フォワード期間構造を持ち、信用リスクをダイナミックに反映する金利指標

市場で担保付翌日物調達金利(SOFR)への移行が進む中、銀行各行からは、調達金利と貸出金利のスプレッド管理には、信用リスクを反映した指標で補完する必要があるとの声が上がっています。こうした銀行のニーズを満たすのが、弊社独自のインデックスであるブルームバーグ・ショートターム・バンクイールド・インデックス(BSBY)です。BSBYは、毎営業日の午前7時(米国東部時間)に算出・公表されています。

BSBYは、信用リスクを反映した参照金利として、銀行の信用スプレッドを織り込み、フォワード期間構造(タームストラクチャー)を定義します。また、大手グローバル銀行がホールセール市場で米ドル建てシニア無担保限界利子率で資金調達をする際の平均利回りの測定も目指します。

ブルームバーグ・ショートターム・バンクイールド・インデックス(BSBY)について
資料にアクセス
資料
Index Documentation
BSBY算出法 // BSBY Methodology
BSBYプロダクト免責事項 // Research: Introducing the Bloomberg Short-Term Bank Yield Index
BSBYプロダクト免責事項 // BSBY Product Disclaimer
BSBY算出法の改良に関する協議// BSBY Consultation on Methodology Enhancement
ブルームバーグBSBYリポート(2021年7月1日) // Bloomberg BSBY Report (July 1, 2021)
BSBY利用規約(2021年9月27日発効) // BSBY Usage Terms (Effective Sep. 27, 2021)
BSBYヒストリカルデータ(毎日更新) // BSBY Historical Data (Updated Daily)
BSBYファクトシート(2021年10月) // BSBY Fact Sheet (October 2021)
Technical Notes & Announcements
BSBYトリミング算出法に関する協議(2022年6月) // BSBY Technical Note – Publication Date
BSBY1カ月間のパフォーマンスに関する更新 // BSBY Update on 1M Tenor Performance
BSBYテクニカルノート:算出法の更新実施 // BSBY Technical Note - Methodology Update Implementation
BSBYテクニカルノート:算出法の改良// BSBY Technical Note - Methodology Enhancement
BSBY3カ月コンスタント・マチュリティ・トータルリターン・インデックス算出法(2022年8月) // BSBY 3M Constant Maturity Total Return Index Methodology – August 2022
BSBY「トリミング」算出法の更新(2022年8月) // BSBY 'Trimming' Methodology Update (August 2022)
BSBYトリミング算出法に関する協議(2022年6月) // BSBY Consultation - Trimming Methodology (June 2022)
Index Documentation
+ BSBY算出法 // BSBY Methodology

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+ BSBYプロダクト免責事項 // Research: Introducing the Bloomberg Short-Term Bank Yield Index

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+ BSBYプロダクト免責事項 // BSBY Product Disclaimer

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+ BSBY算出法の改良に関する協議// BSBY Consultation on Methodology Enhancement

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+ ブルームバーグBSBYリポート(2021年7月1日) // Bloomberg BSBY Report (July 1, 2021)

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+ BSBY利用規約(2021年9月27日発効) // BSBY Usage Terms (Effective Sep. 27, 2021)

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+ BSBYヒストリカルデータ(毎日更新) // BSBY Historical Data (Updated Daily)

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+ BSBYファクトシート(2021年10月) // BSBY Fact Sheet (October 2021)

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Technical Notes & Announcements
+ BSBYトリミング算出法に関する協議(2022年6月) // BSBY Technical Note – Publication Date

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+ BSBY1カ月間のパフォーマンスに関する更新 // BSBY Update on 1M Tenor Performance

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+ BSBYテクニカルノート:算出法の更新実施 // BSBY Technical Note - Methodology Update Implementation

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+ BSBYテクニカルノート:算出法の改良// BSBY Technical Note - Methodology Enhancement

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+ BSBY3カ月コンスタント・マチュリティ・トータルリターン・インデックス算出法(2022年8月) // BSBY 3M Constant Maturity Total Return Index Methodology – August 2022

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+ BSBY「トリミング」算出法の更新(2022年8月) // BSBY 'Trimming' Methodology Update (August 2022)

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+ BSBYトリミング算出法に関する協議(2022年6月) // BSBY Consultation - Trimming Methodology (June 2022)

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BSBY Rates (USD) (as of 28 November 2023 07:00 AM )
BSBY (USD)
Last 5.41919
Date 2023-11-28
1 D 5.40789
1 D Date 2023-11-27
5 D 5.41789
5 D Date 2023-11-21
1 M 5.42605
1 M Date 2023-10-27
3 M 5.40745
3 M Date 2023-08-28
1 Y 3.87003
1 Y Date 2022-11-28
Last 5.38085
Date 2023-11-28
1 D 5.39463
1 D Date 2023-11-27
5 D 5.39764
5 D Date 2023-11-21
1 M 5.40233
1 M Date 2023-10-27
3 M 5.37663
3 M Date 2023-08-28
1 Y 3.93287
1 Y Date 2022-11-28
Last 5.56502
Date 2023-11-28
1 D 5.55815
1 D Date 2023-11-27
5 D 5.58953
5 D Date 2023-11-20
1 M 5.61593
1 M Date 2023-10-27
3 M 5.54
3 M Date 2023-08-25
1 Y 4.51719
1 Y Date 2022-11-25
Last 5.65824
Date 2023-11-28
1 D 5.6507
1 D Date 2023-11-27
5 D 5.67378
5 D Date 2023-11-21
1 M 5.79834
1 M Date 2023-10-27
3 M 5.75106
3 M Date 2023-08-28
1 Y 5.11196
1 Y Date 2022-11-28
Last 5.72275
Date 2023-11-28
1 D 5.71554
1 D Date 2023-11-27
5 D 5.72903
5 D Date 2023-11-21
1 M 5.92693
1 M Date 2023-10-27
3 M 5.94439
3 M Date 2023-08-28
1 Y 5.59898
1 Y Date 2022-11-28
BSBY (USD) Spread to SOFR and Level 6 Add-on
BSBY (USD) Spread to SOFR and Level 6 Add-on
Last 0.0574
Date 2023-11-28
1D 0.05897
1D Date 2023-11-27
5D 0.05622
5D Date 2023-11-21
1M 0.06659
1M Date 2023-10-27
3M 0.06271
3M Date 2023-08-28
Last 0.0827
Date 2023-11-28
1D 0.08237
1D Date 2023-11-27
5D 0.07378
5D Date 2023-11-21
1M 0.08339
1M Date 2023-10-27
3M 0.08099
3M Date 2023-08-28
Last 0.26772
Date 2023-11-28
1D 0.27036
1D Date 2023-11-27
5D 0.27538
5D Date 2023-11-21
1M 0.28791
1M Date 2023-10-27
3M 0.25635
3M Date 2023-08-28
Last 0.38866
Date 2023-11-28
1D 0.39337
1D Date 2023-11-27
5D 0.41043
5D Date 2023-11-21
1M 0.45869
1M Date 2023-10-27
3M 0.43402
3M Date 2023-08-28
Last 0.4948
Date 2023-11-28
1D 0.49765
1D Date 2023-11-27
5D 0.52223
5D Date 2023-11-21
1M 0.60975
1M Date 2023-10-27
3M 0.60693
3M Date 2023-08-28
Last 0.01748
Date 2023-11-28
1D 0.01734
1D Date 2023-11-27
5D 0.01702
5D Date 2023-11-21
1M 0.01522
1M Date 2023-10-27
3M 0.01028
3M Date 2023-08-28
Last 0.0842
Date 2023-11-28
1D 0.08414
1D Date 2023-11-27
5D 0.08404
5D Date 2023-11-21
1M 0.0837
1M Date 2023-10-27
3M 0.08369
3M Date 2023-08-28
Last 0.27587
Date 2023-11-28
1D 0.27615
1D Date 2023-11-27
5D 0.27637
5D Date 2023-11-21
1M 0.27727
1M Date 2023-10-27
3M 0.27786
3M Date 2023-08-28
Last 0.42726
Date 2023-11-28
1D 0.42769
1D Date 2023-11-27
5D 0.42819
5D Date 2023-11-21
1M 0.43007
1M Date 2023-10-27
3M 0.43087
3M Date 2023-08-28
Last 0.58506
Date 2023-11-28
1D 0.58562
1D Date 2023-11-27
5D 0.58644
5D Date 2023-11-21
1M 0.59003
1M Date 2023-10-27
3M 0.59308
3M Date 2023-08-28
