• In order to ensure consistency when creating or retrieving ISINs for Credit Derivatives where the underlying index does not have a Series, Version or Term (such as the iBoxx family of Total Return Indices), the request to the DSB should apply the following standard input values:

• Underlying Credit Index Series: 1 (one)
• Underlying Credit Index Version: 1 (one)

Note : A standard value for the Underlying Instrument Index Term Unit / Value has not yet been agreed.

• This advice applies to the following Credit templates:

• CDS Index Tranche
• CDS Index
• CDS Total Return Swap
• Non-Standard Credit Swap
• Non-Standard Swap (where a Credit Index is included)
• Non-Standard Other Derivative (where a Credit Index is included)

SIGN UP NOW

I would like to subscribe to: