USD BSBY Cessation

Report date

Circular No.

LCH Circular No 4300


5 April 2024


All SwapClear Users


On 15 November 2023, Bloomberg Index Services Limited (“BISL”) issued a statement announcing the cessation of the Bloomberg Short-Term Bank Yield Index (“BSBY”) following its final publication on 15 November 2024[1]. On 20 November 2023, ISDA confirmed that BISL’s announcement constitutes an “Index Cessation Event” for the purposes of the 2021 ISDA Interest Rate Derivatives Definitions, the 2006 ISDA Definitions and the 2018 ISDA Benchmarks Supplement[2].

As stated in Circular No 4284[3], these announcements are relevant to LCH Limited (“LCH”) since its SwapClear service provides clearing of eligible USD BSBY swaps[4]. We noted that BISL’s decision not to recommend a fallback replacement rate for BSBY significantly complicated any potential conversion approach and we can now confirm that we consider that such an approach is not feasible. We would therefore like to reiterate that LCH continues to strongly encourage all SwapClear users with outstanding BSBY swap positions cleared at LCH (“BSBY Positions”) to actively reduce and/or close out their exposures at their earliest convenience.

Since our Circular, liquidity conditions in the underlying market have further deteriorated. This has had a material negative impact on our ability to risk manage open BSBY Positions. In response to this, SwapClear today announces it will terminate outstanding BSBY Positions at LCH’s prevailing valuations. Such termination event is scheduled to occur on 13 May 2024.

This means that all outstanding BSBY Positions will be terminated by LCH as of this date, and any associated variation margin and/or initial margin changes will be calculated, processed and payable as part of that day’s EOD settlement cycle. BSBY swap contracts will no longer be eligible for clearing at SwapClear on and from that date.

Users can access additional details concerning the planned BSBY termination process via the LCH Portal and Knowledge Centre at this link.  

In light of the above, SwapClear users are strongly encouraged to actively reduce and/or close out their exposures in relation to BSBY Positions in the period leading up to the termination event.

Our approach remains subject to risk governance and legal review.

Should you have any comments or questions, or if you require further information, please do not hesitate to contact