ‘H/C’ (next to Lots Fixed).
a) the market (TCCM) is used to find the conversion factor for weight to lots.
b) use the valuation market and near prompt month
c) if there is no valuation market, use TRADE commodity code to lookup in PHYSCODES for the default terminal market and use near prompt month
d) if none of above available, ZERO lots is shown on the report.
There is a feature (DETAIL report style only) that is useful for companies trading Raw Sugar and the ITAS Entity needs to track their hedges for prospective/actual Polarisation sugar weights. If a TERMCODES/Trade Code is setup with its 'Pol' cell ticked, the detail list will show an estimated number of hedge lots (1 decimal place) for that trades' Polarisation. Sub Totals per Fixing Commodity/Prompt month will provide a guide/control for the ITAS Entity to track their hedge strategy. If the ITAS Entity assigns the hedges direct to the TRADE record, the report wioll show the direct comparison else if the ITAS Entity only trades into a bucket then the checking will need to be manual.
Note: There is a batch mode for the DETAIL report (only). Below is full format
xx:\itas\exec\a\a30 MenuBatch yy DEP /filter=WHERE phys01_contract <> ' '/output=file/filename=PFIXR/psseparate
a) /filter is optional
b) /filename is named as required for view in OPRINT
c) /psseparate included activates PFIXR selection 'Separate P & S' = yes
d) xx: is the ITAS directory where \exec\d resides