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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 securitiesaddition to the dedicated _smf and _trades streams. 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 in versions prior to V17 R2.27. Beginning in V17 R2.27, Interest Rate Swap, Total Return Swap, and Inflation-Linked Swap trades can be entered as single rows using the Single Event method (refer to https://eagledocs.atlassian.net/wiki/spaces/GENERICINTER 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/IE/pages/1658978617/Interest+Rate+Swaps+IRS+Best+Practices#Trade-Processing and https://eagledocs.atlassian.net/wiki/spaces/IE/pages/1658978705/Total+Return+Swaps+TRS+Best+Practices#Trade-Processing for additional information).

• Ensure Trade Ticket Number (761) is populated for all multi-leg swap trades because it is required to process cancels and IDLOT closes

  • The same value is copied to Batch Identifier (701)

  • You cannot use Batch Cancel Trade if Trade Ticket Number was null on the original trade because Batch Identifier will be null

  • Trade Ticket Number should be the same across all rows for a particular trade, but unique for each trade

  • This will be copied to Batch Identifier (701)IDLOT closes must be entered with Target Trade Ticket Number (762) = Trade Ticket Number (761) of the open lot to cancel

  • 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: L to cancel long transactions or S to cancel short transactions

    • This is automatically routed to Batch Cancel Trade

    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 = C will result in to price the contract being priced

    • 4590 = P or R will result in price the pay or receive leg ( respectively) being priced

    The messages can use either

  • Either combination of these tag combinations can be used 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