Product Information Archives - Page 2 of 4

ISO Reference Rate Mapping

The DSB requires the entry of underlying Reference Rates based on the entries in the current version of the FpML Coding Scheme (e.g.: “USD-SOFR-COMPOUND”). In order

Term of Contract Value and Unit

All OTC Derivative Products that have an Interest Rate as an underlying are required to include a Term Of Contract within their definition. In order to

Expiry Date – FX Non-Deliverable

The DSB Product Committee recommends that the Settlement Date is used to populate the Expiry Date attribute when generating / retrieving an FX Forward or Non-Deliverable

Expiry Date – FRA

An FRA accrual runs from an Effective Date to a Termination Date, but the FRA actually settles and expires on the Effective Date. For this reason,

Spot Tenor for Near-Leg

The FX Swap template is designed to allow two underlying FX Forward ISINs (based on the same currency pair) to be specified in the generation of

Decommission Rates Swap Cross-Currency Fixed-Float NDS Request Template

The Cross-Currency Fixed-Float NDS template does not currently support the Settlement Currency. It is advised that the users should use the alternate template Rates Swap Cross-Currency

OIS-specific Rates templates

Question: Are the OIS-specific Rates templates still required and, if so, what guidance should be provided for their use? Answer: In order to address possible duplication

Reference Rate Term for IRS

Question: Are there any circumstances under which an IRS could have a negative Reference Rate Term? Answer: In order to conform to accepted market practice, users

Underlying Index Term Unit and Value for an Index CDS

Question: When generating or retrieving an OTC ISIN or UPI for an Index or Index Tranche CDS, what value should be used for the Underlying Index

Credit Index – Underlying Issuer Type

Where there are examples of products that include components from multiple issuer types, users are advised to set Underlying Issuer Type to “Corporate” in all cases