Multi-leg swap (Interest Rate, Total Return, and Currency) security master files (SMFs) and trades can be loaded through the standard _all streams in Message Center (MC) in V17 R2.7 and above. In releases prior to V17 R2.7, SMFs must be loaded through the _smf streams because the _all streams lacked Split Rule logic required for multi-row securities. SMFs must be loaded prior to trades (trades do not spawn SMFs) and both must be sent as three-row files (contract, pay leg, receive leg). Refer to Supported Generic Interfaces V17 for more information. Additional details about multi-leg swaps are available in Data Table for SMF Multi Leg Swaps, Contract Open Guidelines for Trades, and Contract Close Guidelines for Trades.
Ensure Trade Ticket Number (761) is populated for all multi-leg swap trades because it is required to process cancels and IDLOT closes
It should be the same across all rows for a particular trade, but unique for each trade
This will be copied to Batch Identifier (701)
Multi-leg swap cancels can be entered through Message Center as a single row with Target Trade Ticket Number (762) = Trade Ticket Number (761) of the transaction to be cancelled
Set Long/Short Indicator (15) based on the contract-level:
Lto cancel long transactions orSto cancel short transactionsThis is automatically routed to Batch Cancel Trades
IDLOT closes must be entered with Target Trade Ticket Number (762) = Trade Ticket Number (761) of the open lot to cancel
Multi-leg swap prices and other reference data, such as variable rates, can also be loaded via default streams
To accomplish this, tag 4590 (Swap Type/Component) must be included in the message
4590 =
Cwill result in the contract being priced4590 =
PorRwill result in the pay or receive leg (respectively) being priced
The messages can use either of these tag combinations for security resolution:
14 (Primary Asset ID) and 1432 (Primary Asset ID Type)
1233 (Xreference ID) and 1234 (Xreference ID Type)
When loading variable rates, 961 (Issue Name) must be included as well