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
  • AONIA = Reserve Bank of Australia Interbank Overnight Cash Rate

    Also known as AUD Overnight Index Average.

  • AONIA-R = Realised AONIA

    "Realised AONIA applies a compounding formula to the daily AONIA rate, to determine the compounded average rate over the prior 1 to 6 month period." (source https://www.asx.com.au/documents/products/realised-aonia-explained.pdf).

  • BKBM = New Zealand Bank Bill Market Rate
  • CD91D = Republic of Korea 90-Day Certificate of Deposit Rate
  • CORRA = Canadian Overnight Repo Rate Average
  • DIRR-TN = Danish Interbank Interest Rate-Tomorrow or Next
  • EIBOR = Emirates Interbank Offered Rate
  • FixingRepoRate = China Interbank Overnight Repo Rate
  • HIBOR = Hong Kong Interbank Offered Rate
  • IBR = Colombia Overnight Interbank Reference Rate
  • KLIBOR = Kuala Lumpur Interbank Offered Rate
  • MIBOR = Mumbia Interbank Offered Rate
  • NZONIA = New Zealand Overnight Indexed Swaps (OIS)
  • PHIREF = Philippines Interbank Reference Rate
  • REIBOR = Reykjavik Interbank Offered Rate
  • SAIBOR = Saudi Arabian Interbank Offered Rate
  • SARON = Swiss Average Rate Overnight
  • SORA = Singapore Swap Offer Rate
  • TLREF = Turkish Lira Overnight Reference Rate
  • TIIE = Mexico Interbank Equilibrium Interest Rate
  • THBFIX = Thai Baht Interest Rate Fixing
  • TONAR = Tokyo Overnight Average Rate

Used In