NSD published message formats for reporting interest rate derivative trades

04 March 2013
Print version

In accordance with the plan NSD is to continue publishing new Repository’s message formats specifications intended for interaction between the Repository and participants.

The following message formats are available to participants:

Interest Rate Derivatives:

  • Interest Rate Forward (cash-settled, DFI)
  • Interest rate swap, overnight index swap (cash-settled, DFI)
  • Interest rate caps and/or floors (cash-settled, DFI)
  • Cross-currency interest rate swap (cash-settled/deliverable, DFI)
  • Interest rate option, swaption (cash-settled, DFI)

Starting 04 March, 2013 message parameters schematics (XSD-schema) are available for published message formats.
Information on new message formats is disclosed on web-portal “Trade repository. Message specifications”.

Transition to a new message formats is planned in autumn 2013. Testing period starts in June 2013.


Please contact Alexander Ermakov on questions regarding new message formats by e-mail: or by phone +7 495 956 10 70 ext. 4966

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