Understanding BSBY futures

Bloomberg developed the Bloomberg Short-Term Bank Yield Index (BSBY) in response to requests from a number of lending market participants. These firms were seeking a series of credit sensitive reference rates that measure the average yields at which investors are willing to invest USD funds on a senior, unsecured basis in systemically important banks. BSBY has been developed to complement and support SOFR by providing the lending market with an index that can help participants with asset/liability management (ALM) to better ensure availability of funds during times of market stress.

Read this paper to learn about the key aspects of the BSBY Index and to get an in-depth look at the contract design features of BSBY futures, coming to CME Group on August 23, pending regulatory review.

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