| COVERAGE | CURVE | HISTORY | DESCRIPTION | SOURCE |
|---|---|---|---|---|
| Alternative Reference Rates | ||||
| SOFR (USD)
ESTR (EUR) SONIA (GBP) CORRA(CAD) TONA (JPY) SORA (SGD) SARON (CHF) |
SOFR OIS SOFR v 3M LIBOR SOFR v FED FUND SOFR v 3M LIBOR (IMM DATES) SOFR v FED FUND (IMM DATES) SOFR OIS (IMM DATES) SOFR OIS (FOMC DATES) FRA-OIS SPD (FOMC DATES) FRA-OIS SPD (FRA DATES) SOFR v TSY SPD ESTR OIS ESTR OIS (FRA DATES) ESTR OIS (IMM DATES) ESTR v 3M EURIBOR ESTR v EONIA FRA-OIS SPD (FRA DATES) FRA-OIS SPD (IMM DATES) SONIA OIS FRA-OIS SPD (FRA DATED) SONIA v 3M LIBOR SONIA OIS (IMM DATED) SONIA OIS (MPC DATED) CORRA OIS FRA-OIS SPD (FRA DATES) CORRA OIS (BOC DATES) CORRA OIS (FRA DATES) CORRA OIS (IMM DATES) CORRA v SOFR CORRA v ESTR 3M CDOR v SOFR 3M CDOR v ESTR TONA OIS FRA-OIS SPD (FRA DATES) TONA OIS (IMM DATES) TONA OIS (FRA DATES) TONA OIS (BOJ DATES) TONA v SOFR SORA OIS SORA OIS (FRA DATES) SORA v 6M SOR FRA-OIS SPD (FRA DATES) SARON OIS SARON OIS (FRA DATES) SARON v 3M LIBOR FRA-OIS SPD (FRA DATES) SARON v SOFR |
2019
2021 2021 2018 2019 2018 2019 2022 2018 2019 2021 2021 2018 2021 |
Swaps (v Risk Free Rate) Swaps (v Risk Free Rate) Basis Swaps Forward Basis Swaps Forward OIS FRA Spread SOFR v Treasury Swap Spread Swaps (v Risk Free Rate) Forward OIS Forward OIS Basis Swaps FRA Spread Swaps (v Risk Free Rate) FRA Spread Basis Swaps Forward OIS Swaps (v Risk Free Rate) FRA Spread Forward OIS Currency Basis Swaps Swaps (v Risk Free Rate) FRA Spread Forward OIS Currency Basis Swaps Swaps (v Risk Free Rate) Forward OIS Basis Swaps FRA Spread Swaps (v Risk Free Rate) Forward OIS Basis Swaps FRA Spread Currency Basis Swaps |
Fenics |
| SOFR (USD)
ESTR (EUR) SONIA (GBP) AONIA (AUD) HONIA (HKD) SORA (SGD) THOR (THB) NOWA (NOK) SARON (CHF) STIBOR (SEK) CIBOR (DKK) OCR (NZD) RUONIA (RUB) |
SOFR OIS SOFR v 3M LIBOR SOFR v FED FUND SOFR v TSY SPD ESTR OIS ESTR v 3M EURIBOR ESTR v EONIA ESTR IMM v 3M EURIBOR ESTR IMM v 3M EONIA ESTR OIS (ECB DATES) ESTR OIS (FRA DATES) FRA-OIS SPD (IMM DATES) ESTR v SOFR ESTR v SONIA ESTR v SARON ESTR v 3M STIBOR ESTR v 3M NIBOR ESTR v 3M CIBOR SONIA OIS SONIA OIS (MPC DATES) SONIA v SOFR SONIA v ESTR AONIA OIS AONIA OIS (RBA DATES) AONIA OIS v 3M BBSW spread BOBs 3M BBSW v SOFR AONIA v SOFR HONIA OIS HONIA vs 3M HIBOR HONIA v SOFR 3M HIBOR v SOFR SORA OIS SORA vs SOFR SORA v 6M SOR SORA v 3M SOR SORA v 1M SOR SORA v SOFR THOR OIS THOR OIS (ND) THOR v 6M THBFIX THOR v SOFR NOWA OIS NOWA v 3M OIBOR 3M NIBOR v SOFR 3M NIBOR v ESTR SARON OIS SARON v SOFR SARON v ESTR 3M STIBOR v SOFR 3M STIBOR v ESTR 3M CIBOR v SOFR 3M CIBOR v ESTR 3M BKBM v SOFR RUONIA OIS 3M MOSPRIME v SOFR |
2021
2020 2021 2022 2015 2021 2022 2013 2014 2020 2021 2020 2022 2020 2021 2020 2021 2021 2022 2020 2021 2022 2021 2022 2021 2022 2022 2021 2022 |
Swaps (v Risk Free Rate) Basis Swaps SOFR v Treasury Swap Spread Swaps (v Risk Free Rate) Basis Swaps Forward Basis Swaps Forward OIS FRA Spread Currency Basis Swaps Swaps (v Risk Free Rate) Forward OIS Currency Basis Swaps Swaps (v Risk Free Rate) Forward OIS Mid Spread Basis Swaps Currency Basis Swaps Swaps (v Risk Free Rate) Basis Swap Currency Basis Swaps Cross Currency Swap Swaps (v Risk Free Rate) Currency Basis Swaps Basis Swap Currency Basis Swaps Swaps (v Risk Free Rate) ND Swaps (v Risk Free Rate) Basis Swaps Currency Basis Swaps Swaps (v Risk Free Rate) Basis Swap Currency Basis Swaps Swaps (v Risk Free Rate) Currency Basis Swaps Currency Basis Swaps Currency Basis Swaps Currency Basis Swaps Swaps (v Risk Free Rate) Cross Currency Swap |
BGC |
| SONIA (GBP)
RUONIA (RUB) |
SONIA OIS SONIA OIS (BUTTERFLY SPREAD) SONIA OIS (MPC DATES) RUONIA OIS |
2021
2022 2020 |
Swaps (v Risk Free Rate) Spreads Forward OIS Swaps (v Risk Free Rate) |
GFI |
|
ESTR (EUR)
SONIA (GBP) SARON (CHF) NOWA (NOK) |
ESTR vs SOFR
SONIA OIS SONIA OIS (MPC DATES) SONIA OIS (1Y FRA) SONIA v ESTR SONIA v SOFR SARON v SOFR NOWA OIS FRA-OIS SPD (IMM DATES) |
2021
2015 2021 2021 2020 |
Currency Basis Swaps
Swaps (v Risk Free Rate) Forward OIS Currency Basis Swaps Currency Basis Swaps Swaps (v Risk Free Rate) FRA Spreads (IMM dates) |
RP Martin |
| CORRA (CAD) | CORRA OIS CORRA OIS (BOC DATES) CORRA v 3M CDOR CORRA v 3M BA (IMM DATES) |
2015 | Swaps (v Risk Free Rate) Basis Swaps Forward Basis Swaps Forward OIS |
Freedom Brokers |
* Data available as EOD/ Intraday Snapshot files over FTP, or Real-time directly from FenicsMD via API or via the FenicsMD Vendor Partner Network