Asset Resolution Options

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.

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>

On this page

1 SWAP and FORWARD Security Resolution
2 Allow Duplicate Xrefs Logic
3 Case Insensitive
4 Skip Primary Identifiers
5 Use Only Security Alias as XREF
6 Skip Security Resolution
7 Use Existing Xref Only
8 Use 1st Xref as Main
- 8.1 MATCH_ALL Set
- 8.2 MATCH_ALL not Set
9 Resolve Primary by Security Alias
10 Skipping delisted securities

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 (for swaps) if the assetResolutionOption was passed in the incoming file for swap or forward 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

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

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

<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

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'

Use Existing Xref Only

Enabled by adding 'USE_EXIST_XREF_ONLY' value to genericSMF/assetResolutionOption

Please note, that to enable this option you must have 'MATCH_ALL' set. For example:

<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:

Security Resolution by the first pair of unique Xreference Security Identifiers. If Security Alias is resolved by the first pair, step 2 is skipped.
If Security Alias has not been resolved 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).

MATCH_ALL not Set

Performs the following steps for asset resolution:

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).
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.
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

Asset Resolution Option = ‘RESOLVE_PRIMARY’ is available for GenericSMF and WarehouseTrade.

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>RESOLVE_PRIMARY</assetResolutionOption>

Skipping delisted securities

Asset Resolution Option = ‘SKIP_DELISTED_SECURITY’ is available only for GenericSMF.

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>