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BofA and JPMC Enter Swaps Trade Tied to New LIBOR Replacement

“We want to signal our support for credit-sensitive rates alongside SOFR. There’s a lot of work being done on having a rate that looks and feels like LIBOR,” according to a BofA representative.

By Lananh Nguyen & Alexandra Harris | May 03, 2021 at 12:33 PM

Bank of America Corp. and JPMorgan Chase & Co. struck the first swaps trade tied to the Bloomberg Short Term Bank Yield (BSBY) index Friday, as Wall Street tests new benchmarks meant to help replace LIBOR.

The banks entered into a $250 million one-year basis swap with one side tied to the BSBY reference rate. The benchmark is constructed using aggregated and anonymized data based on transactions of commercial paper, certificates of deposit, U.S. dollar bank deposits, and short-term bank bond trades, reflecting banks’ marginal funding costs. The other side of the swap is linked to the Secured Overnight Financing Rate (SOFR).

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