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common-domain-model

Enum: NegativeInterestRateTreatmentEnum

The enumerated values to specify the method of calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).

URI: common_domain_model:NegativeInterestRateTreatmentEnum

Permissible Values

Section titled “Permissible Values”
Value Meaning Description
NegativeInterestRateMethod None Negative Interest Rate Method
ZeroInterestRateMethod None Zero Interest Rate Method
ZeroInterestRateExcludingSpreadMethod None Per 2021 ISDA Definitions section 6

Slots

Section titled “Slots”
Name Description
negativeInterestRateTreatment The specification of any provisions for calculating payment obligations when …
negativeTreatment How to handle negative interest rates

Identifier and Mapping Information

Section titled “Identifier and Mapping Information”

Schema Source

Section titled “Schema Source”

LinkML Source

Section titled “LinkML Source”
name: NegativeInterestRateTreatmentEnum
description: The enumerated values to specify the method of calculating payment obligations
  when a floating rate is negative (either due to a quoted negative floating rate
  or by operation of a spread that is subtracted from the floating rate).
from_schema: https://w3id.org/lmodel/common-domain-model
rank: 1000
permissible_values:
  NegativeInterestRateMethod:
    text: NegativeInterestRateMethod
    description: Negative Interest Rate Method. Per 2000 ISDA Definitions, Section
      6.4 Negative Interest Rates, paragraphs (b) and (c).
  ZeroInterestRateMethod:
    text: ZeroInterestRateMethod
    description: Zero Interest Rate Method. Per 2000 ISDA Definitions, Section 6.4.
      Negative Interest Rates, paragraphs (d) and (e).
  ZeroInterestRateExcludingSpreadMethod:
    text: ZeroInterestRateExcludingSpreadMethod
    description: Per 2021 ISDA Definitions section 6.8.6