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SWAP and FORWARD Security Resolution

A SWAP record is an SMF record with processingSecurityType (tag3931) starting with "SW".

A FORWARD record is an SMF record with processingSecurityType (tag3931) "FWXXXX".

• In the case where the incoming file for SWAP or FORWARD has <assetResolutionOption>element is set to MATCH_ALL or xref identifier type (CUSIP, ISIN etc.), the security will be resolved by xref identifiers instead of resolving by primary asset id/type and swap type (for swaps). The specified xref identifiers, which are configured to be used in security resolution by <assetResolutionOption>, should uniquely identify the security.

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• In the case where the incoming file for SWAP or FORWARD has <assetResolutionOption>node is NOT specified, the security will be resolved by common security resolution logic for SWAPs or FORWARDs based on primary asset id/type and swap type (for swaps).

In order to provide compatibility with cases when the swap or forward security was early inserted with primary asset id/type only, but the incoming file updating the record contains assetResolutionOption (e.g., <assetResolutionOption>BCUSIP</assetResolutionOption>), the W_ALWAYS_USE_XREF global parameter for w_config_custom.inc can be used. By default it is enabled (empty value equals "Y"). 

If you disable it ("N"), security resolution will be performed by primary asset id/type and swap type if type (for swaps) if the assetResolutionOption was passed in the incoming file for swap or forward record and the security was not resolved by xrefs.

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<COL TAG="W_NOOVERRIDE_SEC_RES_OPTION" EXPRESSION="'ALLOW_DUPL_XREF'"/>

Case Insensitive

Sometimes you want to force xrefs be loaded in upper case for a record to make them case insensitive. Use the following element in the incoming message:

<assetResolutionOption>CASE_INSENSITIVE</assetResolutionOption

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<assetResolutionOption>SKIP_PRIMARY_ID</assetResolutionOption>

Use Only Security Alias as XREF

When <assetResolutionOption>USE_ONLY_SEC_ALIAS_AS_XREF</assetResolutionOption> is set, only Security Alias will be used as identifier and if resolution cannot find a Security, new Security will be created.

In case of I2I the following option in the RTR for I2I workflow can be added:

 <taskParameter>
    <name>SetAssetResolutionOptionValue</name>
    <dataType>S</dataType>
    <value>USE_ONLY_SEC_ALIAS_AS_XREF</value>
 </taskParameter>

Skip Security Resolution

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genericSMF/assetResolutionOption = 'SKIP' and
genericSMF/UnderlyingModel/assetResolutionOption = 'SKIP'

Use

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Existing Xref

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Only

Enabled by adding 'USE_FIRSTEXIST_ASXREF_MAINONLY' value to genericSMF/assetResolutionOption

<assetResolutionOption>MATCH_ALL,USE_EXIST_XREF_ONLY</assetResolutionOption>

In this mode of Asset Resolution Security Alias is resolved similar to MATCH_ALL logic. The difference is that the load process is not failed, if the new Security Xreference Identifiers are used in Security Resolution logic.

The process is completed with error only if:

• another Security record for specified unique identifier is found,
• specified unique identifier with Xref Id Type that already exists with another value of Xref Id.

Use 1st Xref as Main

Enabled by adding 'USE_FIRST_AS_MAIN' value to genericSMF/assetResolutionOption

MATCH_ALL Set

Example:

<assetResolutionOption>MATCH_ALL,USE_FIRST_AS_MAIN</assetResolutionOption>

Performs the following steps for asset resolution:

1. Security Resolution by 1 the first pair of unique Xreference Security Identifiers. If Security Alias is resolved by 1 by the first pair, step 2 is skipped.
2. If Security Alias is has not been resolved by 1 by the first pair of unique Xreference Identifiers, then Security Resolution uses Xreference pairs 2 – 10 + plus additional options ASSET_CURRENCY, MATURITY_DATE, XREF_EXCHANGE, NRA_TAX_COUNRTY in MATCH_ALL mode (or USE_EXIST_XREF_ONLY mode – Match All without new identifiers).

Use Existing Xref Only

Enabled by adding 'USE_EXIST_XREF_ONLY' value to genericSMF/assetResolutionOption

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MATCH_ALL not Set

Performs the following steps for asset resolution:

1. Security Resolution attempt by the first pair of unique Xreference Security Identifiers (specified in Batting Order) without any additional options (Asset Currency, Xref Exchange, Maturity Date or Nra Tax Country).
2. Security Resolution lookup is called before main resolution with tags 1952 and 1953 only. If Security is resolved by the first Xref pair, main Security Resolution is not started. Value of Security Alias (tag 10), resolved on step 1 is used for subsequent mapping to the stored procedure or panel to load data.
3. If Security Alias has not been resolved on step 1, the main Resolution lookup is started. Security Resolution logic uses Xreference identifiers 2 – 10 specified in Batting Order and all additional Security Resolution options (Asset Currency, Xref Exchange, Maturity Date or Nra Tax Country).

Resolve Primary by Security Alias

Primary Asset Id is required field for GenericSMF load. The client may not have a Primary Asset Id and Type but may have an Security Alias in incoming file.
The asset resolution option RESOLVE_PRIMARY was introduced to enable Primary Asset Id and Type resolution by provided Security Alias. It is supported for Regular, Forward and Swap securities.

Can be used with 'SKIP' asset resolution option or without it.

<assetResolutionOption>MATCH_ALL,USE_EXIST_XREF_ONLY</assetResolutionOption>

In this mode of Asset Resolution Security Alias is resolved similar to MATCH_ALL logic. The difference is that the load process is not failed, if the new Security Xreference Identifiers are used in Security Resolution logic.

The process is completed with error only if:

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<assetResolutionOption>RESOLVE_PRIMARY</assetResolutionOption>

Skipping delisted securities

Once a security becomes delisted the Reuters Internal ID for it adds a carat to identify it’s been de-listed.
For example, the new ID will be ESRX.OQ^L18 as opposed to ESRX.OQ.
This functionality checks if a security delisted. It’s not limited only to REUTERS id and ‘^' sign.
Global parameters what may be used in combination with SKIP_DELISTED_SECURITY is listed here  Advanced Configuration Options
If the parameter is present in resolution options it means that skipping delisted security is enabled.
E.g.: <assetResolutionOption>SKIP_DELISTED_SECURITY,ALLOW_DUPL_XREF,REUTERS,SEDOL,ISIN,CUSIP,CINS</assetResolutionOption>

If one of tokens is passed in one of listed security xreference identifiers - security resolution raises an editcheck.

<assetResolutionOption>SKIP_DELISTED_SECURITY</assetResolutionOption>