Skip to end of metadata
Go to start of metadata

You are viewing an old version of this page. View the current version.

Compare with Current View Page History

« Previous Version 8 Next »

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: L to cancel long transactions or S to cancel short transactions
      • This 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 = C will result in the contract being priced
      • 4590 = P or R will 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
  • No labels