This ontology provides reference data for commonly referenced interest rates, specifically those that are referenced in the ISDA FpML codes for floating interest rates. The rates included herein are generated directly from the FpML published reference data.
Copyright (c) 2015-2025 EDM Council, Inc. Copyright (c) 2015-2025 Object Management Group, Inc. Copyright (c) 2015-2025 Thematix Partners LLC Copyright (c) 2023-2025 Federated Knowledge, LLC Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the 'Software'), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions: The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software. THE SOFTWARE IS PROVIDED 'AS IS', WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE. See https://opensource.org/licenses/MIT.
The https://spec.edmcouncil.org/fibo/ontology/IND/InterestRates/CommonInterestRates.rdf version of the ontology was modified to use the Commons Ontology Library (Commons) Annotation Vocabulary rather than the OMG's Specification Metadata vocabulary.
The https://spec.edmcouncil.org/fibo/ontology/IND/InterestRates/InterestRates.rdf version of the ontology was modified to replace additional content that is now available in the OMG Commons Ontology Library (Commons) v1.2 (FND-389).
The https://spec.edmcouncil.org/fibo/ontology/IND/InterestRates/InterestRates.rdf version of this ontology was modified to normalize the prefix for the EU individuals ontology and update the reference interest rates as of 10 March 2023.
The https://spec.edmcouncil.org/fibo/ontology/IND/InterestRates/InterestRates.rdf version of this ontology was modified to normalize the prefix for the EU individuals ontology and update the reference interest rates as of 26 April 2024.
The https://spec.edmcouncil.org/fibo/ontology/IND/InterestRates/InterestRates.rdf version of this ontology was modified to update the reference interest rates as of Q4 2024.
The https://spec.edmcouncil.org/fibo/ontology/IND/InterestRates/InterestRates.rdf version of this ontology was revised extensively to restructure the way in which interest rate benchmarks are modeled and eliminate references to the merged interest rate publishers ontology.
The https://spec.edmcouncil.org/fibo/ontology/IND/InterestRates/InterestRates.rdf version of this ontology was revised to reflect the latest FpML rates, which include a number of changes, including deprecating some rates and replacing them with others.
The https://spec.edmcouncil.org/fibo/ontology/IND/InterestRates/InterestRates.rdf version of this ontology was revised to reflect the latest FpML rates.
Copyright (c) 2015-2025 EDM Council, Inc.
Copyright (c) 2015-2025 Object Management Group, Inc.
Copyright (c) 2015-2025 Thematix Partners LLC
Copyright (c) 2023-2025 Federated Knowledge, LLC
Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix, as amended through the date on which parties enter into the relevant transaction.
Per 2021 ISDA Interest Rate Derivatives Definitions Floating Rate Matrix and 2006 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.
Per 2006 ISDA Definitions or Annex to the 2000 ISDA Definitions, Section 7.1 Rate Options, as amended and supplemented through the date on which parties enter into the relevant transaction.
AUD-Quarterly Swap Rate-ICAP-Reference Banks
AUD-Semi-Annual Swap Rate-11:00-BGCANTOR
AUD-Semi-Annual Swap Rate-BGCANTOR-Reference Banks
AUD-Semi-Annual Swap Rate-ICAP-Reference Banks
CHF-3M LIBOR SWAP-CME vs LCH-ICAP-Bloomberg
CHF-3M LIBOR SWAP-EUREX vs LCH-ICAP-Bloomberg
CHF-6M LIBORSWAP-CME vs LCH-ICAP-Bloomberg
CHF-6M LIBOR SWAP-EUREX vs LCH-ICAP-Bloomberg
CHF-Basis Swap-3m vs 6m-LIBOR-11:00-ICAP
Refers to the Indice Camara Promedio ("ICP") rate for Chilean Pesos which, for a Reset Date, is determined and published by the Asociacion de Bancos e Instituciones Financieras de Chile A.G. ("ABIF") in accordance with the "Reglamento Indice de Camara Promedio" of the ABIF as published in the Diario Oficial de la Republica de Chile (the "ICP Rules") and which is reported on the ABIF website by not later than 10:00 a.m., Santiago time, on that Reset Date.
