Multi-Leg Swap Automation Processing Notes

Owned by Jawann Swislow
Last updated: Aug 07, 2024 by Jawann Swislow
2 min read

Multi-leg swap security master files (SMFs) and trades can be loaded through the standard _all streams in Message Center (MC) in addition 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) 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 and 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

    • 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

  • 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 to price the contract

      • 4590 = P or R price the pay or receive leg respectively

    • Either combination of these tag 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