Bloomberg Short-Term Bank Yield Index (BSBY)

What Is the Bloomberg Short-Term Bank Yield Index (BSBY)?

The Bloomberg Short-Term Bank Yield Index (BSBY) is a series of short-term interest rate benchmarks created in 2021 and published by Bloomberg L.P. The BSBY provides a series of credit-sensitive reference rates that incorporate bank credit spreads, and it defines a forward term structure. The BSBY also seeks to measure the average yields at which large global banks access short-term senior unsecured wholesale funding.

The BSBY was created in response to the global shift away from the London Interbank Offered Rate (LIBOR) and is meant to supplement its assumed replacement, the Secured Overnight Financing Rate (SOFR).

Key Takeaways

  • The Bloomberg Short-Term Bank Yield Index (BSBY) provides a series of short-term rate benchmarks for banks to use when lending to one another.
  • The BSBY was launched in 2021 and is published by Bloomberg L.P.
  • The BSBY uses transaction data in short-term credit markets such as commercial paper, certificates of deposit (CDs), demand deposits, and corporate bonds.
  • Transaction data is aggregated from Bloomberg’s own proprietary trading platforms as well as data published by the Financial Industry Regulatory Authority (FINRA).
  • The BSBY is intended to supplement the Secured Overnight Financing Rate (SOFR), in an effort to facilitate the move away from the London Interbank Offered Rate (LIBOR).

Understanding the BSBY

When banks have extra cash reserves on hand, rather than have these funds sit idly, they can lend them to other banks that need reserves. This creates an interbank lending market with very short-term loans ranging from overnight to several weeks. In the past, the interest rates charged on such loans were referenced to the LIBOR benchmark. However, following a series of criticisms and scandals involving the LIBOR, regulators decided to phase out its use.

In its place, several candidates have emerged, led by the SOFR, which is based on transactions in the collateralized U.S. Treasury repurchase (repo) market.

The BSBY was created by the financial data and analytics firm Bloomberg L.P. as an alternative replacement to the LIBOR, and it was launched in 2021. Instead of relying on the Treasurys repo market, the BSBY looks at rates material to banks’ marginal funding costs, including those of commercial paper (CP), certificates of deposit (CDs), U.S. dollar (USD) bank demand deposits, and short-term corporate bonds. These rates are aggregated from consolidated, anonymized transaction-related and firm executable quotes, including pricing observations sourced from Bloomberg’s proprietary forex (FX) and money market electronic trading products and trades of senior unsecured bank corporate bonds reported by the Financial Industry Regulatory Authority (FINRA).

The BSBY consists of overnight, one-month, three-month, six-month, and 12-month yields, published daily at 7 a.m. Eastern time.

On Nov. 30, 2020, the Federal Reserve announced that the LIBOR would be phased out and eventually replaced by June 2023. In the same announcement, banks were instructed to stop writing contracts using the LIBOR by the end of 2021 and that all contracts using the LIBOR should wrap up by June 30, 2023.

BSBY Index Methodology

The BSBY uses an advanced curve-fitting methodology to calculate its benchmark yields. The yields of the resulting data set are normalized across instrument types (using an actual/360 day-count convention). Each transaction is then weighted by its trade size, while each executable data point is weighted by an eighth (12.5%) of its quoted size. Bloomberg states that this is because, historically, the average executable trade size is $200 million (vs. $75 million for transactions). To ensure that transaction data gets assigned its correct weight over executable data, a 12.5% co-efficient adjustment is made to executables.

From the resulting weighted data, overnight, one-month, three-month, six-month, and 12-month BSBYs are generated through a localized trimmed linear curve-fitting process to minimize the influence of outliers.

BSBY Components by Term
BSBY Components by Term.


With the demise of the LIBOR, the SOFR has become a dominant contender to replace it as the overnight interbank benchmark rate. As mentioned, the SOFR is computed from transactions in the Treasury repurchase (repo) market and is seen as preferable to LIBOR-like rates because it is based on data from observable transactions rather than on estimated borrowing rates set by bank trading desks. However, because the SOFR is based on secured repo transactions, using it as a benchmark for loans can potentially create a significant mismatch between a given bank’s assets (loans) and its liabilities (borrowings).

Bloomberg asserts that the BSBY can be used successfully as a supplement to the SOFR for banks to get a more complete picture of their financing costs.

Like the SOFR, the BSBY is also based on actual transactions data; however, it relies on a range of unsecured loans rather than the secured (collateralized) repurchase agreements used in the SOFR (as the “S” in the acronym implies). Because the SOFR looks at the Treasurys market, it is also best suited for larger financial institutions. The BSBY, by comparison, reflects the actual borrowing costs of thousands of small, medium, and regional banks across the United States.

When did the Bloomberg Short-Term Bank Yield Index (BSBY) launch?

The Bloomberg Short-Term Bank Yield Index (BSBY) debuted in 2021 and is published by Bloomberg L.P. Bloomberg initially began publishing the BSBY on an indicative basis for the purposes of illustration and analysis on Oct. 15, 2020.  

Where can I find the BSBY published yields?

The BSBY rates can be found on the Bloomberg Terminal.  The terminal commands are: overnight {BSBYON <GO>}, one-month {BSBY1M <GO>}, three-month {BSBY3M <GO>}, six-month {BSBY6M <GO>}, and 12-month {BSBY12M <GO>}.

Why is the London Interbank Offered Rate (LIBOR) being phased out?

While the London Interbank Offered Rate (LIBOR) was once arguably the most important short-term benchmark interest rate, it has been found to have been subject to rampant manipulation, scandal, and methodological critique, making it less credible today as a valid benchmark. The rate is being phased out so that by the end of 2021, no new contracts could be written using the LIBOR; by mid-2023, all existing LIBOR-based products will be terminated. The LIBOR has been replaced by the Secured Overnight Financing Rate (SOFR), although several other alternatives, such as the BSBY and Ameribor, also exist.

Article Sources
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  1. Federal Reserve System. “Goodbye to All That: The End of LIBOR.”

  2. Bloomberg. “Bloomberg Short-Term Bank Yield Index.”

  3. Bloomberg. “Bloomberg Launches Short Term Credit Sensitive Index to Support IBOR Transition.”

  4. Bloomberg. “BSBY White Paper,” Pages 6–7 (registration required for download).