Description

Type: String

Name of benchmark curve. (Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Valid values:

  • EONIA = EONIA
  • EUREPO = EUREPO
  • Euribor = Euribor
  • FutureSWAP = FutureSWAP
  • LIBID = LIBID
  • LIBOR = LIBOR (London Inter-Bank Offer)
  • MuniAAA = MuniAAA
  • OTHER = OTHER
  • Pfandbriefe = Pfandbriefe
  • SONIA = SONIA
  • SWAP = SWAP
  • Treasury = Treasury
  • FEDEFF = US Federal Reserve fed funds effective rate

    US Federal Reserve fed funds effective rate or the weighted average of the actual negotiated rates banks pay each other to to borrow funds.

  • FEDOPEN = US fed funds target rate

    Fed funds target rate as determined by the US Federal Reserve Federal Open Market Committee.

  • EURIBOR = Euro interbank offer rate
  • AUBSW = Australian Bank Bill Swap Rate
  • BUBOR = Budapest Bank Offered Rate
  • CDOR = Canadian Dollar Offered Rate
  • CIBOR = Copenhagen Interbank Offered Rate
  • EONIASWAP = Euro Overnight Index Average Swap Rate
  • ESTR = Euro Short Term Rate

    Replaces EONIA.

  • EURODOLLAR = Euro Dollar Rate
  • EUROSWISS = Euro Swiss Franc Rate
  • GCFREPO = DTCC General Collateral Finance Repo Index
  • ISDAFIX = ICE Swap Rate
  • JIBAR = Johannesburg Interbank Agreed Rate
  • MOSPRIM = Moscow Prime Offered Rate
  • NIBOR = Nigeria Three Month Interbank Rate
  • PRIBOR = Czech Republic Interbank Offered Rate
  • SOFR = Secured Overnight Financing Rate

    Replaces LIBOR.

  • STIBOR = Stockholm Interbank Offered Rate
  • TELBOR = Bank of Israel Interbank Offered Rate
  • TIBOR = Tokyo Interbank Offered Rate
  • WIBOR = Warsaw Interbank Offered Rate

Used In