The list of Product Definitions defined by the DSB cover all five assets classes in scope for MiFID II Reference Data Reporting – Rates, Credit, FX, Equities & Commodities. The population was originally based on the ISDA 2.0 taxonomy and has been expanded upon through the input of various industry taskforces.
A Product Definition is a unique representation of the population of attributes applicable to a specific OTC Derivative product within an asset class.
Each Product Definition has been grouped into four distinct sections:
- Product Definition Selection: Set of fields to identify the product specific schema. This schema defines the full set of attributes for that product
- Product Definition Input Attributes: User input fields
- Product Definition Defaulted Input: The set of attributes that contain defaulted values which are valid for ISIN creation however the user can engage and select a different value if required
- Product Definition Derived Attributes: Attributes that will be inferred by the combination of Product Definition Selection & Product Definition Input Attributes and will be returned to the user as part of the full ISIN record
The combination of the above 4 sections comprise the record of the ISIN that will be returned to the requester.
The Product Definition Selection fields will identify the product specific schema. This schema defines the full set of attributes for that product.
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Product Definition Selection
Product Definition selection interface is comprised of the below fields:
- Asset Class: ISO 10962 CFI Letter #210
- Instrument Type: ISO 10962 CFI #1
- Product: Unique human readable label that defines the product (this is based on the ISDA 2.0 Taxonomy combination of Sub product and Transaction Type, where applicable)
- Level: Label assigned to the ISIN to describe its level in the hierarchy – the day 1 level will be ‘InstRefDataReporting’ to satisfy the technical requirements articulated by MiFID II / MiFIR RTS 23 Annex 1 while bearing in mind the requirements for future implementation of CPMI-IOSCO’s UPI
Product Definition Input Attributes
Product Definition Input Attributes are the population of attributes that require user input when requesting an ISIN.
Attributes can be populated by either selecting a value from an enumerated list e.g FpML Floating Rate Index List or entering text in a specific format e.g. Expiry date YYYYMMDD. The full list of attributes and their enumerations can be found in section 4 below.
Product Definition Derived Attributes
Product Definition Derived Attributes are those which are inferred by the combination of Product Definition Selection & Product Definition Input Attributes. These will be auto populated by the DSB ISIN engine and returned to the user as part of the ISIN record
Product Definitions are available for the following
RATES
Rates.Swap.Basis
Rates.Swap.Basis_OIS
Rates.Swap.Cross_Currency_Basis
Rates.Swap.Cross_Currency_Fixed_Fixed
Rates.Swap.Cross_Currency_Fixed_Float
Rates.Swap.Cross_Currency_Fixed_Float_NDS
Rates.Swap.Cross_Currency_Inflation_Swap
Rates.Swap.Cross_Currency_Zero_Coupon
Rates.Swap.Fixed_Fixed
Rates.Swap.Fixed_Float
Rates.Swap.Fixed_Float_OIS
Rates.Swap.Fixed_Float_Zero_Coupon
Rates.Swap.Inflation_Basis_Zero_Coupon
Rates.Swap.Inflation_Fixed_Float_YoY
Rates.Swap.Inflation_Swap
Rates.Option.CapFloor
Rates.Option.Debt_Option
Rates.Option.Swaption
Rates.Forward.FRA_Index
Rates.Forward.FRA_Other
CREDIT
Credit.Swap.ABS
Credit.Swap.Corporate
Credit.Swap.Loan
Credit.Swap.Municipal
Credit.Swap.Sovereign
Credit.Swap.Index
Credit.Swap.Index_Tranche
Credit.Swap.Total_Return_Swap
Credit.Option.Index_Swaption
Credit.Option.Single_Name_Swaption
FX
Foreign_Exchange.Swap.FX_Swap
Foreign_Exchange.Option.Barrier_Option
Foreign_Exchange.Option.Digital_Option
Foreign_Exchange.Option.Forward_Vol_Agreement
Foreign_Exchange.Option.NDO
Foreign_Exchange.Option.Target_Option
Foreign_Exchange.Option.Vanilla_Option
Foreign_Exchange.Forward.Contract_For_Difference
Foreign_Exchange.Forward.Forward
Foreign_Exchange.Forward.NDF
Foreign_Exchange.Forward.Rolling_Spot
Foreign_Exchange.Forward.Spreadbet
Foreign_Exchange.Forward.Vol_Var
EQUITY
Equity.Swap.Price_Return_Basic_Performance_Single_Name
Equity.Swap.Price_Return_Basic_Performance_Single_Index
Equity.Swap.Price_Return_Basic_Performance_Basket
Equity.Swap.Parameter_Return_Dividend_Single_Name
Equity.Swap.Parameter_Return_Dividend_Single_Index
Equity. Swap.Parameter_Return_Dividend_Basket
Equity.Swap.Parameter_Return_Variance_Single_Name
Equity. Swap.Parameter_Return_Variance_Single_Index
Equity. Swap.Parameter_Return_Variance_Basket
Equity.Swap.Parameter_Return_Volatility_Single_Name
Equity. Swap.Parameter_Return_Volatility_Single_Index
Equity. Swap.Parameter_Return_Volatility_Basket
Equity.Swap.Price_Return_Basic_Performance_Single_Name_CFD
Equity. Swap.Price_Return_Basic_Performance_Single_Index_CFD
Equity. Swap.Price_Return_Basic_Performance_Basket_CFD
Equity.Portfolio_Swap
Equity.Option.Single_Name
Equity.Option.Single_Index
Equity.Option.Basket
Equity.Forward.Price_Return_Basic_Performance_Single_Name
Equity.Forward.Price_Return_Basic_Performance_Single_Name_CFD
Equity.Forward.Price_Return_Basic_Performance_Single_Index
Equity.Forward.Price_Return_Basic_Performance_Single_Index_CFD
Equity.Forward.Price_Return_Basic_Performance_Basket
Equity.Forward.Price_Return_Basic_Performance_Basket_CFD
COMMODITIES
Commodities.Swap.Swap
Commodities.Swap.Basis_Swap
Commodities.Option.Option
Commodities.Option.Swaption
Commodities.Forward.Forward
NON-STANDARD
Rates.Swap.Non_Standard
Rates.Option.Non_Standard
Credit.Swap.Non_Standard
Credit.Option.Non_Standard
Foreign_Exchange.Option.Non_Standard
Foreign_Exchange.Forward.Non_Standard
Equity.Swap.Non_Standard
Equity.Option.Non_Standard
Equity.Forward.Non_Standard