BSBY Swaps & Futures Volume

USD Benchmark Rates

Lastest BSBY News

International: Boats against the current? Credit-sensitive rates after LIBOR

Baker McKenzie (R) – Mark Tibberts, Caitlin McErlane, John F. Lawlor | 8/22/2023

The IOSCO 7/3 statement that the administrators of the Bloomberg Short-term Bank Yield Index (BSBY) and Ameribor should refrain from representing that such rates comply with the IOSCO Principles seems like a death knell for USD credit-sensitive rates (CSRs). Despite this “guidance”, some lenders have indicated a preference for rates like BSBY that reflect counterparty credit risk and the US LIBOR Act permits US banks to use such rates regardless of the IOSCO statement and lack of regulatory oversight.
BW Take: By ignoring the variability of funding costs between large and small banks, regulators and IOSCO have created a costly and dangerous environment for smaller banks with higher funding costs. Fears of a reverse pyramid seem like a thinly veiled defense for a RFR that has allowed systemic risk to flourish during a critical interest rate cycle.

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CSRs fight for survival after ‘damning’ Iosco verdict ($) – Helen Bartholomew | 8/8/2023

Despite the July 3 IOSCO declaration that the two most widely used CSRs in US lending markets – Bloomberg’s short-term bank yield index (BSBY) and the American Financial Exchange’s (AFX) Ameribor – fell short of its principles for financial benchmarks, these benchmark administrators seem ready to address the concerns head on.
BW Take: The baseless report from IOSCO sans data or specific mention that Term SOFR also faces similar concerns, has only served to ignite the focus on CSRs and question the credibility of IOSCO and their complete absence of oversight authority. One person’s view is that this has always been about keeping focus on the chosen one (SOFR) despite the absence of an active, responsive and risk-efficient credit spread. Smart people are laughing.

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Bloomberg BSBY Bulletin – Underlying Volumes, Resiliency in Periods of Stress and Current Landscape

Bloomberg LP | 7/11/2023

Bloomberg’s bulletin provides a detailed performance overview of the Bloomberg Short-Term Bank Yield Index (BSBY) from the beginning of ’22 inclusive of historic and recent periods of market stress. Daily underlying volumes across published tenors and details of the waterfall process that can be utilized if liquidity is challenged are provided as is detail on the existing BSBY user and product landscape and its use across the lending markets.
BW Take: BSBYwatch was borne out of the recognition of the market’s need for a stable, credit-sensitive rate supported by the deep and robust transaction data that sets it far apart from Libor. This report highlights how BSBY is the correct reference rate for transactions where Risk Free Rates with the added cost of credit spreads and a restrictive swap market are simply inappropriate.

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BSBY/AMERIBOR – Not a Great July 4th (R) – Ed Ivey | 7/11/2023

IOSCO doesn’t have any actual legal authority. No one is going to jail for using BSBY or AMERIBOR – i.e., they cannot deem a rate “not IOSCO compliant” thereby outlawing its use. IOSCO sets principles, then someone like Bloomberg hires an auditor to review their rates and determine whether, in the opinion of the auditor, BSBY satisfies IOSCO’s principles. In fact, that is exactly what BSBY did do.
BW Take: A very good synopsis of where we are now with CSRs including the lack of IOSCO regulatory authority who incidentally have not provided any detail on the review that supported their recent decision on SOFR rate alternatives. IOSCO has set the stage for a practical debate on ALL Libor replacements and that’s a very good thing.

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Iosco deals hammer blow to BSBY, Ameribor ($) – Helen Bartholomew | 7/4/2023

The role of credit-sensitive rates in the post-Libor landscape has been thrown into doubt after the International Organization of Securities Commissions ruled that they do not comply with international benchmark standards.
BW Take: Despite an independent audit concluding BSBY’s compliance with the 19 core IOSCO principles, this latest ruling, while not a ban, will re-examine the makeup and volume underpinning CSRs and defined use cases.

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IOSCO Statement on Alternatives to USD Libor

The International Organization of Securities Commissions (IOSCO) | 7/3/2023

The IOSCO Review of Alternatives to USD Libor assessed the extent to which 4 benchmarks developed as potential substitutes for USD LIBOR – two credit sensitive rates and two Term SOFR rates, have implemented IOSCO’s 2013 Principles for Financial Benchmarks. In the report, varying degrees of vulnerability of concern with each rate’s implementation of the Principles were identified along with areas for improvement.
BW Take: A well-documented and data-rich credit sensitive rate seems essential to the health of the financial system. IOSCO are likely looking to refine the requirements and use cases to assure the market embraces a robust and stable solution.

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Curb use of dollar Libor alternatives to Fed rate, says watchdog

Reuters – Huw Jones | 7/3/2023

The use of four dollar-denominated alternatives to the now scrapped Libor interest rate need restrictions to avoid threatening financial stability, a global securities watchdog said on Monday.
BW Take: Concerns that the volume underpinning CSRs become vulnerable during periods of market stress seem to also apply to a bank’s ability to provide SOFR-based credit lines during times of stress.

