BSBY Swaps & Futures Volume

USD Benchmark Rates

Lastest BSBY News

Smaller US banks make case for credit-sensitive rates ($) – Bernard Goyder | 1/6/2022

With Libor no longer available for new loans, US regional lenders are mulling which benchmark to adopt. Regulators have pushed banks to use SOFR, but regional banks are concerned that borrowers won’t understand the rate. They are also worried that SOFR’s lack of credit sensitivity would see them lose out in a stressed market. As a result, some lenders say they are preparing to use credit-sensitive rates, such as Bloomberg’s BSBY or Ameribor.
BRN Take: With credit sensitive borrowing rates trending significantly lower than the all-in borrowing costs for many SOFR loans, rates like BSBY are gaining momentum as the market looks for a risk-appropriate rate to replace Libor based loans. Effective hedging of CSR exposure is key area of focus and one where Eris BSBY and a developing swaps market will drive that transition.

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Ameribor Dominates CSR Landscape – Survey Reveals

IFLR ($)- Alice Tchernookova | 12/20/2021

In the third part of our survey, we look at the ongoing popularity of credit-sensitive rates as a replacement for USD Libor, with Ameribor and BSBY distinguishably outranking the rest
BRN Take: With over half of the respondents in a recent IFLR client survey planning to use a credit sensitive rate as either a spread to SOFR or stand alone rate, market participants and banks in particular, may look to align a credit sensitive rate with their own cost of funding. With SOFR broadly viewed as an appropriate replacement for Libor derivatives, the idea of a multi rate environment may gain additional momentum as Libor fades away and the focus on rate suitability increases.

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MRAC Subcommittee issues User Guide on Exchange Traded Derivatives

Market Risk Advisory Committee (MRAC) subcommittee on Interest Rate Benchmark Reform | 12/16/2021

Pursuant to the Market Risk Advisory Committee’s (MRAC) approval of the SOFR First Initiative at the MRAC meeting on July 13, 2021, the MRAC Subcommittee on Interest Rate Benchmark Reform (Subcommittee) outlines best practices for market participants to consider vis-à-vis transitioning new LIBOR-based exchange-traded derivatives activity to SOFR activity in the near term.
BW Take: The MRAC Subcommittee user guide encourages market participants to ensure operational capability and to consider voluntary conversions of LIBOR risk inclusive of Eurodollar futures and options to SOFR at this time and in advance of USD LIBOR’s cessation on June 30, 2023 stressing the risk of a decline in LIBOR liquidity following the year-end supervisory deadline.

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Loan markets call for clarity on scope of US Libor ban ($) – Helen Bartholomew | 11/25/2021

Lenders are calling on financial authorities to more clearly define the activities that would be exempt from a prohibition on new US dollar Libor contracts after December 31, amid uncertainty over the fate of some lending agreements including uncommitted credit lines and so-called “accordion” provisions. “We know in some areas what you can do, and in some areas what you can’t, and then there’s a fairly large grey area that is creating a huge amount of anxiety in the market,” said Meredith
BW Take: A very interesting read from Risk’s Helen Bartholomew citing the call for lenders requesting clarity on the scope of Libor’s expiration and where you draw the line of interpretation with respect to carve-outs. While this may seem to relate to documentation and how a revolving credit facility can operate, it also highlights the complexity of adopting SOFR relative to a credit sensitive rate.

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Term SOFR loans unite on spread amid ‘fair’ price debate ($) – Helen Bartholomew | 11/11/2021

A milestone in the long and tortuous transition from Libor to successor rates was reached on October 5, when real estate developer Walker & Dunlop announced a $600 million syndicated loan.
BRN Take: As banks begin to address the challenges of lending against SOFR, complex credit spread structures are addressing date mismatches, basis risk and the need to align with bank funding costs. As borrowers and lenders address this evolving loan complexity, the rationale of adopting a risk free rate relative to a credit sensitive rate will be a very hot topic into he days and weeks ahead.

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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