Of course, there would be no ability to pay a below-market interest rate. Regarding quotes, Bloomberg has back-tested the index to determine its sensitivity to misquotes by market participants, and found that even for large changes on a large amount of quotes, the impact on the index is less than 0.

Financial stability concerns appear to focus on the volume of issuance supporting a published BSBY rate, and the potential for that underlying market to dry up. As described above, in the event of temporary market liquidity, Bloomberg would base its rate on a rolling window of data, out to five days. In effect, the rate would become fixed based on prices on the last day of a sufficiently liquid market.

Of course, there is also the possibility of a more protracted market event, leading either to Bloomberg no longer publishing BSBY or contractual backup clauses otherwise being triggered. Again, as described above, those backup clauses at this point universally default to a SOFR-based rate.

Given that regulators consider SOFR a and, for some, the model rate, it is difficult to see how a rate that adds a fixed spread to SOFR could be characterized as a financial stability problem. Of course, this assumes that contracts have robust backup language. Certainly, regulators may wish to ensure that such language is present, and is clear both with respect to what the fallback rate is and the circumstances that would trigger it. For example, on Jan.

Of course, as noted, this market is still in development, and there is every reason to believe that a suitable market convention will emerge if given time. At this point, there appears to be little to no doubt that SOFR will be the benchmark rate for most derivative transactions.

Investors in interest rate futures and swaps are interested in shedding or acquiring interest rate risk, and it was always odd that LIBOR was the rate in use for those markets. One setback occurred when in March the ARRC announced that it would not be in a position to recommend a forward-looking SOFR term rate by mid, as promised.

A candid assessment of the risk here is important, as is clarity from the government about its view of that risk. Anecdotally, at least a few borrowers have chosen to stay with LIBOR rather than move to BSBY in the wake of the recent statements from the FHFA and SEC. From the foregoing analysis, BSBY does not appear to be subject to manipulation or present a financial stability risk, but if government agencies believe that it or some other reference rate is fatally flawed, then the appropriate process for taking such action is a regulatory one, with prior notice and public comment by the affected parties presumably including the people in the business of publishing the benchmark, as well as borrowers and lenders — not a non-public process using examiners to direct individual firms to avoid that benchmark.

The Journal article and study was at first denied by regulators, but subsequently forced them to investigate further. Bloomberg Short-Term Bank Yield BSBY Index Methodology, May , p. Credit-Sensitive Benchmarks in a Post-LIBOR World Greg Baer July 8, Print. How BSBY works As described by Bloomberg: The Bloomberg Short-Term Bank Yield BSBY Index aims to measure the average yields at which investors are willing to invest USD funds on a senior, unsecured basis in a list of large and super regional banks at various tenors.

Calculation Methodology Bloomberg sets forth the methodology for calculating BSBY in a fact sheet. Each tenor rate is based only on transaction data in instruments banks use to fund themselves.

Transactions are not submitted by banks; rather, Bloomberg uses market data available as part of its electronic trading services and TRACE data.

Transaction data is filtered and anonymized. Based on the calculation algorithm, banks are not aware of the specific mix of data in any single calculation, which can change from tenor to tenor and from one day to the next.

Only trades of large and super regional banks are used — GSIBs, plus certain other systemically relevant or large regional banks.

Currently, BSBY uses data from more than twice the number of banks included in the LIBOR panel 34 versus No bank plays any role in the process. Individual transactions are trimmed the top and bottom 25 percent dropped and then translated into a curve pursuant to a pre-set, publicly disclosed methodology.

A fallback process is instituted in the event that there is insufficient daily trading volume in any tenor. BSBY has been independently reviewed and found compliant with the IOSCO Principles for Financial Benchmarks. The Market for BSBY Of course, the future of BSBY depends not only on the ability of banks to supply it, but also on whether borrowers demand it.

Concerns Motivating the Move From LIBOR LIBOR is a reference rate based on the interest rates at which large banks indicate they can borrow unsecured funds from other banks at their London offices. Does BSBY Raise the Same Concerns as LIBOR or Additional Concerns? Manipulation From the perspective of potential manipulation, BSBY appears to be different from LIBOR circa in every possible respect.

SOFR as a Replacement Rate for Derivatives At this point, there appears to be little to no doubt that SOFR will be the benchmark rate for most derivative transactions. Conclusion A candid assessment of the risk here is important, as is clarity from the government about its view of that risk. Credit Sensitive Benchmarks in a Post-LIBOR World Download. You Might Also Be Interested In Bank Liquidity The Bank of England Just Released Its Plan for Getting Smaller.

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