Best practice for the use of templates for IR Basis (Float vs Float) Swaps – as agreed by the DSB Product Committee (Feb 2019)
In order to ensure that ISINs for IR Basis Swaps (ie: Float vs Float) are generated in a consistent way, DSB users are advised to follow the guidance provided below.
For Interest Rates Swaps based on a pair of underlying floating reference rates:
- If the two legs have different Notional Currencies : use the Cross-Currency Basis template
- Else: If both legs are standard floating Reference Rates (eg: Libor, Euribor etc.) : use Basis template
- Else: If one leg is a standard floating Reference Rate and the other leg is an OIS Rate : use the Basis OIS template
- Else: If both legs are overnight interest swap rates (eg: EUR-EONIA-OIS-COMPOUND) : use the Basis OIS template
The DSB is aware of the increased use of cross-currency Basis OIS and the PC will continue to monitor the situation and will follow up as required.