BSBY Swap Rates Semi-Annual vs 3M BSBY
BSBY Swap Rates Semi-Annual vs 3M BSBY
Last 5.5244
1D 5.5794
1D Date 2023-11-27
5D 5.5622
5D Date 2023-11-21
1M 5.6872
1M Date 2023-10-30
3M 5.7874
3M Date 2023-08-28
Last 4.9639
1D 5.0482
1D Date 2023-11-27
5D 5.037
5D Date 2023-11-21
1M 5.2697
1M Date 2023-10-30
3M 5.2631
3M Date 2023-08-28
Last 4.6329
1D 4.7248
1D Date 2023-11-27
5D 4.7171
5D Date 2023-11-21
1M 5.0301
1M Date 2023-10-30
3M 4.8823
3M Date 2023-08-28
Last 4.4706
1D 4.5595
1D Date 2023-11-27
5D 4.5532
5D Date 2023-11-21
1M 4.9251
1M Date 2023-10-30
3M 4.658
3M Date 2023-08-28
Last 4.3896
1D 4.4746
1D Date 2023-11-27
5D 4.4718
5D Date 2023-11-21
1M 4.8873
1M Date 2023-10-30
3M 4.5238
3M Date 2023-08-28
Last 4.3516
1D 4.4309
1D Date 2023-11-27
5D 4.4306
5D Date 2023-11-21
1M 4.874
1M Date 2023-10-30
3M 4.4383
3M Date 2023-08-28
Last 4.332
1D 4.4046
1D Date 2023-11-27
5D 4.4082
5D Date 2023-11-21
1M 4.8677
1M Date 2023-10-30
3M 4.3767
3M Date 2023-08-28
Last 4.3256
1D 4.3926
1D Date 2023-11-27
5D 4.3988
5D Date 2023-11-21
1M 4.8678
1M Date 2023-10-30
3M 4.3349
3M Date 2023-08-28
Last 4.3282
1D 4.3905
1D Date 2023-11-27
5D 4.399
5D Date 2023-11-21
1M 4.8739
1M Date 2023-10-30
3M 4.3081
3M Date 2023-08-28
Last 4.3338
1D 4.3905
1D Date 2023-11-27
5D 4.4016
5D Date 2023-11-21
1M 4.8825
1M Date 2023-10-30
3M 4.2872
3M Date 2023-08-28
Last 4.3556
1D 4.4059
1D Date 2023-11-27
5D 4.419
5D Date 2023-11-21
1M 4.8997
1M Date 2023-10-30
3M 4.2709
3M Date 2023-08-28
Last 4.3824
1D 4.4262
1D Date 2023-11-27
5D 4.4406
5D Date 2023-11-21
1M 4.9162
1M Date 2023-10-30
3M 4.2614
3M Date 2023-08-28
Last 4.3628
1D 4.4002
1D Date 2023-11-27
5D 4.4166
5D Date 2023-11-21
1M 4.8777
1M Date 2023-10-30
3M 4.2025
3M Date 2023-08-28
Last 4.2765
1D 4.3105
1D Date 2023-11-27
5D 4.3271
5D Date 2023-11-21
1M 4.7778
1M Date 2023-10-30
3M 4.0855
3M Date 2023-08-28
Last 4.1852
1D 4.2158
1D Date 2023-11-27
5D 4.2327
5D Date 2023-11-21
1M 4.674
1M Date 2023-10-30
3M 3.9723
3M Date 2023-08-28
BSBY Swap Rates Annual vs 3M BSBY
BSBY Swap Rates Annual vs 3M BSBY
Last 5.501
1D 5.5578
1D Date 2023-11-27
5D 5.5408
5D Date 2023-11-21
1M 5.6676
1M Date 2023-10-30
3M 5.7688
3M Date 2023-08-28
Last 4.9425
1D 5.0281
1D Date 2023-11-27
5D 5.017
5D Date 2023-11-21
1M 5.253
1M Date 2023-10-30
3M 5.2444
3M Date 2023-08-28
Last 4.6125
1D 4.7054
1D Date 2023-11-27
5D 4.6976
5D Date 2023-11-21
1M 5.0138
1M Date 2023-10-30
3M 4.8636
3M Date 2023-08-28
Last 4.4506
1D 4.5403
1D Date 2023-11-27
5D 4.5339
5D Date 2023-11-21
1M 4.9091
1M Date 2023-10-30
3M 4.642
3M Date 2023-08-28
Last 4.3676
1D 4.4534
1D Date 2023-11-27
5D 4.4505
5D Date 2023-11-21
1M 4.8694
