BSBY index to cease
On November 15, 2023, BISL announced the permanent cessation of the BSBY index and all tenors, available here. Please note that the final publication of the BSBY index and all tenors will take place on Friday, November 15, 2024 (the “Cessation Date”). The cessation will take effect immediately following the publication of the rate for each BSBY tenor.
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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