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Interest Rates Ontology
This ontology provides the basic types of interest rate which are recognized in the financial markets, and the relationships between these where applicable. These include bank base rates, inter-bank offer rates, overnight rates of interest and the US Federal Funds rate which is widely used as a rate of reference. It also includes the concept of a market rate spread between two interest rates.
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fibo-ind-ir-ir
InterestRates.rdf
The https://www.omg.org/spec/EDMC-FIBO/IND/20140601/InterestRates/InterestRates.rdf version of this ontology was modified per the issue resolutions identified in the FIBO IND 1.0 FTF 1 report.
The https://www.omg.org/spec/EDMC-FIBO/IND/20150501/InterestRates/InterestRates.rdf version of this ontology was modified per the issue resolutions identified in the FIBO IND 1.0 FTF 2 report.
The https://www.omg.org/spec/EDMC-FIBO/IND/20160801/InterestRates/InterestRates.rdf version of this ontology was modified per the FIBO 2.0 RFC, including adding support for reference rates from FpML.
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base rate
a basic rate of interest, on which the actual rate a bank charges on loans to its customers is calculated
BBR
Typically, the bank base rate is a reference rate set by a central bank. Banks that are regulated by a given central bank cannot lend below the base rate to their customers. The bank base rate is determined on an ongoing basis and represents the central bank's judgement of the price of short-term funds on their interbank market.
bank base rate
eighteen months
a duration of exactly eighteen (18) months, regardless of the length in days of a given calendar month, but typically 30 days
P18M
federal funds rate
fed funds rate
a reference rate that is the interest rate at which a depository institution lends funds maintained at the Federal Reserve to another depository institution overnight
US federal funds rate
By trading government securities, the New York Fed affects the federal funds rate, which is the interest rate at which depository institutions lend balances to each other overnight. The Federal Open Market Committee establishes the target rate for trading in the federal funds market.
The federal funds rate is generally only applicable to the most creditworthy institutions when they borrow and lend overnight funds to each other. The federal funds rate is one of the most influential interest rates in the U.S. economy, since it affects monetary and financial conditions, which in turn have a bearing on key aspects of the broad economy including employment, growth and inflation. The Federal Open Market Committee (FOMC), which is the Federal Reserve's primary monetary policymaking body, telegraphs its desired target for the federal funds rate through open market operations.
fifteen years
a duration of exactly fifteen (15) years
P15Y
five years
a duration of exactly five (5) years
P5Y
forty-eight months
a duration of exactly forty-eight (48) months, regardless of the length in days of a given calendar month, but typically 30 days
P48M
four years
a duration of exactly four (4) years
P4Y
interbank bid rate
an interbank rate that is the interest rate at which participating banks are willing to borrow deposits from other banks
Unlike an interbank offered rate, which is the rate at which banks lend money, an interbank bid rate is the rate at which banks ask to borrow.
interbank mid rate
an interbank rate that represents the mid-point between bid and offer rates
interbank offered rate
an interbank rate that is the interest rate at which participating banks lend money
interbank rate
a reference rate that is the rate of interest charged on short-term loans between banks
Banks borrow and lend money in the interbank market in order to manage liquidity and meet the requirements placed on them. The interest rate charged depends on the availability of money in the market, on prevailing rates and on the specific terms of the contract, such as term length.
nine months
a duration of exactly nine (9) months, regardless of the length in days of a given calendar month, but typically 30 days
P9M
one day
a duration of exactly one day, or 24 hours, such as for an overnight rate
P1D
one hundred eighty (180) months
a duration of exactly one hundred eighty (180) months, regardless of the length in days of a given calendar month, but typically 30 days
P180M
one month
a duration of exactly one (1) month, regardless of the length in days of a given calendar month, but typically 30 days
P1M
one week
a duration of exactly one week, or 7 days
P7D
one year
a duration of exactly one (1) year
P1Y
overnight rate
a reference rate that is an interest rate at which a depository institution lends funds to another depository institution (short-term), or the interest rate the central bank charges a financial institution to borrow money overnight
The overnight rate is the lowest available interest rate, and as such, it is only available to the most creditworthy institutions. It is the underlying rate for Overnight Interest Rate Swaps (IOS).
reference interest rate
a market rate that is a rate of interest paid by or agreed among some bank or set of banks
The reference rate is a moving index such as EURIBOR, the prime rate or the rate on benchmark U.S. Treasuries.
six months
a duration of exactly six (6) months, regardless of the length in days of a given calendar month, but typically 30 days
P6M
sixty months
a duration of exactly sixty (60) months, regardless of the length in days of a given calendar month, but typically 30 days
P60M
ten years
a duration of exactly ten (10) years
P10Y
thirty-six months
a duration of exactly thirty-six (36) months, regardless of the length in days of a given calendar month, but typically 30 days
P36M
thirty years
a duration of exactly thirty (30) years
P30Y
three hundred sixty (360) months
a duration of exactly three hundred sixty (360) months, regardless of the length in days of a given calendar month, but typically 30 days
P360M
three months
a duration of exactly three (3) months, regardless of the length in days of a given calendar month, but typically 30 days
P3M
three years
a duration of exactly three (3) years
P3Y
twelve months
a duration of exactly twelve (12) months, regardless of the length in days of a given calendar month, but typically 30 days
P12M
twenty-four months
a duration of exactly twenty-four (24) months, regardless of the length in days of a given calendar month, but typically 30 days
P24M
twenty years
a duration of exactly twenty (20) years
P20Y
two months
a duration of exactly two (2) months, regardless of the length in days of a given calendar month, but typically 30 days
P2M
two years
a duration of exactly two (2) years
P2Y
has rate reset time of day
indicates the time of day when a rate is reset
has reference currency
relates a reference rate to the currency it is based on
has tenor
indicates the length of time for which a given rate, such as an interbank rate, exchange rate, other market rate is quoted, or a debt instrument has remaining prior to maturity or expiration
The length of time until a loan is due. For example, a loan is taken out with a two year tenor. After one year passes, the tenor of the loan is one year.
http://www.investopedia.com/terms/t/tenor.asp
The tenor of most financial instruments declines over time, while the maturity remains constant. Risk associated with a given asset tends to decline with the reduction of the time remaining to maturity. The tenor of an interest rate swap can also refer to the frequency with which coupon payments are exchanged.
has tenor in days
true
a predicate indicating the length of time for which the interbank rate is quoted expressed as a number of days
This is given as a whole number representing the number of days, because the concept of a duration is not yet modeled semantically, otherwise this term would refer to duration as its range instead. The name of this property reflects this compromise and would be changed to "Tenor" once a suitable range exists for this property.
has tenor in months
true
a predicate indicating the length of time for which the interbank rate is quoted, e.g., 3 months, 6 months expressed as a number of months