CNY-Quarterly 7D Repo NDS Rate Tradition
CNY-Quarterly 7 day Repo Non Deliverable Swap Rate-TRADITION-Reference Banks
CNY-Semi-Annual Swap Rate-11:00-BGCANTOR
CNY-Semi-Annual Swap Rate-Reference Banks
Deprecated usage: CNY 7-Repo Compounding Date - is not an floating rate index and should not be in the floating-rate-index list (it is a date).
EUR-3M EURIBOR SWAP-CME vs LCH-ICAP-Bloomberg
EUR-3M EURIBOR SWAP-EUREX vs LCH-ICAP-Bloomberg
EUR-6M EURIBOR SWAP-CME vs LCH-ICAP-Bloomberg
EUR-6M EURIBOR SWAP-EUREX vs LCH-ICAP-Bloomberg
EUR-EuroSTR ICE Compounded Index 0 Floor
EUR-EuroSTR ICE Compounded Index 0 Floor 2D Lag
EUR-EuroSTR ICE Compounded Index 0 Floor 5D Lag
EUR Basis Swap-EONIA vs 3m EUR+IBOR Swap Rates-A/360-10:00-ICAP
EUR EURIBOR-Annual Bond Swap vs 1m-11:00-ICAP
EUR EURIBOR-Basis Swap-1m vs 3m-Euribor-11:00-ICAP
EUR EURIBOR-Basis Swap-3m vs 6m-11:00-ICAP
GBP-6M LIBOR SWAP-CME vs LCH-ICAP-Bloomberg
GBP-6M LIBOR SWAP-EUREX vs LCH-ICAP-Bloomberg
GBP-SONIA ICE Compounded Index 0 Floor 2D Lag
GBP-SONIA ICE Compounded Index 0 Floor 5D Lag
GBP-Semi-Annual Swap Rate-Reference Banks
GBP-Semi Annual Swap Rate-11:00-TRADITION
GBP-Semi Annual Swap Rate-4:15-TRADITION
Deprecated usage: "HKD-HIBOR-HIBOR-Bloomberg" code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.
Deprecated usage: "HKD-HIBOR-HIBOR=" code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.
HKD-Quarterly-Annual Swap Rate-11:00-BGCANTOR
Deprecated usage: "HKD-Quarterly-Annual Swap Rate-11:00-BGCANTOR" code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.
HKD-Quarterly-Annual Swap Rate-11:00-TRADITION
Deprecated usage: "HKD-Quarterly-Annual Swap Rate-11:00-TRADITION" code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.
HKD-Quarterly-Annual Swap Rate-4:00-BGCANTOR
Deprecated usage: "HKD-Quarterly-Annual Swap Rate-4:00-BGCANTOR" code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.
HKD-Quarterly-Annual Swap Rate-Reference Banks
Deprecated usage: "HKD-Quarterly-Annual Swap Rate-Reference Banks" code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.
HKD-Quarterly-Quarterly Swap Rate-11:00-ICAP
Deprecated usage: "HKD-Quarterly-Quarterly Swap Rate-11:00-ICAP" code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.
HKD-Quarterly-Quarterly Swap Rate-4:00-ICAP
Deprecated usage: "HKD-Quarterly-Quarterly Swap Rate-4:00-ICAP" code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.
HKD-Quarterly-Quarterly Swap Rate-Reference Banks
Deprecated usage: "HKD-Quarterly-Quarterly Swap Rate-Reference Banks" code has been deprecated in supplement 79 to the 2006 ISDA definitions (Removal of certain Hong Kong Rate Options.). The code is kept in FpML for backward compatibility purposes.
Deprecated usage: "IDR-SOR-Reuters" code has been deprecated in supplement 35 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.
IDR-Semi-Annual Swap Rate-11:00-BGCANTOR
IDR-Semi-Annual Swap Rate-Reference Banks
IDR-Semi Annual Swap Rate-Non-deliverable-16:00-Tullett Prebon
Deprecated usage: "INR-BMK" code has been deprecated in supplement 54 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.
Deprecated usage: "INR-CMT" code has been deprecated in supplement 54 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.
Deprecated usage: "INR-INBMK-REUTERS" code has been deprecated in supplement 54 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.
Deprecated usage: "INR-MITOR-OIS-COMPOUND" code has been deprecated in supplement 54 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.