1M Date 2023-10-30
3M 4.5048
3M Date 2023-08-28
Last 4.3303
1D 4.4103
1D Date 2023-11-27
5D 4.4101
5D Date 2023-11-21
1M 4.8569
1M Date 2023-10-30
3M 4.4192
3M Date 2023-08-28
Last 4.3112
1D 4.3844
1D Date 2023-11-27
5D 4.3881
5D Date 2023-11-21
1M 4.8513
1M Date 2023-10-30
3M 4.3575
3M Date 2023-08-28
Last 4.3052
1D 4.3728
1D Date 2023-11-27
5D 4.379
5D Date 2023-11-21
1M 4.8519
1M Date 2023-10-30
3M 4.3157
3M Date 2023-08-28
Last 4.3072
1D 4.37
1D Date 2023-11-27
5D 4.3785
5D Date 2023-11-21
1M 4.8572
1M Date 2023-10-30
3M 4.2879
3M Date 2023-08-28
Last 4.3131
1D 4.3713
1D Date 2023-11-27
5D 4.3815
5D Date 2023-11-21
1M 4.8661
1M Date 2023-10-30
3M 4.2671
3M Date 2023-08-28
Last 4.3356
1D 4.3873
1D Date 2023-11-27
5D 4.3996
5D Date 2023-11-21
1M 4.8842
1M Date 2023-10-30
3M 4.2511
3M Date 2023-08-28
Last 4.3625
1D 4.4075
1D Date 2023-11-27
5D 4.4212
5D Date 2023-11-21
1M 4.9007
1M Date 2023-10-30
3M 4.2419
3M Date 2023-08-28
Last 4.3431
1D 4.3819
1D Date 2023-11-27
5D 4.3973
5D Date 2023-11-21
1M 4.8621
1M Date 2023-10-30
3M 4.1826
3M Date 2023-08-28
Last 4.2561
1D 4.2914
1D Date 2023-11-27
5D 4.3071
5D Date 2023-11-21
1M 4.7612
1M Date 2023-10-30
3M 4.065
3M Date 2023-08-28
Last 4.1644
1D 4.1963
1D Date 2023-11-27
5D 4.2123
5D Date 2023-11-21
1M 4.6567
1M Date 2023-10-30
3M 3.9515
3M Date 2023-08-28
BSBY Swap Rates Semi-Annual vs 1 Month BSBY
BSBY Swap Rates Annual vs 3M BSBY
Last 5.3895
1D 5.4444
1D Date 2023-11-27
5D 5.4273
5D Date 2023-11-21
1M 5.5522
1M Date 2023-10-30
3M 5.6524
3M Date 2023-08-28
Last 4.8266
1D 4.9109
1D Date 2023-11-27
5D 4.8997
5D Date 2023-11-21
1M 5.1325
1M Date 2023-10-30
3M 5.1258
3M Date 2023-08-28
Last 4.4983
1D 4.5902
1D Date 2023-11-27
5D 4.5825
5D Date 2023-11-21
1M 4.8956
1M Date 2023-10-30
3M 4.7477
3M Date 2023-08-28
Last 4.3285
1D 4.4193
1D Date 2023-11-27
5D 4.4123
5D Date 2023-11-21
1M 4.7861
1M Date 2023-10-30
3M 4.5287
3M Date 2023-08-28
Last 4.2455
1D 4.3315
1D Date 2023-11-27
5D 4.3276
5D Date 2023-11-21
1M 4.745
1M Date 2023-10-30
3M 4.3714
3M Date 2023-08-28
Last 4.2075
1D 4.2868
1D Date 2023-11-27
5D 4.2859
5D Date 2023-11-21
1M 4.7305
1M Date 2023-10-30
3M 4.3141
3M Date 2023-08-28
Last 4.1879
1D 4.2605
1D Date 2023-11-27
5D 4.2634
5D Date 2023-11-21
1M 4.7243
1M Date 2023-10-30
3M 4.2524
3M Date 2023-08-28
Last 4.1809
1D 4.2479
1D Date 2023-11-27
5D 4.2541
5D Date 2023-11-21
1M 4.7243
1M Date 2023-10-30
3M 4.2132
3M Date 2023-08-28
Last 4.1835
1D 4.2458
1D Date 2023-11-27
5D 4.2543
5D Date 2023-11-21
1M 4.7305
1M Date 2023-10-30
3M 4.1864
3M Date 2023-08-28
Last 4.1532
1D 4.21
1D Date 2023-11-27
5D 4.2211
5D Date 2023-11-21
1M 4.7019
1M Date 2023-10-30
