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SWAP Security Resolution

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

  • In the case where the incoming file for SWAP 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. The specified xref identifiers, which are configured to be used in security resolution by <assetResolutionOption>, should uniquely identify the security.

Important Note

This logic is used only if assetResolutionOption is defined in the incoming file (not in Config Security Resolution Option or default security resolution option value).

For example:

<assetResolutionOption>MATCH_ALL</assetResolutionOption>

or

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

In order to provide compatibility with cases when the swap 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 the assetResolutionOption was passed in the incoming file for swap record and the security was not resolved by xrefs.

Allow Duplicate Xrefs Logic

Cross-reference types, which are configured as DUPLICATE are not used in security resolution by default. This is caused by that fact that the pair of values id + type of xref identifier configured as DUPLICATE can refer to different securities.

Please note, that using duplicate identifiers in security resolution may resolve incorrect security - make sure this risk is taken into account for your process

To allow security resolution by xref type configured as DUPLICATE, you can either add an element in the incoming message:

<assetResolutionOption>ALLOW_DUPL_XREF</assetResolutionOption

or use its global variant in w_config_custom.inc :

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

Case Insensitive Option

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

or its global version

<COL TAG="CONFIG_SEC_RES_OPTION " EXPRESSION="'CASE_INSENSITIVE'"/>

Skip Primary Identifiers Option

To skip primary identifiers in security resolution logic set this option genericSMF/assetResolutionOption = 'SKIP_PRIMARY_ID'

<assetResolutionOption>SKIP_PRIMARY_ID</assetResolutionOption>

Skip Security Resolution Option

Asset Resolution Option = ‘SKIP’ is available only when you update an SMF record. Security Resolution logic can be skipped only if the SMF record exists in DB.

To skip security resolution logic, use the value 'SKIP'. Can be used for Main Security Resolution logic as well as for Underlying Security Resolution in the corresponding EagleML element.

Case 1. Main Security Resolution skipped, Underlying Security Resolution applied. genericSMF/assetResolutionOption = 'SKIP':

<assetResolutionOption>SKIP</assetResolutionOption>

Case 2. Underlying Security Resolution logic skipped, Main Security Resolution applied. genericSMF/UnderlyingModel/assetResolutionOption = 'SKIP':

<UnderlyingModel>
    ...
    <assetResolutionOption>SKIP</assetResolutionOption>
    ...
</UnderlyingModel>

Case 3. Both Main and Underlying Security Resolution logic skipped.

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


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