3M Libor*: Synthetic 3-Month USD Libor (US0003M Index)
For more information: ICE LIBOR (theice.com)
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)
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
