14.03.2022 / 08:45

BSBY – Bloomberg Short-Term Bank Yield Index

Financial Markets

Quantitative Methods & Data Analytics

LIBOR Series (Part 2) – BSBY

As of 2022 most LIBORs are not being published anymore. This holds for EUR-, GBP-, CHF- and JPY-LIBORs as well as the 1-week- and the 2-month-USD-LIBORs. Remaining USD LIBOR tenors will retire by June 2023.  Lots of contracts are now linked to so called risk-free rates which still suffer from disadvantages in comparison to their predecessors. In order to solve multiple requests for a credit-sensitive rate with term structures some new reference rates have been created. One of these new rates is the Bloomberg Short-Term Bank Yield Index summarized in the fact sheet below.
Find out why Covid plays a crucial role in the world of LIBOR successors.


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