DSB ToTV/uToTV flag explained

 

The DSB’s core service is to provide ISINs for OTC derivatives.  Additionally, the DSB provides a service extension to assist with the process of identifying those ISINs that are Traded on a Trading Venue (ToTV) and those that have an underlying instrument that is Traded on a Trading Venue (uToTV). Also included is ESMA sourced data including reference and transparency data.

General information:

  • The DSB has implemented its ToTV/ uToTV service for all instruments not in scope of the ESMA opinion on OTC Derivatives traded on a trading venue (Ref. ESMA70-156-117), including implementation for cash products and ETDs
  • The goal of the current implementation model is to allow users to integrate with the service immediately, so that the future extension of the service to OTC Derivatives that are in scope of the above mentioned ESMA ToTV opinion can be seamless
  • The DSB ToTV and uToTV indicators, as well as the other ESMA sourced data are available alongside the ISIN in a separate JSON file. Users have access to the DSB’s ToTV/ uToTV service via the web-interface, the file download process and on a programmatic basis (via FIX and ReST)
  • The DSB should not to be treated as a golden source of ToTV or uToTV data and should be one input into a multi-factor determination by each user
  • The DSB makes available all records published to FIRDS for reference data purposes alongside accompanying transparency reporting information
  • Users are requested to read the DSB functional specification document which provides detailed information on the scope and application of the DSB’s ToTV and uToTV flag setting process. The document also provides answers to a broad range of user queries
  • All DSB ToTV and uToTV flags are set to “false” unless deemed to be “true” based on the ruleset in the table published below


The DSB applies the following rules to OTC Derivative instruments where the ISIN reported to FIRDS was issued by the DSB:

  • For instruments within the scope of the ESMA opinion published in May 2017, the DSB ToTV flag is set to False pending further clarification from ESMA about the specific attributes that determine ToTV
  • The DSB uToTV flag is set to True if one or more of the underlying instruments are non-OTC derivatives and at least one of which has been reported to FIRDS by a DSB recognized RM/ MTF/ OTF
  • The DSB uToTV flag remains set to False in any of the following scenarios: the underlying is an OTC derivative; the underlying ISIN has not been reported to FIRDS by a DSB recognized RM/ MTF/ OTF, the underlying instrument is an index or reference rate, an LEI underlying is an LEI, the underlying instrument is a basket containing non-ISIN values


The DSB applies the following rules to non-DSB ISINs i.e. mainly non-OTC Derivative instruments:

  • The DSB ToTV flag is set to True where the instrument was reported to FIRDS by a DSB recognized RM/ MTF/ OTF
  • The DSB uToTV flag is set to True where one or more of the non-OTC derivative underlying ISINs haму been reported to FIRDS by a DSB recognized RM/ MTF/ OTF
  • The DSB uToTV flag is set to False in all other scenarios

 

DSB ToTV/uToTV flag explained

Please refer to the matrix below for a summary of the DSB’s flag setting process:

Instrument ISIN Underlying Type DSB ToTV flag ToTV Effective Date DSB uToTV flag uToTV Effective Date
EZ ISIN[1] No underlying applicable False - pending clarification from ESMA Not on the ToTV record False Not on the ToTV record
EZ ISIN
  • Index/Reference rate
  • LEI
  • Basket of non-ISIN values
False - pending clarification from ESMA Not on the ToTV record False as the DSB does not have sufficient information to decide Not on the ToTV record
EZ ISIN Underlying ISIN(s):

  • Underlying ISIN(s) are all EZ ISIN
False - pending clarification from ESMA Not on the ToTV record False - pending clarification from ESMA Not on the ToTV record
EZ ISIN Underlying ISIN(s):

  • At least one Underlying ISIN is a non-EZ ISIN that has been reported to FIRDS by a DSB recognised RM/ OTF/ MTF
False - pending clarification from ESMA Not on the ToTV record True
  • The earliest date of the ToTV Effective Dates that trading venues reported the Underlying ISIN to ESMA
  • The DSB uses the FIRDS “Date of Admission to Trading or Date of First Trade” attribute[2] to derive the ToTV effective date
Non-EZ ISIN that has been reported to FIRDS by a DSB recognised RM/OTF/MTF No underlying applicable True
  • The earliest date of the ToTV Effective Dates that trading venues reported the Instrument ISIN to ESMA
  • The DSB uses the FIRDS “Date of Admission to Trading or Date of First Trade” attribute to derive the ToTV effective date
False Not on the ToTV record
Non-EZ ISIN that has been reported to FIRDS by an SI(s) or reporting MIC is unknown No underlying applicable False Not on the ToTV record False Not on the ToTV record
Non-EZ ISIN that has been reported to FIRDS by a DSB recognised RM/OTF/MTF
  • Index/Reference rate
  • LEI
  • Basket of non-ISIN values

 

True
  • The earliest date of the ToTV Effective Dates that trading venues reported the Instrument ISIN to ESMA
  • The DSB uses the FIRDS “Date of Admission to Trading or Date of First Trade” attribute to derive the ToTV effective date
False as the DSB does not have sufficient information to decide Not on the ToTV record
Non-EZ ISIN that has been reported to FIRDS by a DSB recognised RM/OTF/MTF Underlying ISIN(s):

  • Underlying ISIN(s) are all EZ ISIN
True
  • The earliest date of the ToTV Effective Dates that trading venues reported the Instrument ISIN to ESMA
  • The DSB uses the FIRDS “Date of Admission to Trading or Date of First Trade” attribute to derive the ToTV effective date
False- pending clarification from ESMA Not on the ToTV record
Non-EZ ISIN that has been reported to FIRDS by a DSB recognised RM/OTF/MTF Underlying ISIN(s):

  • At least one Underlying ISIN is a non-EZ ISIN that has been reported to FIRDS by a DSB recognised RM/ OTF/ MTF
True
  • The earliest date of the ToTV Effective Dates that trading venues reported the Instrument ISIN to ESMA
  • The DSB uses the FIRDS “Date of Admission to Trading or Date of First Trade” attribute to derive the ToTV effective date
True
  • The earliest date of the ToTV Effective Dates that trading venues reported the Underlying ISIN to ESMA
  • The DSB uses the FIRDS “Date of Admission to Trading or Date of First Trade” attribute to derive the ToTV effective dat

      [1] DSB-issued ISIN
      [2] As defined in section 2.3.4.2.11 https://www.esma.europa.eu/sites/default/files/library/2016-1522_firds_reference_data_reporting_instructions.pdf

Further information: