The Market Data Model is a base package of the Financial Industry Business Data Model, FIB-DM. It contains entities that represent temporally variant concepts for financial instruments, loans, and funds. As such, this domain covers the concepts embodied in market data, such as prices, yields, and analytics for debt and pools of assets.
Market Data has seven major sub-packages:
| Debt Analytics | The package for data model objects derived from the Debt Analytics ontology module. This ontology covers an extensive range of analytical measures for debt instruments and pools of debt instruments. Market Data covers the well-known concepts of convexity, duration, and life, as well as weighted average loan ages and maturities, prepayments speeds for debt pools. The package includes most of the widely referenced variants, for example modified duration, and some yield-related concepts (e.g., for equivalent yield). |
| Debt Pricing Yields | Entities in this package derived from the Debt Pricing Yields ontology module. Debt pricing and yields are intimately related, and this ontology sets out the basic concepts of debt price, including different ways in which debt and bod prices are described and calculated, as well as a range of different kinds of yield (simple yield, Wall Street Yield, Japanese Yield and so on). The pricing terms are supported by a range of trading and exchange-related concepts that are used to differentiate different kinds of debt prices, for example, last, high, and low exchange prices. Note that there seems to be some cross-over between terms in this ontology and in the Debt Analytics ontology, for example, Macaulay’s Duration is here while modified duration is in the other ontology, and similarly, some yield terms are in that other ontology. This was originally one single ontology, and these two ontologies should be used together. |
| ET Options Temporal | The package for data model objects derived from the ET Options Temporal ontology module. Exchange-traded options date and time-dependent terms such as pricing, time values, margining, as well as volatility and other analytics. Also covers greeks (deltas, thetas etc.) |
| Funds Temporal | The package for data model objects derived from the Funds Temporal ontology module. Terms that have a time component (either real-time, intra-day or dated terms). These include Net Present Value (NPV) and related analytics. |
| Futures Temporal | The package for data model objects derived from the Futures Temporal ontology module. Exchange-traded futures date and time-dependent terms such as prices and margins. Also covers greeks (thetas etc.) |
| Security Credit Statuses | The package for data model objects derived from the Security Credit Statuses ontology module. This ontology extends the credit status ontology to define credit status concepts that are specific to issued securities. These include cash flow status and the primary credit statuses of being OK or in default. Note that in application data models, these concepts would be represented as one or more selectable code lists or enumerations. |
| Security Trading Statuses | The package for data model objects derived from the Security Trading Statuses ontology module. This ontology defines the various kinds of trading status that a security may be in at any given point in time. These include such terms as active and halted, inactive and so on, along with their qualifying terms. |
The diagram shows Debt Pricing Yields. The Semantic Model of source, industry-standard ontology derives a clean and clear entity-relationship diagram. There are three clusters of entities connected through associations. Debt Security Prices, the Yield Calculation Method, and the resulting Debt Instrument Yield.
Right- or double-click to open the image in a separate tab. Then you can zoom and scroll the SVG diagram.
Visit the FIB-DM website for more Market Data and other subject area diagrams.
The table shows entities with their name, code, and description.
| Name | Code | Description |
| Absolute Prepayment Rate | fibo-md-dbtx-py:AbsolutePrepaymentRate | The absolute prepayment rate (for ABS) is the standard measure of prepayment rates in the auto-loan sector. ABS measures the monthly rate of loan prepayments as a percentage of the original pool balance. ABS is defined by the following formula where SMM refers to Single Monthly Mortality, which measures the percentage of dollars prepaid in a given month expressed as a percentage of the scheduled loan balance. ABS = (100 * SMM)/100 + (SMM X (Age- 1) |
| Absolute Prepayment Rate Formula | fibo-md-dbtx-py:AbsolutePrepaymentRateFormula | ABS is defined by the following formula where SMM refers to Single Monthly Mortality, which measures the percentage of dollars prepaid in a given month expressed as a percentage of the scheduled loan balance. ABS = (100 * SMM)/100 + (SMM X (Age- 1) |
| absolute Prepayment Rate Has Value | fibo-md-dbtx-py:absolutePrepaymentRateHasValue | The value of the rate itself, at a given point in time, expressed as a percentage. |
| Accrued Interest Amount | fibo-md-dbtx-py:AccruedInterestAmount | The interest accrued on the bond or debt instrument at the time that the price is quoted. If this is a dirty price, this is the amount of accrued interest that is included in the price. This is therefore passed on to the purchaser of the bond or debt instrument. |
| accrued Interest Amount Has Value | fibo-md-dbtx-py:accruedInterestAmountHasValue | The amount of accrued interest, at a point in time, expressed as a percentage/ |
| Active | fibo-md-temx-trs:Active | Security is actively traded |
| Actively Trading | fibo-md-temx-trs:ActivelyTrading | Security is actively traded on the exchange or trading facility |
| Algo Debt Credit Spread | fibo-md-dbtx-py:AlgoDebtCreditSpread | The Spread between the Debt Instrument Maturity and the Credit Rating of the Issuer. |
| Average Life | fibo-md-dbtx-aly:AverageLife | An estimate of the number of terms to maturity, taking the possibility of early payments into account. Average life is calculated using the weighted average time to the receipt of all future cash flows. |
| Average Life At Issue | fibo-md-dbtx-aly:AverageLifeAtIssue | The Average Life analytic at the time the security was issued. |
| average Life Value | fibo-md-dbtx-aly:averageLifeValue | The value of the Average Life analytic at some time in the past or at the present. For MBS this would be expressed as a month eg 50 months. |
| Bond Equivalent Yield | fibo-md-dbtx-py:BondEquivalentYield | Yield determined on an equivalent basis to the yield of another bond. This is used to be able to realistically compare prices between debt instruments across different markets. |
| Bond Exchange Closing Price | fibo-md-dbtx-py:BondExchangeClosingPrice | The price at close of trading on a given trading day on an exchange. |
| Bond Exchange High Price | fibo-md-dbtx-py:BondExchangeHighPrice | The highest valuation over the period specified. |
| Bond Exchange Last Price | fibo-md-dbtx-py:BondExchangeLastPrice | The last (or most recent) valuation. |
| Bond Exchange Low Price | fibo-md-dbtx-py:BondExchangeLowPrice | The lowest valuation over the period specified. Possibly but not necessarily based on a trade. Determined by the trading venue as to whether it’s based on a trade or an offer. this can be regarded as a derived price. Price is based on a riule whil will cause one to pick a certain price type. |
| Bond Exchange Opening Price | fibo-md-dbtx-py:BondExchangeOpeningPrice | The value at the beginning of trading or opening of the market. |
| Cash Structured Finance Instrument Price | fibo-md-dbtx-py:CashStructuredFinanceInstrumentPrice | When the price is above a certain level (70), you get a quote in reference to an index e.g. LIBOR+50bp i.e. the yield. When you get below a certain price you get a quote such as 65c to a dollar. Percentage? not seen. Would be a whole number, interpreted as c/$ |
| Clean Price | fibo-md-dbtx-py:CleanPrice | A bond or debt instrument price that does not include accrued interest. |
| Collection Of Debt Instruments | fibo-md-dbtx-aly:CollectionOfDebtInstruments | Statistical population consisting of one or more tradable debt instrument(s) |
| Collection Of Debt Pools | fibo-md-dbtx-aly:CollectionOfDebtPools | Statistical population consisting of one or more pools consisting of debt instrument(s) |
| Credit OK | fibo-md-temx-crs:CreditOK | Not defaulted. |
| Credit Spread | fibo-md-dbtx-py:CreditSpread | Yield spread that reflects the additional net yield an investor can earn from a security with more credit risk relative to one with less credit risk |
| Current Yield Calculation Method | fibo-md-dbtx-py:CurrentYieldCalculationMethod | The ratio of the interest payment amount to the clean price. |