INR-Semi-Annual Swap Rate-11:30-BGCANTOR
INR-Semi-Annual Swap Rate-Reference Banks
INR-Semi Annual Swap Rate-Non-deliverable-16:00-Tullett Prebon
Deprecated usage: "JPY-TIBOR-TIBM (10 Banks)" code has been deprecated in supplement 47 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.
Deprecated usage: "JPY-TIBOR-TIBM (5 Banks)" code has been deprecated in supplement 47 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.
Deprecated usage: "JPY-TIBOR-TIBM (All Banks)" code has been deprecated in supplement 47 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.
JPY-TONA ICE Compounded Index 0 Floor 2D Lag
JPY-TONA ICE Compounded Index 0 Floor 5D Lag
KRW-Quarterly Annual Swap Rate-3:30-ICAP
Deprecated usage: MXN-TIIE-Banxico-Reference Banks. It was added to FpML in error, MXN-TIIE-Reference Banks should be used instead.
MYR-Quarterly Swap Rate-TRADITION-Reference Banks
Deprecated usage: "NOK-NIBOR-NIBR" code has been deprecated in supplement 49 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.
Deprecated usage: NOK-NIBOR-NIBR-Reference Banks. It was added to FpML in error, NOK-NIBOR-Reference Banks should be used instead.
NZD-Semi-Annual Swap Rate-11:00-BGCANTOR
NZD-Semi-Annual Swap Rate-BGCANTOR-Reference Banks
Deprecated usage: "PHP-PHIREF-BAP" code has been deprecated in supplement 45 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.
PHP-Semi-Annual Swap Rate-11:00-BGCANTOR
PHP-Semi-Annual Swap Rate-Reference Banks
RUB-Annual Swap Rate-TRADITION-Reference Banks
Deprecated usage: "SGD-SONAR-OIS-COMPOUND" code has been deprecated in supplement 35 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.
Deprecated usage: "SGD-SOR-Reference Banks" code has been deprecated in supplement 35 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.
SGD-Semi-Annual Currency Basis Swap Rate-11:00-Tullett Prebon
SGD-Semi-Annual Currency Basis Swap Rate-16:00-Tullett Prebon
SGD-Semi-Annual Swap Rate-11.00-TRADITION
SGD-Semi-Annual Swap Rate-11:00-BGCANTOR
SGD-Semi-Annual Swap Rate-11:00-Tullett Prebon
SGD-Semi-Annual Swap Rate-16:00-Tullett Prebon
SGD-Semi-Annual Swap Rate-ICAP-Reference Banks
SGD-Semi-Annual Swap Rate-Reference Banks
SGD-Semi-Annual Swap Rate-TRADITION-Reference Banks
Deprecated usage: "THB-SOR-Reference Banks" code has been deprecated in supplement 38 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.
Deprecated usage: "THB-SOR-Reuters" code has been deprecated in supplement 35 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.
THB-Semi-Annual Swap Rate-11:00-BGCANTOR
Deprecated usage: the code has been deprecated in supplement 38 to the 2006 ISDA definitions. The code is kept in FpML for backward compatibility purposes.
THB-Semi-Annual Swap Rate-Reference Banks
TRY-Semi-Annual Swap Rate-TRADITION-Reference Banks
TWD-Quarterly-Annual Swap Rate-11:00-BGCANTOR
TWD-Quarterly-Annual Swap Rate-Reference Banks
USD-3M LIBOR SWAP-CME vs LCH-ICAP-Bloomberg
USD-6M LIBOR SWAP-CME vs LCH-ICAP-Bloomberg
USD-Municipal Swap Libor Ratio-11:00-ICAP
Deprecated usage: the code has been deprecated in supplement 36 to the 2006 ISDA definitions (Section 7.1 (ab) (xxviii) USD-SIBOR-SIBO is deleted in its entirety). The code is kept in FpML for backward compatibility purposes.
USD-SOFR ICE Compounded Index 0 Floor 2D Lag
USD-SOFR ICE Compounded Index 0 Floor 5D Lag
USD-TBILL Secondary Market-Bond Equivalent Yield
VND-Semi-Annual Swap Rate-11:00-BGCANTOR
VND-Semi-Annual Swap Rate-Reference Banks
ZAR-Quarterly Swap Rate-TRADITION-Reference Banks