Product Information Archives

Support for Alternative Underliers

The UPI Service supports the use of alternative identifiers for equity and fixed income underliers. For other underliers, e.g., indices and reference rates underliers, the UPI

Unadjusted or Adjusted Expiry Date

Question: In order to avoid duplicate identifiers, when generating or retrieving an OTC ISIN, should the user enter the Unadjusted or Adjusted Expiry Date? Answer: In

FX Type

The Bank of International Settlement – Triennial Central Bank Survey September 2016 was used to determine the classification of G8 currency pairs as FXMJ, Non-G8 currency

ISO Reference Rate Mapping

The DSB requires the entry of underlying Reference Rates based on the entries in the current version of the FpML Coding Scheme (e.g.: “USD-SOFR-COMPOUND”). In order

Term of Contract Value and Unit

All OTC Derivative Products that have an Interest Rate as an underlying are required to include a Term Of Contract within their definition. In order to

Expiry Date – FX Non-Deliverable

The DSB Product Committee recommends that the Settlement Date is used to populate the Expiry Date attribute when generating / retrieving an FX Forward or Non-Deliverable

Expiry Date – FRA

An FRA accrual runs from an Effective Date to a Termination Date, but the FRA actually settles and expires on the Effective Date. For this reason,

IR Zero Coupon Swaps

In order to ensure that UPI/ISIN for IR Fixed – Floating Swaps are generated in a consistent way, DSB users are advised to follow the guidance

Decommission Rates Swap Cross-Currency Fixed-Float NDS Request Template

The Cross-Currency Fixed-Float NDS template does not currently support the Settlement Currency. It is advised that the users should use the alternate template Rates Swap Cross-Currency

OIS-specific Rates templates

Question: Are the OIS-specific Rates templates still required and, if so, what guidance should be provided for their use? Answer: In order to address possible duplication