To provide an additional forward-looking term rate with a credit spread, Bloomberg began publishing the Short-Term Bank Yield Index (BSBY) in October 2020. BSBY measures the average yields at which large global banks access USD senior unsecured marginal wholesale funding based on consolidated executed and executable transactions. BSBY is offered in overnight, 1-month, 3-month, 6-month, and 12-month terms and is published daily at 8:00 am EST.

 

LIBOR vs. BSBY rate comparison


Source: Bloomberg

LIBOR vs. BSBY: Key differences

LIBOR BSBY
Daily average of what banks say they would have to pay to borrow from another bank over a given term (i.e., one-month and three-month). Calculated based on large volume of commercial paper (CP), certificate of deposit (CD), bank deposits, and corporate bond data.
Inherently forward looking; borrower knows at the beginning of the period what the interest rate will be over the term. Inherently forward looking; borrower knows at the beginning of the period what the interest rate will be over the term.
Bank-to-bank lending is unsecured; includes a small credit risk premium/spread. Bank-to-bank lending is unsecured; includes a small credit risk premium/spread.

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  1. There may be changes to the LIBOR transition timeframe set forth above and, as a result, the information presented herein is subject to change without additional notice.

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