OTC IRS Production Advisory - BSBY Basis Swap Splitting - Effective July 08, 2024

Following discussions with existing position holders of Bloomberg Short-Term Bank Yield Index (“BSBY”) Basis Swaps, ahead of the forthcoming BSBY IRS conversion scheduled for July 12, 2024, relevant parties have agreed with CME to the bilateral conversion of the small number of open BSBY Basis swaps cleared at CME into corresponding fixed-float IRS, which will take place on the nominated date of July 01 and/or July 08, 2024.

Beginning COB Tuesday, July 08, 2024, CME will cease clearing support of basis swaps referencing ‘USD-BSBY’ as the Floating Rate Option. From COB on the Conversion Date (July 12, 2024), except for the limited exception noted, CME will cease to accept all BSBY swaps for clearing as detailed on Advisory 24-185.

For the full text of this advisory, please click here.