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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 V2017 R2.7 and above. In releases prior to V2017 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 to Supported Generic Interfaces V17 for more information. Details for managing securities are available here, booking open trades are available here, and booking close trades are available herein 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/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

  It

  • 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

    MC

    Message Center as a single row with Target Trade Ticket Number (762) = Trade Ticket Number (761) of the transaction to be

    cancelled

    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

      Trades

      Trade

• Multi-leg swap

  IDLOT closes must be entered with Target Trade Ticket Number (762) = Trade Ticket Number (761) of the open lot to cancelMulti-leg swaps can be priced and have

  prices and other reference data

  added

  , such as variable rates,

  through default MC streams

  can also be loaded via default streams

  • To accomplish this, tag 4590 (Swap Type/Component) must be included in the message

    and reflect the appropriate component to price

    • 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

    also

    • be included as well