What is BSBY?

BSBY is a proprietary index created by Bloomberg that addresses the market need to manage the spread between bank funding costs and loan interest.  Calculated from the aggregated anonymized transaction data from Bloomberg’s electronic trading platform, BSBY includes a systematic credit spread in its rate for effective use within the lending space.  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.

Scroll to Top

BSBY Swaps ADV: Notional value traded of bilateral and cleared interest rate swaps referencing Bloomberg Short-Term Bank Yield Index divided by the number of trading days in each month (i.e. Average Daily Volume)

CME BSBY Futures ADV: Futures contracts ($1 million notional) traded of Three-Month Bloomberg Short-Term Bank Yield Index (BSBY) Futures on CME divided by the number of trading days in each month (i.e. Average Daily Volume)

Source: Clarus Financial Technology data

3M Libor*: Synthetic 3-Month USD Libor (US0003M Index)

For more information: ICE LIBOR (theice.com)

3M BSBY: 3-Month Short-Term Bank Yield Index (BSBY 3M Index)

O/N SOFR: Secured Overnight Financing Rate (SOFR Index)

3M Term SOFR: 3-Month CME Term SOFR (SR3M Index)