BSBY futures

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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 US 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.

Key benefits and applications

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, coming Q4 2021

CME Clearing intends to support BSBY swap clearing in Q4 2021.

Contract specifications

  Three-Month BSBY futures

Reference rate

3-Month USD Bloomberg Short-Term Bank Yield Index (BSBY), a forward-looking credit-sensitive reference rate

Pricing methodology

100-yield

Number of contract listings

20 (5-years)

Listing dates

Quarterly IMM schedule

Contract notional currency

USD

Approximate contract size
(contract is technically defined by its IMM index)

$1 million  

Value of 1 bp

$25

IMM index value

$2500

Variation margin currency

USD

Fee currency

USD

Minimum price increment

Nearby expiry: 1/4 of one interest rate basis point / 0.0025 price points = $6.25
All other expiries: 1/2 of one interest rate basis point / 0.005 price points = $12.50

Delivery months

Nearest 20 IMM quarters

Termination of trading

Second NYC business day before 3rd Wednesday of the contract month

Delivery

Cash settlement in USD, by reference to Final Settlement Price, on day following Last Day of Trading

Final settlement price

Contract-grade IMM index

Trading hours

CME Globex

Block threshold

100 contracts

Electronic execution methods

Strips/Packs based on average price

RFQ

Committed Cross

CME Globex algorithm

Allocation – A algorithm

Product code

BSB

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

Download a CME Direct trading grid

Current CME Direct users can import a trading grid populated with Bloomberg Short-Term Bank Yield Index (BSBY) futures contracts below to quickly add them to your CME Direct screen:

  1. Right-click the link for the relevant grid
  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.

What is BSBY?

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 provides a series of credit sensitive reference rates that incorporate bank credit spreads and defines a forward term structure. BSBY seeks to measure the average yields at which large global banks access USD senior unsecured marginal wholesale funding.

Learn more

Sign up for updates on BSBY futures and cleared swaps

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