Bloomberg Short-Term Bank Yield Index
A dynamic credit sensitive rate with a forward term structure
With the market’s transition to the secured overnight financing rate, SOFR, banks have expressed a need for a credit sensitive supplement to help manage the spread between their funding costs and the interest earned on loans. BSBY is a proprietary index calculated daily and published at 7:00 am (ET) on each U.S. business day to help banks do just that.
BSBY provides a series of credit sensitive reference rates that incorporate bank credit spreads and defines a forward term structure. BSBY also seeks to measure the average yields at which large global banks access USD senior unsecured marginal wholesale funding.
Advanced curve-fitting methodology
BSBY uses an advanced curve-fitting methodology to calculate overnight, 1-month, 3-month, 6-month and 12-month yields. The index is based on aggregated anonymized data anchored in transactions and executable quotes sourced from Bloomberg’s electronic trading solutions and trades of short-term senior unsecured bank corporate bonds reported by FINRA.
Since BSBY is based on transactions of instruments used by banks to fund themselves, it includes a systemic credit spread in its rate and can be used as a supplement to SOFR in the lending market.
Regulation
BSBY is administered by Bloomberg Index Services Limited. BSBY is not available for use as a benchmark under the UK Benchmark Regulation and must not be used as a benchmark in the United Kingdom.
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