| Debt Convexity Analytic | fibo-md-dbtx-aly:DebtConvexityAnalytic | The second derivative of a security’s price with respect to its yield, divided by the security’s price. A security exhibits positive convexity when its price rises more for a downward move in its yield than its price declines for an equal upward move in its yield. Further notes: A measure of the change in price for a given change in Modified Duration. This always (necessarily) refers to Modified Duration. This is used as another risk measurement. Numerator is always (a) duration – either MacCaulays or Modified. Always rate of change of (one of the) Duration against some other parameter. The other paramater can be characterised as a Yield (it may be the Price, but that has a relationship to the Yield in any case). REVIEW: Inconsistency in the above – is it always necessarily Modified Duration that is referred to, or “any” Duration measure (Macaulays and.or Modified)? notes 9 Dec A measure of the sensitivity of the price with reference to interest rates. This is normally determined with reference to maturity, but since there are different maturity dates, this figure gives an estimate of the equitvalent if you had a homogenous portfolio, i.e. this is an estimate based on a pure equivalent, homogenous portfolio. Convexity of instrument versus portfolio. Sees instrument in terms of the set of cashflows. The term Convexity can be applied either to a bond or to a portfolio. More notes: When you get Convexit in MD, it will tell you what Duration it is refrfering to, along with Redemption Date (logically). Also if there is Option Adjusted Yield, there is a third set of analytics. What are they? i.e. OA Convexity, Duration Yield and the rest. Conclusions: Agreed to revisit this in OTC. |
| Debt Independently Evaluated Price | fibo-md-dbtx-py:DebtIndependentlyEvaluatedPrice | Evaluated Price is the price you get from the vendors. |
| Debt Instrument Analytical Parameter | fibo-md-dbtx-aly:DebtInstrumentAnalyticalParameter | Parameter describing some aspect of the behavior of one or more debt instrument(s) that may vary over time |
| Debt Instrument Yield | fibo-md-dbtx-py:DebtInstrumentYield | The return on the debt instrument at the stated price. |
| Debt Pool Analytical Parameter | fibo-md-dbtx-aly:DebtPoolAnalyticalParameter | Measure of some aspect of some pool or pools of debt, such as a pool of loans or a pool of securitized debt products |
| Debt Price Spread | fibo-md-dbtx-py:DebtPriceSpread | The difference between the [what?] of a security and the fair price value of a different security which is used as a point of reference. The spread is used to determine the price of the instrument. (draft definition) |
| Debt Published Point In Time Price | fibo-md-dbtx-py:DebtPublishedPointInTimePrice | A debt price, usually in the form of a spread, published by a data provider at some point in time such as the end of the trading day. |
| Debt Securities Market Maker | fibo-md-dbtx-py:DebtSecuritiesMarketMaker | An actor which has the role of Market Maker in a given market. |
| Debt Security Bid Price | fibo-md-dbtx-py:DebtSecurityBidPrice | A price quoted for purchase of a quantity of a debt security in the marketplace. This may be either the OTC market or a securities exchange or a composite market consisting of several exchanges or trading facilities. |
| Debt Security Offer Price | fibo-md-dbtx-py:DebtSecurityOfferPrice | A price quoted for sale of a quantity of a debt security in the marketplace. This may be either the OTC market or a securities exchange or a composite market consisting of several exchanges or trading facilities. |
| Debt Security Price | fibo-md-dbtx-py:DebtSecurityPrice | Price of a debt instrument at a specific point in time |
| Debt Yield To Average Life | fibo-md-dbtx-py:DebtYieldToAverageLife | The yield achieved by substituting a bond’s average life for the issue’s final maturity date. |
| Debt Yield To Equivalent Life | fibo-md-dbtx-py:DebtYieldToEquivalentLife | The yield achieved by substituting a bond’s equivalent life for the issue’s final maturity date. |
| Debt Yield To Maturity | fibo-md-dbtx-py:DebtYieldToMaturity | The internal rate of return an investor would achieve if he or she purchased that bond at its current dirty price, and held it to maturity, assuming all coupon and principal payments are received as scheduled. |
| Debt Yield To Next Call | fibo-md-dbtx-py:DebtYieldToNextCall | The yield of a bond to the next possible call date. |
| Debt Yield To Worst | fibo-md-dbtx-py:DebtYieldToWorst | Yield to the worst case of when the instrument might be called. |
| Default Rate | fibo-md-dbtx-py:DefaultRate | The rate at which holders of loans in the pool default on those loans. |
| Delta | fibo-md-derx-eto:Delta | First derivative of option value with respect to theoretical price is a delta (or on a position). Theoretical price |
| Derived Price | fibo-md-dbtx-py:DerivedPrice | Any price which is derived from some other source or calculation rather than being the price at which something actually traded or was quoted. |
| determination Date | fibo-md-civx-fun:determinationDate | The date when the price is determined. and time. |
| determination Period | fibo-md-civx-fun:determinationPeriod | THe period for which the performance is determined |
| Discounted Instrument Yield | fibo-md-dbtx-py:DiscountedInstrumentYield | Yield quoted for a discount instrument. This is the ratio of the discount to the face value, divided by the period to maturity as a fraction of a year. |
| Duration Analytic | fibo-md-dbtx-aly:DurationAnalytic | Weighted average time to receipt of all the payments. |
| equivalent Life Value | fibo-md-dbtx-aly:equivalentLifeValue | The Equivalent Life in years at the stated date. |
| ET Option Premium | fibo-md-derx-eto:ETOptionPremium | The amount that is paid for an option. That’s for the whole contract. Units: The premium is a monetary amount; the rate is a percentage. |
| Exchange Options Price | fibo-md-derx-eto:ExchangeOptionsPrice | Options prices types: Bid Ask There is also a bid/ask spread exchange will quote option price as a premium rate. e.g. I ill pay you 2% of face value of underlying trade. That turns into a price (Premium = face x that 2%). OTC uses volatility to get to premium value. |
| Exchange Security Trading Status | fibo-md-temx-trs:ExchangeSecurityTradingStatus | Trading status of a listed security on a given trading exchange |
| exchange Traded Bond Price Has Value | fibo-md-dbtx-py:exchangeTradedBondPriceHasValue | The percentage value of the price at a given point in time |
| factor Value | fibo-md-dbtx-aly:factorValue | The factor, expressed as a numeric amount in the past or present. |
| FFIEC Down300Prepay Speed | fibo-md-dbtx-aly:FFIECDown300PrepaySpeed | Public Securities Association (PSA) speed used for the underlying collateral for cash-flow calculations in the “down 300” scenario. |
| FFIEC Up300Prepay Speed | fibo-md-dbtx-aly:FFIECUp300PrepaySpeed | Public Securities Association (PSA) speed used for the underlying collateral for cash-flow calculations in the “up 300” scenario. |
| Futures Daily Settlement Price | fibo-md-der-fut:FuturesDailySettlementPrice | Review whether this exists |
| Futures Greek | fibo-md-der-fut:FuturesGreek | Quantity representing the sensitivity of the price of a future or futures to a change in underlying parameters on which the value depends |
| Futures Trading Account Holder | fibo-md-der-fut:FuturesTradingAccountHolder | A party who has an account for futures trading at a derivatives exchange. Further notes: The trader opens an account with a given amount known as a margin. |
| ICMA Yield Formula | fibo-md-dbtx-aly:ICMAYieldFormula | The calculation method specified by ICMA (formerly ISMA) for determination of yield for fixed-rate bonds. |
| In Default | fibo-md-temx-crs:InDefault | The issuer has failed to pay somthing that they are contractually obliged to pay. |
| Initial Margin | fibo-md-der-fut:InitialMargin | Money or securities put up as a good faith deposit assuring that a future contract will be fulfilled |
| Instrument Weighted Average Loan Age | fibo-md-dbtx-aly:InstrumentWeightedAverageLoanAge | A dollar-weighted average measuring the age of the individual loans in a mortgage pass-through or pooled security, such as Ginnie Mae or a Freddie Mac security. The WALA is measured as the time in months since the origination of the loans, with the weighting based on each loan’s size in proportion to the aggregate total of the pool. |
| Instrument Weighted Average Remaining Maturity | fibo-md-dbtx-aly:InstrumentWeightedAverageRemainingMaturity | The weighted average of the time until all maturities on loans in a mortgage-backed or asset backed security. The higher the weighted average to maturity of the loans, the longer the loans in the security have until maturity. |
| Internally Determined Price Spread | fibo-md-dbtx-aly:InternallyDeterminedPriceSpread | The spread determined internally within the organisation from information available at their own trading desks. Further Notes Internal prices within a bank would be determined by surveying their own traders. So e.g. corporate desk trades these 30 bonds, get the daily spreads on those at the end of the day and calculate the price. The traders determine the pricing during the based on market movements. (this is all for OTC traded bonds, not exchange traded bonds). |
| Interpolated Price | fibo-md-dbtx-py:InterpolatedPrice | A price determined by interpolation between available price figures, using some algorithm or curve. |
| Issued (md) | fibo-md-temx-trs:Issued | The security has been issued into the secondary market. |
| Japanese Compound Yield Calculation Method | fibo-md-dbtx-py:JapaneseCompoundYieldCalculationMethod | No definition in selection list. |
| Japanese Simple Yield Calculation Method | fibo-md-dbtx-py:JapaneseSimpleYieldCalculationMethod | No definition.Term put here from memory. 02 Dec changed from Japanese Yield to Japanese Simple Yield. note hat Japanese Compound yield also here (from FIBIM or anothe rlist, added 25 nov with the rest). |
| Life Analytic | fibo-md-dbtx-aly:LifeAnalytic | Some measure of the life of a security, other than the actual time to maturity itself. This is a derived figure, based on certain parameters as appropriate to that type of instrument, to give a figure that is equivalent to and similar to the basic maturity of the instrument, for the purposes of analysing that security. |
| Loan Age | fibo-md-dbtx-py:LoanAge | The age of the loan. |
| Loan Pool Prepayment Model | fibo-md-dbtx-py:LoanPoolPrepaymentModel | Model of the prepayments of loans in a pool of individual loans, such as a mortgage pool or loan pool. |
| Loan Prepayment Formula | fibo-md-dbtx-py:LoanPrepaymentFormula | The formula which embodies the model for loan pool prepayment speed. |
| Locally Derived Price | fibo-md-dbtx-py:LocallyDerivedPrice | A price derived locally from information supplied by a market data vendor such as an end of day spread. |
| Maturity Equivalent PSA | fibo-md-dbtx-aly:MaturityEquivalentPSA | Prepayment speed that results in the same average life as that computed for the Collateralized Mortgage Obligation (CMO), Asset Backed Securities (ABS) or Mortgage Backed Securities (MBS) using the Maturity Prepay Model. |
| Minimum Margin | fibo-md-der-fut:MinimumMargin | The lowest amount an account can reach before needing to be replenished. |
| Modified Duration Analytic | fibo-md-dbtx-aly:ModifiedDurationAnalytic | The percentage price change of a security for a given change in yield. The higher the modified duration of a security, the higher its risk. Ad/ModDuration = [duration / {1 + (IRR/M)}]; where IRR is the internal rate of return and M is the number of compounding periods per year. |
| modified Duration Value | fibo-md-dbtx-aly:modifiedDurationValue | The Modified Duration in Years. |
| Mortgage Instrument Weighted Average Remaining Maturity | fibo-md-dbtx-aly:MortgageInstrumentWeightedAverageRemainingMaturity | The weighted average of the time until all maturities on mortgages in a mortgage-backed security (MBS). The higher the weighted average to maturity, the longer the mortgages in the security have until maturity. |
| Native Yield | fibo-md-dbtx-py:NativeYield | The yield of the security as determined using the Yield Calculation Method that is the default for the market that the security is traded in. |
| Native Yield Calculation Method | fibo-md-dbtx-py:NativeYieldCalculationMethod | The convention used in the marketplace for that security. |
| Next Call | fibo-md-dbtx-py:NextCall | The next call of the issue, as at the current time. |
| Next Call Date | fibo-md-dbtx-py:NextCallDate | The next date on which the issue can be called, from the present date. |
| Next Put | fibo-md-dbtx-py:NextPut | The next available put date for the issue, as at the current time. |
| Option Adjusted Yield | fibo-md-dbtx-py:OptionAdjustedYield | NB specified as a spread. synonym: OAS Based on different Int Rate paths. There are different OAS models just like there are different Yield methods. Also would make reference to the Yield Curve – but these are parameters that go into that model. Limit this model at the point where it distinguishes the difference between things – we are not in a position to mathematically model the things themselves, just capture the basic facts. |
| Option Daily Settlement Price | fibo-md-derx-eto:OptionDailySettlementPrice | The official price at the end of a trading session. This price is established by The Options Clearing Corporation and is used to determine changes in account equity, margin requirements, and for other purposes. |
| Option Intrinsic Value | fibo-md-derx-eto:OptionIntrinsicValue | Intrinsic Value (Calls): When the underlying security’s price is higher than the strike price a call option is said to be “in-the-money.” Intrinsic Value (Puts): If the underlying security’s price is less than the strike price, a put option is “in-the-money.” Only in-the-money options have intrinsic value, representing the difference between the current price of the underlying security and the option’s exercise price, or strike price. |
