Fetching Fixing Rates

Retrieve published fixing rates for overnight and term benchmarks like SOFR, SONIA, EURIBOR, and central bank policy rates.

Fixings are the official published rates for benchmark indices—the actual rates that reset floating-rate instruments. Use the /fixing endpoint to retrieve the latest or historical fixing for any supported index.

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Example: Get Latest Fixing

import requests

url = "https://api.bluegamma.io/v1/fixing"
headers = {"x-api-key": "your_api_key"}

params = {
    "index": "SOFR"
}

response = requests.get(url, headers=headers, params=params)
print(response.json())

Response:

{
  "index": "SOFR",
  "valuation_date": "2025-12-17",
  "fixing_rate": 4.35,
  "fixing_date": "2025-12-16"
}

Field	Description
index	The benchmark index requested
valuation_date	The date you requested (or today if not specified)
fixing_rate	The published rate as a percentage
fixing_date	The date the fixing was actually published

Why are valuation_date and fixing_date different? Fixings are typically published one business day after the rate is observed. If you request the fixing for a Monday, the fixing_date might be the previous Friday.

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Historical Fixings

Add valuation_date to retrieve the fixing as of a specific date:

params = {
    "index": "SOFR",
    "valuation_date": "2024-06-30"
}

response = requests.get(url, headers=headers, params=params)
print(response.json())

Response:

{
  "index": "SOFR",
  "valuation_date": "2024-06-30",
  "fixing_rate": 5.33,
  "fixing_date": "2024-06-28"
}

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Available Fixing Indices

Overnight Risk-Free Rates (RFRs)

Index	Currency	Description
SOFR	USD	Secured Overnight Financing Rate
SONIA	GBP	Sterling Overnight Index Average
ESTR	EUR	Euro Short-Term Rate
CORRA	CAD	Canadian Overnight Repo Rate Average
SARON	CHF	Swiss Average Rate Overnight
TONAR	JPY	Tokyo Overnight Average Rate

Term Rates (IBORs)

Index	Currency	Description
1M EURIBOR	EUR	1-Month Euro Interbank Offered Rate
3M EURIBOR	EUR	3-Month Euro Interbank Offered Rate
6M EURIBOR	EUR	6-Month Euro Interbank Offered Rate

Central Bank Policy Rates

Index	Currency	Description
Fed Funds	USD	Federal Funds Target Rate
ECB Main Refinancing Rate	EUR	ECB Main Refinancing Operations Rate
BOE Bank Rate	GBP	Bank of England Official Bank Rate

For a complete list, see Available Indices.

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Use Cases

Verifying a Loan Reset

Check what rate your floating-rate loan reset at on a specific date:

# What was 6M EURIBOR on the reset date?
params = {
    "index": "6M EURIBOR",
    "valuation_date": "2024-09-15"
}

response = requests.get(url, headers=headers, params=params)
fixing = response.json()
print(f"Loan reset at {fixing['fixing_rate']}% on {fixing['fixing_date']}")

Building a Fixing History

Fetch fixings over a date range for analysis:

from datetime import date, timedelta

fixings = []
current = date(2024, 1, 1)
end = date(2024, 12, 31)

while current <= end:
    params = {
        "index": "SOFR",
        "valuation_date": current.isoformat()
    }
    response = requests.get(url, headers=headers, params=params)
    if response.status_code == 200:
        data = response.json()
        fixings.append({
            "date": data["fixing_date"],
            "rate": data["fixing_rate"]
        })
    current += timedelta(days=1)

Rate Limiting: For bulk historical data, consider using /historical_swap_rates instead of looping through individual /fixing calls.

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Common Questions

What's the difference between a fixing and a forward rate?

• Fixing: The actual published rate for a past or current date

• Forward rate: A market-implied rate for a future period, derived from the swap curve

Why is my fixing rate different from what I see elsewhere?

Fixings are typically published at a specific time each day. Small differences may occur due to:

• Rounding conventions

• Publication time differences

• Source data timing

Can I get intraday fixings?

No. Fixings are official end-of-day rates published by benchmark administrators. For intraday data, use forward rates or swap rates with valuation_time.

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