Bloomberg Confirms its BSBY Short-Term Credit Sensitive Index Adheres to IOSCO Principles

Bloomberg announced that an independent assurance review of the Bloomberg Short-Term Bank Yield Index (BSBY) confirmed that the short-term credit sensitive index  adheres to the International Organization of Securities Commissions’ (IOSCO) Principles for Financial Benchmarks. The review was conducted by a global, independent accounting firm and the final report is expected to be available shortly.

“Alignment with the IOSCO Principles is an important milestone, and recognizes BSBY adheres to industry best practices,” said Steve Berkley, CEO of Bloomberg Index Services Limited (BISL) at Bloomberg. “An increasing number of financial institutions and corporations are looking to BSBY for their loan products as they transition away from LIBOR, and we will continue to support their needs as they work to ensure compliance with regulatory timelines.”

Market participants are invited to register for a virtual information session on BSBY.

BSBY includes a term structure and systemic credit-sensitive spread, which may be used to support the market’s transition from IBOR benchmarks to risk-free rates. BSBY is available as a standalone rate, and can also be used to supplement Term SOFR. Bloomberg began publishing BSBY on an indicative basis in October 2020.

BSBY will be calculated daily and published at 8 AM ET, using the prior day’s transaction data, on a T+1 basis.  The index can be accessed via the Bloomberg Terminal, and will be posted publicly on Bloomberg.com on a delayed basis.  The index is available for 5 tenors: overnight (BSBYON), 1-month (BSBY1M), 3-months (BSBY3M), 6-months (BSBY6M) and 12-months (BSBY12M).  Additional detail on the BSBY methodology can be accessed here.

Bloomberg Index Services Limited (BISL), an authorized benchmark administrator and subsidiary of Bloomberg, is licensing BSBY for use as a financial benchmark. In addition to BSBY, BISL administers the Bloomberg Barclays flagship family of fixed income indices, the Bloomberg Commodity Index (BCOM), and Bloomberg’s Global Equity Index family. BISL provides robust governance and oversight over its benchmark offerings, which will soon include a dedicated oversight function for BSBY composed of a balanced set of market stakeholders.

While initially offered in the U.S., BSBY will soon be available for licensing in additional jurisdictions, including the U.K. and the EU.

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