Cleared BSBY swaps

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.

Resources

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.

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