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Release Milestones

September 2020 Release Milestones Status Notification
Product Committee Approval  (for Thai reference rate) 16 June 2020 Completed
Product Committee Approval  (for Reference Rate Derivations) 24 March 2020 Completed
Draft Documentation Available 24 July 2020 Completed 2020-07-28_Notification
Final Documentation Available 24 July 2020 Completed
UAT Release 12th Aug 2020 Completed 2020-08-12_Notification
Final Go/No-Go Decision 16th Sept 2020 Completed
Production and UAT2 Release 20th Sept 2020 Completed 2020-09-20 Notification

JSON and Documentation Links

Product Templates Available On
Templates De-normalized Templates
Normalized Templates
Documentation Product Definitions
Annex 7 Indices

Change Details

DSB ID Title Type Github Change Request
Set Attribute “LastUpdate DateTime” As A Required Field In Record Templates
DSB-54 LastUpdateDateTime: Mark Attribute as “Required” In All Templates Technical Link Link
Map The Other Reference Rate To The 4 Character ISO 20022 Standard
DSB-152
ISO Reference Rate mapping for EUR-EuroSTR-COMPOUND, SOFR, SONIA
 Enumeration Link Link
New enumerations added
DSB-516 RATES : Ref Rate : New Reference Rate: THB-THOR-COMPOUND Enumeration Link Link

 

Affected Templates

 

