Isda preps swaps blueprint for new Bloomberg rates benchmark

Credit-sensitive SOFR add-on could be included in Isda’s interest rate definitions by mid-April


New standards are being drawn up for trading in swaps referencing Bloomberg’s short-term bank yield index (BSBY), one of a handful of credit-sensitive benchmarks vying for a place in the post-Libor markets.

The International Swaps and Derivatives Association has created documentation that would govern trading in BSBY swaps, which was sent to members on March 23. Following a comment period, the new benchmark will be added to the trade body’s interest rate definitions in mid-April.

“We currently

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