Entity reference rate

Details of entity reference rate

Name

reference rate

Code

reference_rate

Parent

Logical Data Model 'CRE GLO per bank LDM'

Comment

Reference rate used for the calculation of the actual interest rate.

Reference rate code is a combination of the reference rate value type and the reference rate maturity type.

The following reference rate values must be used:
EURIBOR, USD LIBOR, GBP LIBOR, EUR LIBOR, JPY LIBOR, CHF LIBOR, MIBOR, other single reference rates, other multiple reference rates.

The following maturity values must be used:
Overnight, one week, two weeks, three weeks, one month, two months, three months, four months, five months, six months, seven months, eight months, nine months, ten months, eleven months, twelve months.

The reference rate code is formed in the following manner: the reference rate value is combined with the maturity value.

EONIA must be reported as “EURIBOR - Overnight”.
In the case of a maturity longer than twelve months, the maturity value twelve months must be reported.

Single reference rates which are not EURIBOR, USD LIBOR, GBP LIBOR, EUR LIBOR, JPY LIBOR, CHF LIBOR, MIBOR, are registered using the value other single reference rate.
Instruments using multiple reference rates are registered using the value other multiple reference rates.

Parent Entity

<None>


List of attributes of the entity reference rate

Name

Code

Comment

Data Type

Domain

Mandatory

Primary Identifier

Foreign Identifier

reference rate value

rfrnc_rt_value

The following reference rate values must be used:
EURIBOR, USD LIBOR, GBP LIBOR, EUR LIBOR, JPY LIBOR, CHF LIBOR, MIBOR, other single reference rates, other multiple reference rates.

Variable multibyte (255)

code

X

X

X

maturity value

maturity_value

The following maturity values must be used:
Overnight, one week, two weeks, three weeks, one month, two months, three months, four months, five months, six months, seven months, eight months, nine months, ten months, eleven months, twelve months.

Variable multibyte (255)

code

X

X

X


List of relationships of the entity reference rate

Name

Code

Generate

Entity 2

Entity 1

Dependent Role

Entity 1 -> Entity 2 Role Cardinality

Entity 2 -> Entity 1 Role Cardinality

classifies

reference_rate_classifies_instrument

X

non-fixed interest instrument

reference rate

 

0,n

1,1

classifies

reference_rate_maturity_type_classifies_reference_rate

X

reference rate

reference rate maturity type

reference rate -> reference rate maturity type

0,n

1,1

classifies

reference_rate_value_type_classifies_reference_rate

X

reference rate

reference rate value type

reference rate -> reference rate value type

0,n

1,1


List of identifiers of the entity reference rate

Name

Code

Parent

Primary Identifier

reference rate PK

reference_rate_pk

Entity 'reference rate'

X