Asset Class Template Request Name Template Record Name
Commodities
  • Commodities.Forward.Forward.InstRefDataReporting.V1.json
  • Commodities.Forward.Multi_Exotic_Forward.InstRefDataReporting.V1.json
  • Commodities.Forward.Single_Index.InstRefDataReporting.V1.json
  • Commodities.Option.Multi_Exotic_Option.InstRefDataReporting.V1.json
  • Commodities.Option.Option.InstRefDataReporting.V1.json
  • Commodities.Option.Single_Index.InstRefDataReporting.V1.json
  • Commodities.Option.Swaption.InstRefDataReporting.V1.json
  • Commodities.Swap.Basis_Swap.InstRefDataReporting.V1.json
  • Commodities.Swap.Multi_Exotic_Swap.InstRefDataReporting.V1.json
  • Commodities.Swap.Single_Index.InstRefDataReporting.V1.json
  • Commodities.Swap.Swap.InstRefDataReporting.V1.json
Credit
  • Credit.Option.Index_Swaption.InstRefDataReporting.V1.json
  • Credit.Option.Non_Standard.InstRefDataReporting.V1.json
  • Credit.Option.Single_Name_Swaption.InstRefDataReporting.V1.json
  • Credit.Swap.ABS.InstRefDataReporting.V1.json
  • Credit.Swap.Corporate.InstRefDataReporting.V1.json
  • Credit.Swap.Index.InstRefDataReporting.V1.json
  • Credit.Swap.Index_Tranche.InstRefDataReporting.V1.json
  • Credit.Swap.Loan.InstRefDataReporting.V1.json
  • Credit.Swap.Municipal.InstRefDataReporting.V1.json
  • Credit.Swap.Non_Standard.InstRefDataReporting.V1.json
  • Credit.Swap.Sovereign.InstRefDataReporting.V1.json
  • Credit.Swap.Total_Return_Swap.InstRefDataReporting.V1.json
Equity
  • Equity.Forward.Non_Standard.InstRefDataReporting.V1.json
  • Equity.Forward.Price_Return_Basic_Performance_Basket.InstRefDataReporting.V1.json
  • Equity.Forward.Price_Return_Basic_Performance_Basket_CFD.InstRefDataReporting.V1.json
  • Equity.Forward.Price_Return_Basic_Performance_Single_Index.InstRefDataReporting.V1.json
  • Equity.Forward.Price_Return_Basic_Performance_Single_Index_CFD.InstRefDataReporting.V1.json
  • Equity.Forward.Price_Return_Basic_Performance_Single_Name.InstRefDataReporting.V1.json
  • Equity.Forward.Price_Return_Basic_Performance_Single_Name_CFD.InstRefDataReporting.V1.json
  • Equity.Option.Basket.InstRefDataReporting.V1.json
  • Equity.Option.Non_Standard.InstRefDataReporting.V1.json
  • Equity.Option.Single_Index.InstRefDataReporting.V1.json
  • Equity.Option.Single_Name.InstRefDataReporting.V1.json
  • Equity.Swap.Non_Standard.InstRefDataReporting.V1.json
  • Equity.Swap.Parameter_Return_Dividend_Basket.InstRefDataReporting.V1.json
  • Equity.Swap.Parameter_Return_Dividend_Single_Index.InstRefDataReporting.V1.json
  • Equity.Swap.Parameter_Return_Dividend_Single_Name.InstRefDataReporting.V1.json
  • Equity.Swap.Parameter_Return_Variance_Basket.InstRefDataReporting.V1.json
  • Equity.Swap.Parameter_Return_Variance_Single_Index.InstRefDataReporting.V1.json
  • Equity.Swap.Parameter_Return_Variance_Single_Name.InstRefDataReporting.V1.json
  • Equity.Swap.Parameter_Return_Volatility_Basket.InstRefDataReporting.V1.json
  • Equity.Swap.Parameter_Return_Volatility_Single_Index.InstRefDataReporting.V1.json
  • Equity.Swap.Parameter_Return_Volatility_Single_Name.InstRefDataReporting.V1.json
  • Equity.Swap.Portfolio_Swap.InstRefDataReporting.V1.json
  • Equity.Swap.Portfolio_Swap_Other.InstRefDataReporting.V1.json
  • Equity.Swap.Portfolio_Swap_Single_Index.InstRefDataReporting.V1.json
  • Equity.Swap.Portfolio_Swap_Single_Name.InstRefDataReporting.V1.json
  • Equity.Swap.Price_Return_Basic_Performance_Basket.InstRefDataReporting.V1.json
  • Equity.Swap.Price_Return_Basic_Performance_Basket_CFD.InstRefDataReporting.V1.json
  • Equity.Swap.Price_Return_Basic_Performance_Single_Index.InstRefDataReporting.V1.json
  • Equity.Swap.Price_Return_Basic_Performance_Single_Index_CFD.InstRefDataReporting.V1.json
  • Equity.Swap.Price_Return_Basic_Performance_Single_Name.InstRefDataReporting.V1.json
  • Equity.Swap.Price_Return_Basic_Performance_Single_Name_CFD.InstRefDataReporting.V1.json
Foreign Exchange
  • Foreign_Exchange.Forward.Contract_For_Difference.InstRefDataReporting.V1.json
  • Foreign_Exchange.Forward.Forward.InstRefDataReporting.V1.json
  • Foreign_Exchange.Forward.NDF.InstRefDataReporting.V1.json
  • Foreign_Exchange.Forward.Non_Standard.InstRefDataReporting.V1.json
  • Foreign_Exchange.Forward.Rolling_Spot.InstRefDataReporting.V1.json
  • Foreign_Exchange.Forward.Spreadbet.InstRefDataReporting.V1.json
  • Foreign_Exchange.Forward.Vol_Var.InstRefDataReporting.V1.json
  • Foreign_Exchange.Option.Barrier_Option.InstRefDataReporting.V1.json
  • Foreign_Exchange.Option.Digital_Option.InstRefDataReporting.V1.json