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BSBY Syndicated
Loan Scorecard

Loan Count
$ 2000000000000
Loan Notional Totals

*Data limited to syndicated loans, as bilateral loan activity is less readily available as of 28-Aug-2023

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Regulatory News

Alternative Reference Rates Committee Meeting Readout

ARRC | 5/18/2022

Topics discussed included CME Group’s SOFR First for Options, momentum towards the Secured Overnight Financing Rate (SOFR), results from the latest sentiment survey of ARRC members, ARRC working group updates, and work evaluating 12-month Term SOFR.
BW Take: As the momentum of SOFR adoption increases, the ARRC meeting highlighted how SOFR swaps accounted for 80% of interest rate risk while SOFR futures volume and open interest closes in on Eurodollar futures volume.

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TRANSITION TO RFRs REVIEW: First Quarter of 2022

ISDA | 4/29/2022

SOFR IRD increased to $12.8 trillion in the first quarter of 2022 vs $5.6 trillion in the fourth quarter of 2021 accounting for 28.2% of US dollar-denominated OTC IRD vs 17.1% in the last quarter of 2021. SONIA IRD decreased by 28.2% to $6.1 trillion in the first quarter of 2022 vs $8.5 trillion in the fourth quarter of 2021 accounting for 99.6% of sterling-denominated IRD traded notional vs 91.5% in the fourth quarter of 2021. €STR IRD increased by 173.5% to $7.3 trillion in the first quarter of 2022 vs $2.7 trillion in the prior quarter accounting for 27.8% of euro-denominated IRD traded notional compared to 22.0% in the fourth quarter of 2021. IRD referencing LIBOR denominated in US dollars, sterling, Swiss franc, yen and euro, as well as EURIBOR and TIBOR, rose by 30.5% to $37.2 trillion in the first quarter of 2022 compared to $28.5 trillion in the fourth quarter of 2021.

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ISDA SwapsInfo First Quarter of 2022 Review: Summary

ISDA | 4/29/2022

The latest ISDA SwapsInfo Quarterly Review shows that trading volume for interest rate derivatives (IRD) and credit derivatives increased in the first quarter of 2022 compared to the first quarter of 2021. This summary provides a high-level overview of key trends in the first quarter of 2022.

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Highlights from the ARRC meeting on March 23, 2022

ARRC 3/23/22 | 3/23/2022

Topics discussed at the meeting included federal LIBOR legislation, momentum towards the Secured Overnight Financing Rate (SOFR), results from the latest sentiment survey of ARRC members, and work evaluating 1-year Term SOFR.
BW Take: In addition to discussing passage of the Consolidated Appropriations Act of 2022 which provides a workable solution for tough legacy Libor contracts, the monthly ARRC discussed the momentum of SOFR adoption where SOFR swaps now account for around 80 percent of interest rate risk traded in the outright linear swaps market and average daily SOFR futures volumes increased by 50 percent month-over-month in February. Additionally, SOFR futures volumes and open interest continue to increase relative to Eurodollar futures and the overall STIR futures market

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Highlights from the  ARRC meeting on February 16, 2022

ARRC | 2/16/2022

Topics discussed at the meeting included the momentum towards the Secured Overnight Financing Rate (SOFR) and the ARRC’s key objectives for 2022
BRN Take: The Alternative Reference Rate Committee discusses the broad adoption of SOFR across linear, non linear and exchange traded derivatives, cross currency swaps, cash instruments and syndicated loans.

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Alternative Reference Rate Committee (ARRC) Newsletter: December 2021 to January 2022

ARRC | 1/25/2022

1. The December 31, 2021 end of sterling, yen, swiss franc, and euro LIBOR achieved a major milestone in the LIBOR transition without market disruption. 2. Progress in the transition to the Secured Overnight Financing Rate (SOFR) accelerated across cash and derivatives markets ahead of the 2021 year-end milestone and into 2022. 3. The U.S. Department of the Treasury and Consumer Financial Protection Bureau (CFPB) issued final rules relating to the transition away from LIBOR.
BW Take: The ARRC monthly discusses the global strength of the Libor transition and how SOFR is dominating both the cleared swap risk and syndicated loan activity relative to Libor. As the spread between risk free and credit sensitive rates like BSBY widen, a multi rate environment may begin to gain momentum.

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BSBY Swaps ADV: Notional value traded of bilateral and cleared interest rate swaps referencing Bloomberg Short-Term Bank Yield Index divided by the number of trading days in each month (i.e. Average Daily Volume)

CME BSBY Futures ADV: Futures contracts ($1 million notional) traded of Three-Month Bloomberg Short-Term Bank Yield Index (BSBY) Futures on CME divided by the number of trading days in each month (i.e. Average Daily Volume)

Source: Clarus Financial Technology data

3M Libor*: Synthetic 3-Month USD Libor (US0003M Index)

For more information: ICE LIBOR (

3M BSBY: 3-Month Short-Term Bank Yield Index (BSBY 3M Index)

O/N SOFR: Secured Overnight Financing Rate (SOFR Index)

3M Term SOFR: 3-Month CME Term SOFR (SR3M Index)

The BSBY loan scorecard is limited to syndicated loans and does not include bilateral loan activity details that are less readily available.

Syndicated loans occur between a borrower and a dedicated group of lenders who coordinate the provision of funds referencing a fixed or floating rate benchmark.

Totals represent the aggregated notional and count of all syndicated loan activity referencing BSBY since 1/1/2021

Source: Bloomberg