Scanning electron microscopy observations of shear steps on Zr-based bulk metallic glasses show direct evidence of shear band melting due to heat generated by elastic energy release. The estimated range of attained temperatures and the observed morphologies are consistent with shear steps forming at a subsonic speed limited by a required redistribution of local microscopic stresses. The calculations indicate that a 0.2μm layer melts in the vicinity of a shear band forming a 1μm shear step. The plastic part of the stress strain curve is serrated but a majority of shear events are not associated to serrations.