3M 4.1681
3M Date 2023-08-28
Last 4.2365
1D 4.2868
1D Date 2023-11-27
5D 4.2998
5D Date 2023-11-21
1M 4.7806
1M Date 2023-10-30
3M 4.1517
3M Date 2023-08-28
Last 4.2613
1D 4.3058
1D Date 2023-11-27
5D 4.3202
5D Date 2023-11-21
1M 4.7958
1M Date 2023-10-30
3M 4.1448
3M Date 2023-08-28
Last 4.2431
1D 4.2811
1D Date 2023-11-27
5D 4.2969
5D Date 2023-11-21
1M 4.7586
1M Date 2023-10-30
3M 4.0859
3M Date 2023-08-28
Last 4.1619
1D 4.1959
1D Date 2023-11-27
5D 4.2125
5D Date 2023-11-21
1M 4.6638
1M Date 2023-10-30
3M 3.9741
3M Date 2023-08-28
Last 4.0757
1D 4.1063
1D Date 2023-11-27
5D 4.1226
5D Date 2023-11-21
1M 4.5652
1M Date 2023-10-30
3M 3.866
3M Date 2023-08-28
BSBY Swap Rates Annual vs 1 Month BSBY
BSBY Swap Rates Annual vs 1M BSBY
Last 5.3666
1D 5.4234
1D Date 2023-11-27
5D 5.4064
5D Date 2023-11-21
1M 5.5331
1M Date 2023-10-30
3M 5.6342
3M Date 2023-08-28
Last 4.8058
1D 4.8914
1D Date 2023-11-27
5D 4.8803
5D Date 2023-11-21
1M 5.1162
1M Date 2023-10-30
3M 5.1077
3M Date 2023-08-28
Last 4.4785
1D 4.5714
1D Date 2023-11-27
5D 4.5636
5D Date 2023-11-21
1M 4.8797
1M Date 2023-10-30
3M 4.7295
3M Date 2023-08-28
Last 4.309
1D 4.4006
1D Date 2023-11-27
5D 4.3936
5D Date 2023-11-21
1M 4.7706
1M Date 2023-10-30
3M 4.5131
3M Date 2023-08-28
Last 4.2242
1D 4.3109
1D Date 2023-11-27
5D 4.307
5D Date 2023-11-21
1M 4.7277
1M Date 2023-10-30
3M 4.353
3M Date 2023-08-28
Last 4.1869
1D 4.2669
1D Date 2023-11-27
5D 4.266
5D Date 2023-11-21
1M 4.7139
1M Date 2023-10-30
3M 4.2955
3M Date 2023-08-28
Last 4.1678
1D 4.241
1D Date 2023-11-27
5D 4.244
5D Date 2023-11-21
1M 4.7083
1M Date 2023-10-30
3M 4.2338
3M Date 2023-08-28
Last 4.1612
1D 4.2288
1D Date 2023-11-27
5D 4.235
5D Date 2023-11-21
1M 4.7089
1M Date 2023-10-30
3M 4.1946
3M Date 2023-08-28
Last 4.1631
1D 4.2259
1D Date 2023-11-27
5D 4.2344
5D Date 2023-11-21
1M 4.7142
1M Date 2023-10-30
3M 4.1668
3M Date 2023-08-28
Last 4.1334
1D 4.1916
1D Date 2023-11-27
5D 4.2018
5D Date 2023-11-21
1M 4.6862
1M Date 2023-10-30
3M 4.1486
3M Date 2023-08-28
Last 4.217
1D 4.2687
1D Date 2023-11-27
5D 4.281
5D Date 2023-11-21
1M 4.7654
1M Date 2023-10-30
3M 4.1325
3M Date 2023-08-28
Last 4.242
1D 4.2876
1D Date 2023-11-27
5D 4.3014
5D Date 2023-11-21
1M 4.7807
1M Date 2023-10-30
3M 4.1259
3M Date 2023-08-28
Last 4.2239
1D 4.2634
1D Date 2023-11-27
5D 4.2781
5D Date 2023-11-21
1M 4.7434
1M Date 2023-10-30
3M 4.0666
3M Date 2023-08-28
Last 4.142
1D 4.1773
1D Date 2023-11-27
5D 4.193
5D Date 2023-11-21
1M 4.6476
1M Date 2023-10-30
3M 3.9541
3M Date 2023-08-28
Last 4.0554
1D 4.0874
1D Date 2023-11-27
5D 4.1027
5D Date 2023-11-21
1M 4.5482
1M Date 2023-10-30
3M 3.8457
3M Date 2023-08-28