Hi LSEG Developer Community,
We are trying to identify whether the LSEG Data API exposes the reference swap curve used by LSEG to calculate swap spreads for corporate credit curves.
For a given LSEG corporate credit curve, we need to retrieve the “IRS Chain” reference RIC: the swap / native base-rate curve that LSEG itself uses when computing the credit curve’s swap spread, i.e.:Swap Spread = Par Curve - IRS Mid Curve
Concrete examples from Workspace:
- Credit curve RIC
AAAEURRBMK appears to reference IRS Chain EURAB6EIRS at curve level. - Credit curve tenor RIC
AAAEURR1Y= appears to reference EURAB6E1Y= at tenor level.
In Workspace today, our users can find this manually by opening the Quote screen, clicking the “Yield Curve RIC”, and then viewing the Profile Page where the IRS Chain is shown. We need to retrieve the same value programmatically for audit/export purposes.
To avoid confusion: this question is not about expanding a chain RIC into its tenor constituents. We already understand how to work with chain constituents via LONGLINK*, /data/pricing/chains/v1/, ld.content.pricing.chain.Definition, or ld.discovery.Chain. That is a different concept.
The specific metadata we need is the back-reference from the credit curve or credit curve tenor to the IRS/native base curve used by LSEG.
Questions:
- Is there a Data API field on a corporate credit curve RIC that returns the IRS Chain / native base-rate reference RIC?For example, given
AAAEURRBMK, is there a field that returns EURAB6EIRS?If yes, could you please provide:- the exact field name,
- the API surface where it is available, e.g. LSEG Data Library for Python, Eikon Data API, RDP REST, real-time field/FID, etc.,
- whether the returned value is a plain RIC string or another structured object
- Is this available at curve level, tenor level, or both?Specifically:
- curve level:
AAAEURRBMK -> EURAB6EIRS - tenor level:
AAAEURR1Y= -> EURAB6E1Y=
Workspace appears to show both concepts, but we need to know which form is addressable through API. - Is this field subject to any special permissioning?We need to know whether the field is available to external client accounts, or whether it is gated by a specific permission entity / internal-only entitlement. If the value is visible in Workspace but not retrievable through API for normal external accounts, that would affect our design.
- Bonus: is there a structured notification or data feed for native-base-rate transitions?Examples of the type of transition we need to track are IRS-to-OIS or LIBOR-to-RFR changes, such as USD moving to OIS-style references or GBP LIBOR-to-SONIA migration. Is there a machine-readable channel, for example via Data Notifications / Notifi API / Product Change Notifications, that identifies when LSEG changes the native base-rate reference curve behind a credit curve?
Our goal is to show users which native base curve LSEG used when deriving the swap spreads we consume. We want to avoid static mappings or manually maintained spreadsheets, since those drift when LSEG changes curve methodology or base-rate references.
Any guidance on the correct field name, endpoint, entitlement requirements, or notification channel would be appreciated.
