Slide 1: BSBY Futures Fallbacks Implementation
BSBY Futures Fallbacks Implementation CME Group announces October 12th, 2024* as the planned date to convert BSBY futures to corresponding SOFR contracts *Subject to Regulatory Review CME GROUP PUBLIC; See Disclaimer For Information © 2022 CME Group. All rights reserved.
Slide 2: Fallback approach for CME BSBY futures
Fallback approach for CME BSBY futures BSBY • According to the announcement by Bloomberg Index Services on November 15th, 2023, the BSBY rate will cease Benchmark to be published as a benchmark on November 15, 2024. Bloomberg determined not to calculate or recommend a Cessation fallback replacement
Slide 3: Fallback process for BSBY futures
Fallback process for BSBY futures BSBY SR3 Onset Price for conversion: futures All existing Three-Month BSBY (BSB) futures contracts will be converted into the corresponding 3-month SOFR (SR3) futures as follows: 3-month BSBY One Time Conversion: SOFR Futures Onset Price = + Fallback Spread Adjustme
Slide 4: Operational timeline – BSBY futures conversion
Operational timeline* – BSBY futures conversion • 5:00 pm ET: BSBY futures are no longer tradeable Friday • 7:00 pm ET: Clearing firms submit, to CME, instructions to effect customer level conversion Oct 11, 2024 results (if applicable) • 8:30 pm ET: Clearing firms report final longs and shorts for
Slide 5: BSBY Futures conversion reporting example
BSBY Futures conversion reporting example BSBY Futures conversion will take place through offsetting each start of day position at an equal and opposite quantity using the Final Settlement Price for the position. An onset will be used to re-establish the position in the corresponding SR3 futures con
Slide 6: Disclaimer
Disclaimer Bloomberg Index Services Limited (“BISL”) and its affiliates (collectively, "Bloomberg") are not affiliated with Chicago Mercantile Exchange Inc. and do not approve, endorse, review, or recommend Three Month Bloomberg Short-Term Bank Yield Index (BSBY) futures. BLOOMBERG and Bloomberg Sho
Slide 7: CME Group
@ CME Group