The DSB Secretariat maintains the set of Product Definitions that form the basis of an ISIN record. These Product Definitions have been agreed by the DSB Product Committee and represent the full set of OTC derivative products for which the DSB can create ISINs. The DSB aims to provide comprehensive documentation on the Product Definitions, but additional product guidance can be requested by contacting secretariat@anna-dsb.com

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.

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

View

    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

View

    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

View

    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

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    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

View

    Commodities.Swap.Swap
    Commodities.Swap.Basis_Swap
    Commodities.Option.Option
    Commodities.Option.Swaption
    Commodities.Forward.Forward

NON-STANDARD

View

    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