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Bloomberg Short-Term Bank Yield Index (BSBY)

US

The CME Group announced BSBY futures are coming in Q3, cleared swaps to follow in Q4. Providing more choices and "new risk management capabilities to short-term funding markets, CME Group will launch futures and cleared swaps on the Bloomberg Short-Term Bank Yield Index (BSBY), a forward-looking, credit-sensitive reference rate that tracks the US wholesale unsecured funding market.

  • Available to trade in Q3, BSBY futures will offer:
  • An efficient tool for hedging loan exposure, projecting future BSBY resets/cash flows, and reducing income statement volatility.
  • New inter-commodity spreads vs. SOFR, Eurodollars, and Fed Funds for managing basis risk, RV trading, and hedging credit spreads.
  • A price discovery mechanism for building forward curves and hedging OTC swap risk. Subject to regulatory review
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