ExternalBenchmarkCurveName1Code: Benchmark Curve Name Codes

Codes

• BBSWBBSWAustralian Financial Markets Association (AFMA) Bank-Bill Reference Rate (BBSW).
• BCOLCABROVERBank of Canada Overnight Lending Rate (CABROVER).
• BJUOMUTSCALMBank of Japan Uncollateralized Overnight Call Rate (MUTSCALM).
• BUBOBUBORBudapest Interbank Offered Rate.
• CDORCDORCanadian Dollar Offered Rate.
• CIBOCIBORCopenhagen Interbank Offered Rate.
• CORACORRACanadian Overnight Repo Rate Average (CAONREPO).
• CZNACzeoniaCzech National Bank Reference Interest Rate
• EFFRFEDL01Effective Federal Funds Rate (FEDL01).
• EONAEONIAEuro OverNight Index Average rate.
• EONSEONIA SwapsEuro OverNight Index Average swap rate.
• ESTRESTEREuro Short Term Rate
• ETIOJBATIBOREuroyen Tokyo Interbank Offered Rate (EUYN03M).
• EUCHEuro SwissSwiss Franc LIBOR rate.
• EURIEuriborEuro Interbank Offer Rate is the rate at which Euro inter-bank term deposits within the Euro zone are offered by one prime bank to another prime bank.
• EUUSEURODOLLARRate for the eurodollars, time deposits denominated in U.S. dollars at banks outside the United States, and thus are not under the jurisdiction of the Federal Reserve.
• FUSWFuture SWAPPortion of a synthetic curve that is composed of Eurodollar or Treasury or similar Futures and Swap rates. The term usually begins at 3 months to 2 years for the futures strip component with the Swaps filling in the points to 10 years and beyond.
• GCFRGCF RepoGCF Repo Index, the Depository Trust & Clearing Corporation (DTCC) general collateral finance repurchase agreements index.
• HKIOHIBORHong Kong Interbank Offered Rate (HIHD01M).
• ISDAISDAFIXWorldwide common reference rate value for fixed interest rate swap rates, as defined by the International Swaps and Derivatives Association (ISDA).
• JIBAJIBARJohannesburg Interbank Agreed Rate.
• LIBILIBIDRate at which major international banks are willing to take deposits from one another, is normally 1/8 percent below LIBOR.
• LIBOLIBORLondon Interbank Offered Rate, the interest rate that major international banks in London charge each other for borrowing.
• MAAAMuni AAABenchmark curve used for municipals based on the best credit rating for municipal market debt.
• MOSPMOSPRIMMoscow Prime Offered Rate.
• NIBONIBORNorwegian Interbank Offered Rate.
• OBFROBFR01Overnight Bank Funding Rate (OBFR01).
• PFANPfandbriefePfandbriefe security is a collateralised bullet bond backed by either mortgage loans or loans to the public sector. Pfandbriefe differ from traditional asset-backed securities in significant ways. The most important difference is that Pfandbriefe carry no pre-payment risk since they remain on the balance sheet of the issuing institution. Therefore, their spreads over sovereign bonds are attributable to liquidity and credit quality alone. New indices have been created and existing indices have been modified in response to the growing importance of the Pfandbriefe market. The Deutsche Borse has three synthetic indices called REX, JEX, and PEX. The Pfandbriefe curve is used as a reference for credit as well as mortgage market.
• PRBOPRIBORCzech Fixing of Interest Rates on Interbank Deposits.
• RCTRRBATCTRRBA Cash Rate Target (RBATCTR).
• SIBOSIBORSingapore Interbank Offered Rate.
• SOFRSOFRSecured Overnight Financing Rate.
• SONASONIASterling Over Night Index Average.
• SORASORASingapore Overnight Rate Average
• SSORSORSingapore Dollar Swap Offer Rate.
• STBOSTIBORStockholm Interbank Offered Rate.
• SWAPSWAPIn curve construction, Swap is the long portion of the curve constituting about 3 years to 30 years term.
• TIBOTIBORTokyo Interbank Offered Rate.
• TLBOTELBORTel Aviv Interbank Offered Rate.
• TONATONATokyo Overnight Average Rate:
• TORFTORFTokyo Term Risk Free Rate:
• TREATreasuryTreasury benchmark that comes in three types: the yield curve, the par curve, and the spot curve. All curves also have a constituent time series.
• WIBOWIBORWarsaw Interbank Offered Rate.