| Option Theoretical Value | fibo-md-derx-eto:OptionTheoreticalValue | Theoretical value looks at variability of the price. The longer until exercise the more this will vary. the more likely it is to finish in the money, the more I am likely to pay for it. But meanwhile, I also have to look at the current value – the amount I would pay for the thing. Any change would be a cost to me. |
| Option Time Value | fibo-md-derx-eto:OptionTimeValue | Prior to expiration, any premium in excess of intrinsic value is called time value. Time value is also known as the amount an investor is willing to pay for an option above its intrinsic value, in the hope that at some time prior to expiration its value will increase because of a favorable change in the price of the underlying security. The longer the amount of time for market conditions to work to an investor’s benefit, the greater the time value. |
| Option Volatility | fibo-md-derx-eto:OptionVolatility | A measure of the fluctuation in the market price of the underlying security. Mathematically, volatility is the annualized standard deviation of returns. More generally: A measure of stock price fluctuation. Mathematically the volatility is the annualized standard deviation of a stock’s daily price changes |
| Options Greek | fibo-md-derx-eto:OptionsGreek | Quantity representing the sensitivity of the price of an option or options to a change in underlying parameters on which the value depends |
| Options Theta | fibo-md-derx-eto:OptionsTheta | A measure of the rate of change in an option’s theoretical value for a one-unit change in time to the option’s expiration date. Action: add terms that define or influence this. |
| Options Vega | fibo-md-derx-eto:OptionsVega | A measure of the rate of change in an option’s theoretical value for a one-unit change in the volatility assumption. Action: add terms that define or influence this. |
| OTC Bond Market Price | fibo-md-dbtx-py:OTCBondMarketPrice | The price determined for the marketplace for a bond which is traded over the counter. |
| Partial Calls Estimation Model | fibo-md-dbtx-aly:PartialCallsEstimationModel | A model of how the early partial calls are estimated. |
| point In Time Price Has Value | fibo-md-dbtx-py:pointInTimePriceHasValue | Is normally be expressed in basis points, although the meaning of BP implies a percentage value. Change this to BP. |
| Pool Factor | fibo-md-dbtx-aly:PoolFactor | How much of the original pool is still outstanding. This is a number below one. Expressed as percentage. |
| Pool Paydown Rate | fibo-md-dbtx-aly:PoolPaydownRate | The rate at which the pool is paying down. This is based on observed factor. CPR, SMM, etc. etc. Measured differently for different kinds of security. CBO might have a prepayment rate for example if the underlying bond is callable. with a non agency mortgge dela, defualts will effect this. so for instance there is principal is no lnger inthe pool because the mortgagee defaults. With agency these are not taken out in the case of default but for non agency these mortgages are removed from the pool if and when a mortgagee defualts. |
| Pool Weighted Average Loan Age | fibo-md-dbtx-aly:PoolWeightedAverageLoanAge | A dollar-weighted average measuring the age of the individual loans in a mortgage pass-through or pooled security, such as Ginnie Mae or a Freddie Mac security. The WALA is measured as the time in months since the origination of the loans, with the weighting based on each loan’s size in proportion to the aggregate total of the pool. |
| Pool Weighted Average Remaining Maturity | fibo-md-dbtx-aly:PoolWeightedAverageRemainingMaturity | The weighted average of the time until all maturities on loans in a pool. The higher the weighted average to maturity of the loans, the longer the loans in the pool have until maturity. REVIEW: Adapted from instrument specific definition from Investopedia. Review of 23 September identified that certain figures exist for pool and for instrument, whereas Investopedia definition was for Instrument (tranche, class etc.). |
| Prepayment Speed | fibo-md-dbtx-aly:PrepaymentSpeed | The rate at which the pool is paying down. |
| price Value | fibo-md-dbtx-py:priceValue | The price of the debt instrument expressed as a percentage of the par value of the instrument. |
| Published End Of Day Price | fibo-md-dbtx-py:PublishedEndOfDayPrice | A price published by a market data vendor at the end of the trading day. |
| Published Price As Rate Spread | fibo-md-dbtx-py:PublishedPriceAsRateSpread | A debt instrument price quoted or defined in terms of a spread of that instrument’s price with reference to some reference rate. The reference rate may be either a market interest rate such as an IBOR or the rate of interest on some reference instrument. |
