CME Group to launch Eris BSBY Swap Futures

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Michael Noto – Eris Innovations | 3/15/2022

CME Group Interest Rates to launch Eris BSBY Swap Futures April 10; futures contracts replicating interest rate swaps indexed to the 3-month Bloomberg Short-Term Bank Yield Index (BSBY). BSBY is a benchmark interest rate referencing transactions in U.S. dollar debt instruments of leading global banks. Eris BSBY will add visibility and improve access to BSBY swaps, aiding valuation and risk management.
BW Take: CME-cleared ERIS BSBY Swap Futures will provide clients with margin and basis-efficient liquidity addressing the growth of BSBY indexed lending and the resulting hedging and risk management liquidity needs.

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BSBY Swaps ADV: Notional value traded of bilateral and cleared interest rate swaps referencing Bloomberg Short-Term Bank Yield Index divided by the number of trading days in each month (i.e. Average Daily Volume)

CME BSBY Futures ADV: Futures contracts ($1 million notional) traded of Three-Month Bloomberg Short-Term Bank Yield Index (BSBY) Futures on CME divided by the number of trading days in each month (i.e. Average Daily Volume)

Source: Clarus Financial Technology data

3M Libor: 3-Month USD Libor (US0003M Index)

3M BSBY: 3-Month Short-Term Bank Yield Index (BSBY 3M Index)

O/N SOFR: Secured Overnight Financing Rate (SOFR Index)

3M Term SOFR: 3-Month CME Term SOFR (SR3M Index)