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Bloomberg Security Type Suffixes for Swap and LIBOR Data

Article Quant Q&A · Author: Ludo
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Summary

The document explains how Bloomberg ticker suffixes distinguish types of financial instruments when requesting historical data in Excel. It identifies the currency suffix for swap rates, the commodity suffix for futures, and the index suffix for money market rates such as LIBOR. It also gives representative ticker formats and fields for swap and short-term rate series.

For users without Bloomberg access, one response points to a Federal Reserve data source that distributes LIBOR with a delay of several business days. The text says real-time access is costly and notes that administration moved to ICE after the rate-rigging scandal. These examples are practical guidance on identifying data series, rather than a discussion of rate behavior or a trading strategy. Ticker conventions and data availability can change, so the examples should be checked against current Bloomberg and provider documentation before use.

Key ideas

  • Bloomberg uses the currency suffix for swap-rate securities and the commodity suffix for futures.
  • Money market rate series such as LIBOR use an index suffix.
  • The document provides example ticker formats for swap and LIBOR data.
  • A Federal Reserve source is described as a delayed alternative for LIBOR data.
  • Real-time LIBOR access is described as costly and administered by ICE.

Tags

Fixed incomeForex
Full text
# Bloomberg Libor Rates


# Bloomberg Libor Rates












I load swap rates data from Bloomberg in excel using the command

```
=BDH(Ticker,"Px Last",Start_Date,End_Date,"Dts",FALSE)
```

The tickers I use are "USSW1 Curncy", "EUSA1 Curncy", "BPSW1 Curncy", etc...

First of all, I would like to know what this "Curncy" keyword stand for. Then as I am also interested in LIBOR rates, I would like to know if I have to add this "Curncy" keyword to "US0001W", "US0001M" as well.

Please note that I don't have a direct access to Bloomberg, so I need firstly to have a proper template. Thanks.

## Answer by MattR (score 1)

https://quant.stackexchange.com/a/16097

For Swaps it's correct to use the "Curncy" keyword, as for Futures it's the "Comdty" keyword.

For example: USSW1 Curncy 0,4455 - 0,4475 - 0,4495

However, for Money Market Rates such as Libor, you want to use "Index".

For example:

US00O/N Index PX_LAST - 0,1164

US0006M Index PX_LAST - 0,3623

Hope this was helpfull.

## Answer by sevzas (score 1)

https://quant.stackexchange.com/a/16108

I noticed the OP mentioned that he/she does not have direct access to the Bloomberg, so even though this doesn't directly answer the question I want to add that LIBOR is downloadable from the St. Louis Federal Reserve system called "FRED" at http://research.stlouisfed.org/fred2/release?rid=253 although it is delayed by a few business days. Since the LIBOR rigging scandal, oversight of the LIBOR has been turned over to the ICE exchange and they charge a considerable sum for "real-time" LIBOR.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.