Bloomberg Industry Report Substantiates Details of the Bloomberg Short-term Bank Yield Index (BSBY)
July 01, 2021
Today, Bloomberg has published BSBY Report: Additional Analysis and Key Facts to supplement existing documentation and help inform public-sector and industry-level discussion on how credit sensitive rates—including BSBY—can facilitate the orderly transition from the London Interbank Offered Rate (LIBOR) to risk free rates, such as SOFR.
The report illustrates how BSBY is fundamentally different from LIBOR and has been tested to demonstrate robustness during recent periods of market stress, as well as resistance to potential manipulation.
As financial institutions prepare to meet the December 31, 2021, initial deadline for LIBOR cessation, it has become clear that when it comes to use cases for reference rates, one size does not fit all.
Bloomberg Index Services Limited (BISL) is offering BSBY in response to requests from a number of lending market participants. BSBY was developed to complement SOFR by providing the lending market with an index that can help banks with asset/liability management (ALM) to better ensure availability of funds during times of market stress.
The report is publicly available here, and more information and additional BSBY documentation is publicly available here.
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