  • Foreign_Exchange.Option.Forward_Vol_Agreement.InstRefDataReporting.V1.json
  • Foreign_Exchange.Option.NDO.InstRefDataReporting.V1.json
  • Foreign_Exchange.Option.Non_Standard.InstRefDataReporting.V1.json
  • Foreign_Exchange.Option.Target_Option.InstRefDataReporting.V1.json
  • Foreign_Exchange.Option.Vanilla_Option.InstRefDataReporting.V1.json
  • Foreign_Exchange.Swap.FX_Swap.InstRefDataReporting.V1.json
  • Foreign_Exchange.Swap.Non_Deliverable_FX_Swap.InstRefDataReporting.V1.json
Other
  • Request.Other.Option.Non_Standard.InstRefDataReporting.json
  • Request.Other.Other.Non_Standard.InstRefDataReporting.json
  • Request.Other.Swap.Non_Standard.InstRefDataReporting. json
  • Other.Option.Non_Standard.InstRefDataReporting.V2.json
  • Other.Other.Non_Standard.InstRefDataReporting.V2.json
  • Other.Swap.Non_Standard.InstRefDataReporting.V2.json
Rates
  • Request.Rates.Forward.FRA_Index.InstRefDataReporting. json
  • Request.Rates.Option.CapFloor.InstRefDataReporting. json
  • Request.Rates.Option.Non_Standard.InstRefDataReporting.json
  • Request.Rates.Swap.Basis.InstRefDataReporting. json
  • Request.Rates.Swap.Basis_OIS.InstRefDataReporting.json
  • Request.Rates.Swap.Cross_Currency_Basis.InstRefDataReporting.json
  • Request.Rates.Swap.Cross_Currency_Fixed_Float.InstRefDataReporting.json
  • Request.Rates.Swap.Cross_Currency_Fixed_Float_NDS.InstRefDataReporting.json
  • Request.Rates.Swap.Cross_Currency_Zero_Coupon.InstRefDataReporting.json
  • Request.Rates.Swap.Fixed_Float.InstRefDataReporting.json
  • Request.Rates.Swap.Fixed_Float_OIS.InstRefDataReporting.json
  • Request.Rates.Swap.Fixed_Float_Zero_Coupon.InstRefDataReporting.json
  • Request.Rates.Swap.Inflation_Basis.InstRefDataReporting.json
  • Request.Rates.Swap.Non_Standard.InstRefDataReporting.json
  • Rates.Forward.FRA_Index.InstRefDataReporting.V2.json
  • Rates.Forward.FRA_Other.InstRefDataReporting.V1.json
  • Rates.Option.CapFloor.InstRefDataReporting.V2.json
  • Rates.Option.Debt_Option.InstRefDataReporting.V1.json
  • Rates.Option.Inflation_CapFloor.InstRefDataReporting.V1.json
  • Rates.Option.Non_Standard.InstRefDataReporting.V2.json
  • Rates.Option.Swaption.InstRefDataReporting.V1.json
  • Rates.Swap.Basis.InstRefDataReporting.V2.json
  • Rates.Swap.Basis_OIS.InstRefDataReporting.V2.json
  • Rates.Swap.Cross_Currency_Basis.InstRefDataReporting.V2.json
  • Rates.Swap.Cross_Currency_Fixed_Fixed.InstRefDataReporting.V2.json
  • Rates.Swap.Cross_Currency_Fixed_Float.InstRefDataReporting.V2.json
  • Rates.Swap.Cross_Currency_Fixed_Float_NDS.InstRefDataReporting.V2.json
  • Rates.Swap.Cross_Currency_Inflation_Swap.InstRefDataReporting.V2.json
  • Rates.Swap.Cross_Currency_Zero_Coupon.InstRefDataReporting.V2.json
  • Rates.Swap.Fixed_Fixed.InstRefDataReporting.V2.json
  • Rates.Swap.Fixed_Float.InstRefDataReporting.V2.json
  • Rates.Swap.Fixed_Float_OIS.InstRefDataReporting.V2.json
  • Rates.Swap.Fixed_Float_Zero_Coupon.InstRefDataReporting.V2.json
  • Rates.Swap.Inflation_Basis.InstRefDataReporting.V2.json
  • Rates.Swap.Inflation_Basis_YoY.InstRefDataReporting.V1.json
  • Rates.Swap.Inflation_Basis_Zero_Coupon.InstRefDataReporting.V2.json
  • Rates.Swap.Inflation_Fixed_Float_YoY.InstRefDataReporting.V2.json
  • Rates.Swap.Inflation_Fixed_Float_Zero_Coupon.InstRefDataReporting.V1.json
  • Rates.Swap.Inflation_Swap.InstRefDataReporting.V2.json
  • Rates.Swap.Non_Standard.InstRefDataReporting.V2.json

Action Required

  • DSB users seeking to implement associated changes are requested to upgrade to the new template and conduct sufficient testing to satisfy the implementation of the revised DSB template – including testing and consumption of the end of day snapshot files
    • DSB users are required to accommodate the new/changed DSB template as early as possible during the UAT period.
    • DSB users are required to accommodate the new/changed DSB template into their Production environments.
  • DSB users with the ability to create ISINs are requested to assist with the UAT of the DSB template that they wish to use and to notify the DSB of any issues before the Final Go/No-Go Decision Date (see above).
  • The DSB’s UAT environment will be unavailable between 12:00 AM UTC on the Saturday of the UAT Release weekend and 12:00 PM UTC on the Sunday of the UAT Release weekend to allow for the implementation.

The Derivatives Service Bureau (DSB) Limited is a company registered in England and Wales (No. 10542063)
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The Derivatives Service Bureau (DSB) Limited,
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