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Libor is Ending.
Credit Risk Isn’t.
Credit Risk Isn’t.
Bloomberg introduced BSBY (Bloomberg Short-Term Bank Yield Index) to address banks’ requests for a credit-sensitive rate to manage the spread between their funding costs paid and loan interest received. With SOFR (Secured Overnight Financing Rate) well on its way to replacing Libor as the benchmark USD interest rate, participants are increasingly using BSBY for commercial loans and related hedging.
Trade BSBY using CME Eris BSBY Swap Futures
Eris BSBY Swap Futures enable borrowers and lenders to forecast and hedge 3-month BSBY rates using benchmark CME futures contracts. With tenors from one to ten years, Eris BSBY enables lending market participants to take advantage of BSBY’s forward-looking term structure and embedded credit sensitivity.
Replicates swaps for proper hedging
Eris BSBY Swap Futures replicate the cash flows of vanilla, BSBY swaps, including semi-annual fixed payments at a predetermined fixed rate, and quarterly floating payments based on 3-month BSBY. Unlike traditional futures, end users can hold Eris BSBY contracts until final maturity, both avoiding forced rolls and enabling hedge accounting applications previously reserved for swaps.
Brings visibility to full BSBY swap curve
Eris BSBY is available for both screen and block trading and the daily publication of an Eris BSBY settlement curve will help bring visibility to the BSBY swap curve. The Eris pricing engine observes a wide range of market prices that are used to fit an Eris BSBY curve and this is published in both real-time and for daily settlements.
Requires half the capital of swaps
Eris BSBY Swap Futures offer the margin efficiencies of CME Group futures, including outright levels up to 60% lower than comparable cleared interest rate swaps, and margin offsets with CME BSBY Futures, Eurodollars and Treasury Futures.
Available for Trading Now
Eris BSBY Swap Futures offer the margin efficiencies of CME Group listed futures, including outright levels up to 60% lower than comparable cleared interest rate swaps, and margin offsets with CME BSBY Futures, Eurodollars and Treasury Futures. Eris BSBY is now available for both on-screen trading and for privately negotiated block trading over the 100 contract block threshold.
Finding Eris on Bloomberg
Eris contracts are CME Group products that are listed on CBOT and available for trading on the Globex platform. Contract codes on Bloomberg mirror codes at CME and may be found on Bloomberg using the “Comdty” function (F9 key).
Accessible globally on CME Globex
Eris BSBY Swap Futures offer the ease-of-access and operational simplicity of CME futures, enabling traders to view market data and place orders immediately using existing tools, including Bloomberg. Hedgers have the ability to trade outright BSBY risk or spread BSBY against Eris SOFR or Eris Libor, by either trading in CME’s central limit order book, or via private negotiation of block trades (block minimum: 100 contracts/$10 million notional).
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