Cash-settled, three-month futures on the Bloomberg Short-Term Bank Yield Index (BSBY)

Futures on the Bloomberg Short-Term Bank Yield Index (BSBY) ‒ a forward-looking, credit-sensitive reference rate that tracks the U.S. wholesale unsecured funding market ‒ brings expanded choice and enhanced risk management to short-term funding markets. BSBY futures trade alongside SOFR, Eurodollars, and Fed Funds futures to offer seamless spread trading opportunities and margin offsets.

Latest Interest Rates news

Features and benefits

Manage loan exposure

Provides an efficient tool for hedging loan exposure, projecting future BSBY resets/cash flows, and reducing income statement volatility.

Seamless spread trading

Enables new inter-commodity spreads vs. SOFR, Eurodollars, and Fed Funds for managing basis risk, capturing RV opportunities, and hedging credit spreads.

Acts as a building block to support OTC IRS trading

Provides a price discovery mechanism for building forward curves and hedging OTC swap risk.

Complementary to CME Cleared BSBY swaps

Cleared BSBY swaps are offered for both outright OIS and basis swaps to facilitate trading between BSBY and existing benchmarks.

Explore this product in depth

Vendor Codes

 

3-MONTH BSBY FUTURES

3-MONTH SOFR VS.
3-MONTH BSBY

3-MONTH BSBY VS.
EURODOLLARS

 

Outright

1:1 spread

1:1 spread

CME Globex

BSB

SR3

BSB

Bloomberg

BSBA Comdty

N/A

N/A

CQG

BSB

SR3BSB

BSBGE

DTN

@BSB

@SR3

@ED

Fidessa

BSB

SR3

BSB

FIS Global

BSB

SR3

BSB

ION (Pats & FFastFill)

BSB

SR3

BSB

Itiviti (Orc & Tbricks

BSB

SR3

BSB

Refinitiv

BSBY

SRA-BSBY

BSBY

TT

BSB

SR3|BSB

BSB|GE

Vela

BSB

SR3

BSB

Products

Spreading SOFR vs. BSBY

SOFR vs. BSBY inter-commodity spreads offer a capital-efficient proxy for trading credit spreads in a post-LIBOR world.

Trade BSBY futures on CME Direct

A fast, secure, and highly configurable trading front end, CME Direct offers a one-stop shop for accessing BSBY futures liquidity across CLOB trading, RFQs, and block negotiation/reporting workflows.

Download the BSBY futures trading grids

  1. Right click on the links to each file.
  2. Save the file as an .XML on your computer.
  3. In CME Direct, select import view in the main menu.
  4. Import the grid into CME Direct.
  5. Under Menu, click on Save Window Layout.

Not on CME Direct? Get started.

The Bloomberg Short-Term Bank Yield Index is a proprietary index calculated daily and published at 8 a.m. Eastern Time (ET) on each US business day to help banks manage the spread between their funding costs and the interest earned on loans. BSBY seeks to measure the average yields at which large global banks access USD senior unsecured marginal wholesale funding.

View the latest insights on trends in the Interest Rate futures and options market.

Courses

Take self-guided courses on Interest Rate futures and options products.

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Connect with a member of our expert Interest Rate team for more information about our products.

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