| PVBP | fibo-md-dbtx-aly:PVBP | Sensitivity of the price for one basis point change in yield, defined as the difference in price given 1 bp change in yield. |
| Russian Yield Calculation Method | fibo-md-dbtx-py:RussianYieldCalculationMethod | The method used in determining Yield in the Russian markets. This is based on an effective yield with fundamentally different math. To give an example of the use of a different “yield type”, we have Russia, which trades based on an effective yield. The price-yield math is fundamentally different. Notes Origin:Fidessa Uses a trade space and effective yield formula. MAy have same day types but different math. |
| Russian Yield Formula | fibo-md-dbtx-py:RussianYieldFormula | This is based on a different Effective Yield than on another market. |
| Security Cashflow Status | fibo-md-temx-crs:SecurityCashflowStatus | The status of the cashflow due to the holder from the security. |
| Security Lifecycle Status | fibo-md-temx-trs:SecurityLifecycleStatus | Status of a security within its lifecycle |
| Security Trading Status | fibo-md-temx-trs:SecurityTradingStatus | Status of the security in terms of whether it is trading or not, and any special considerations relating to trading |
| Simple Yield Calculation Method | fibo-md-dbtx-py:SimpleYieldCalculationMethod | The annual rate of return expressed as a percentage. This is the return divided by the outlay and multiplied by 100 to express the figure as a percentage. |
| Spanish Yield Calculation Method | fibo-md-dbtx-py:SpanishYieldCalculationMethod | The method used in determining annual yield in Spanish corporate bonds. |
| US Corporate Bond Yield Calculation Method | fibo-md-dbtx-py:USCorporateBondYieldCalculationMethod | This has 30/360 and semi-annual compounding. |
| w AC Has Value | fibo-md-dbtx-py:wACHasValue | The value of the Weighted Average Coupon at some point in the past or at the present time. |
| w ALA Value | fibo-md-dbtx-aly:wALAValue | The weighted average loan age, at some point in the past or present. |
| w ARM Value | fibo-md-dbtx-aly:wARMValue | The amount of the WARM in the past or present. |
| Wall Street Yield Calculation Method | fibo-md-dbtx-py:WallStreetYieldCalculationMethod | No definition.Term put here from memory. |
| Weighted Average Coupon | fibo-md-dbtx-py:WeightedAverageCoupon | The weighted-average gross interest rates of the pool of mortgages that underlie a mortgage-backed security (MBS) at the time the securities were issued. A mortgage-backed security’s current WAC can differ from its original WAC as the underlying mortgages pay down at different speeds. In the weighted-average calculation, the principal balance of each underlying mortgage is used as the weighting factor |
| Weighted Average Time To Receipt Of Cashflows | fibo-md-dbtx-py:WeightedAverageTimeToReceiptOfCashflows | The weighted average time to the receipt of cashflows for an instrument. |
| When Distributed | fibo-md-temx-trs:WhenDistributed | Used to refer to a security that trades after the date of issue but before the time at which the certificates are delivered |
| When Issued | fibo-md-temx-trs:WhenIssued | When Issued or Gray Market trading is when a security is traded ahead of the date at which it is to be issued. |
| Worst Call | fibo-md-dbtx-py:WorstCall | Call event representing the worst case with respect to when the instrument might be called |
| Worthless | fibo-md-temx-trs:Worthless | Announcement by the regulator that the security has become worthless. |
| Yield Calculation Formula | fibo-md-dbtx-py:YieldCalculationFormula | The formula used in determining the Yield. |
| Yield Calculation Method | fibo-md-dbtx-py:YieldCalculationMethod | The method by which the yield is calculated. This includes a formula for calculation and a specific day count convention and compounding. You would apply this calculation method on top of the underlying terms and conditions, do for example the holiday calenders and so on, are used in these formulae. For final cash flow: Japanese yield will round down accrued interest. Add: The actual underlying math. Wall Street uses the same ICMA formula. |
| Yield Calculation Method only has Argument | fibo-md-dbtx-py:YieldCalculationMethod_only_fibo-fnd-utl-alx:hasArgument | A subtype of associative entity ‘has Argument’ to restrict child entities for the parent, Yield Calculation Method |
| Yield Calculation Method only has Compounding Frequency | fibo-md-dbtx-py:YieldCalculationMethod_only_fibo-fbc-dae-dbt:hasCompoundingFrequency | A subtype of associative entity ‘has Compounding Frequency’ to restrict child entities for the parent, Yield Calculation Method |