Bloomberg Short-Term Credit Sensitive Index available for the US loan market

Bloomberg’s BSBY Short-Term Credit Sensitive Index Now Available for the US Loan Market

New York, NY – Bloomberg today announced that the Bloomberg Short-Term Bank Yield (BSBY) Index is now available for use as a benchmark in financial benchmarks in the US loan market. The BSBY includes both a term structure and a systemic credit-sensitive spread, which can be used to support the market transition from LIBOR to risk-free rates, such as SOFR. Bloomberg began publishing BSBY for illustrative purposes for the purposes of illustration, analysis, and gathering market commentary on October 15, 2020.

During the six month period in which BSBY was released for guidance, Bloomberg received positive feedback on the rate sensitivity and robustness of the methodology from market participants, indicating that BSBY meets their needs in as an alternative replacement rate.

“Now that BSBY is available for use in the US loan market, we will continue to explore the introduction of products that can use BSBY as a benchmark,” said Steve Berkley, CEO of Bloomberg Index Services Limited (BISL). “We are encouraged by the responses we have received from financial institutions and corporations on this approach; in particular, that the availability of BSBY’s credit-sensitive rate is an important step in helping them move away from LIBOR and meet regulatory deadlines.

BSBY is available as a stand-alone tariff and can also be used in addition to the term SOFR. In addition to BSBY, Bloomberg provides a range of complementary tools and offerings to help market participants move away from legacy IBORs, including calculating and publishing duration and spread adjustments for trading solutions. relief that ISDA intends to implement for some IBORs.

“There is a strong demand for a rate with a term structure and a credit component,” commented Peter Tchir, head of macro strategies at Academy Securities. “BSBY is a big step towards integrating rates negotiated on a variety of bank issuers in order to establish a realistic benchmark for transactions; the design solves many problems and makes it a compelling alternative as clients prepare for the LIBOR transition. “

BSBY will be calculated daily and released at 8:00 AM ET, using the previous day’s transaction data, on a T + 1 basis. The index is accessible via the Bloomberg terminal and will be publicly published on on a delayed basis. The index is available for 5 tenors: day by day {BSBYON Index }, 1 month {BSBY1M Index }, 3 months {BSBY3M Index }, 6 months {BSBY6M Index } and 12 months {Index BSBY12M }. Additional details on the BSBY methodology are available here.

Bloomberg licenses BSBY for use as a financial benchmark through Bloomberg Index Services Limited (BISL), the authorized benchmark administrator of Bloomberg. In addition to BSBY, BISL administers Bloomberg Barclays’ flagship fixed income family of indices, the Bloomberg Commodity Index (BCOM) and Bloomberg’s family of global equity indices. BISL provides strong governance and oversight of its benchmark offerings, which will soon include a dedicated oversight function for BSBY made up of a balanced set of market players.

BSBY’s transaction-based inputs, robust construction and resilient methodology are designed to meet the high standards of the BMR and IOSCO Principles for Financial References (IOSCO Principles). An independent assurance report on BSBY’s alignment with IOSCO principles will be available when completed, and BSBY will soon be available for licensing in other jurisdictions including the UK and the EU. More information on BSBY licenses is available here.

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Priscilla C. Carnegie