Cleared BSBY swaps

Coming November 15*

Capital-efficient, cleared swaps on the Bloomberg Short-Term Yield Index (BSBY)

Introducing cleared OTC interest rate swaps based on the Bloomberg Short-Term Bank Yield Index (BSBY), a forward-looking, credit-sensitive reference rate that tracks the US wholesale unsecured funding market.

Cleared BSBY swaps are designed to complement 3-Month BSBY futures and CME Group’s leading suite of SOFR-based derivatives and reference rates, providing an expanded set of capital-efficient tools for managing interest rate exposures going forward.

*Subject to regulatory review.

Key features and benefits

Hedge cash and loan exposures

Manage exposure on a credit-sensitive rate being used with more frequency in US lending markets.

Complements BSBY futures

Designed to work seamlessly with Three-Month BSBY futures which are now trading at CME Group.

Expands choice of capital-efficient tools

Complements our SOFR-based offerings and existing short-term interest rate products for managing rates exposure.

Product specifications

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

Product attribute

 Interest rate swap

 Basis swap*

 Maximum maturity

 11 years

 11 years

 Floating rate index

 USD-BSBY

 USD-BSBY vs USD-SOFR-COMPOUND

 Floating index tenors

 1M, 3M

 1M, 3M (BSBY leg)

 Price alignment rate

 SOFR

 SOFR

 Settlement currency & convention

 USD (T+1)

 USD (T+1)

 Variation, coupons and fees

 USD

 USD

 Fixing calendar

 US government securities (USGS)

 US government securities (USGS)

 Fixing offset

-2D

BSBY = -2D, SOFR = 0D

 Day count

 ACT/360

 ACT/360

 Payment calendar

USNY required, others optional

USNY required, others optional

 Payment frequency

 1M, 3M, 6M, 1Y, 1T

 1M, 3M, 6M, 1Y, 1T

 Payment offset

0D,2D (Flexible)

BSBY = 0D,2D (Flexible); SOFR = 2D

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 define 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

Sign up to be among the first to receive updates about BSBY swaps and futures as more information and resources become available.

Related products