BSBY Swaps & Futures Volume

USD Benchmark Rates

Lastest BSBY News

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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Term SOFR Hedges: The Price of Perfection

Ballard Spahr LLC | 6/13/2023

As a result of the shift from LIBOR to the Secured Overnight Finance Rate (SOFR), borrowers who use interest rate swaps or options to manage interest rate risk may be asked to pay extra to maintain a hedge under which the interest rate on the swap is aligned with the interest rate on the debt. This alert discusses why the expense arose, what it represents, and how to analyze its worth.
BW Take: The best analysis of the challenges term SOFR presents to lending banks relative to the added cost structure that has resulted for borrowers. This outline makes a strong case for the clear market need for a credit sensitive rate like BSBY that checks many if not most boxes for efficiency, safety and cost.

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Progress Report on LIBOR and Other Benchmarks Transition Issues: Reaching the finishing line. . .

Financial Stability Board | 12/16/2022

Reaching the finishing line of LIBOR transition and securing robust reference rates for the future
BW Take: To properly consider the merits of RFR alternatives in lending space against current adoption data, one must consider the opacity of regulatory approval, necessary system and technical support and the willingness of lenders to table alternatives against the backdrop of credit spread adjustments and other add-ons. As education, awareness and regulatory clarity progress, credit sensitive rates such as BSBY will likely gain much-needed evaluation.

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FSOC (Financial Stability Oversight Council) Annual Report

FSOC | 12/16/2022

In the Financial Market Structure review in FSOC’s annual report, Credit-sensitive alternatives to SOFR, have seen little relative adoption by market participants. Although the Council has continued to advise lenders, borrowers, and other market participants to consider SOFR-based rates and to conduct a comprehensive evaluation before adopting any alternative rate, warning that rates based on small transaction volumes, could introduce risks. While banks will not be criticized for choosing a different rate, a number of Council members have emphasized concerns with such credit-sensitive rates being referenced in capital or derivatives markets.
BW Take: The real question is if a RFR in arrears based almost solely on overnight transaction volume and term SOFR derivative restrictions provide market participants with less systemic risk than a CSR with a legitimate term structure calculated against a broad set of transaction volume. As market participants gain the ability to evaluate these risks, the need for alternative rates for certain transactions seem obvious.

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As SOFR Deadline Looms, FCA Proposes Extensions for ‘Synthetic’ Approach to Legacy USD LIBOR Contracts

Ballard Spahr LLC | 12/5/2022

The UK Financial Conduct Authority (FCA) on November 23 published its Consultation on ‘Synthetic’ U.S. Dollar LIBOR to advance some synthetic applications of USD LIBOR from June 30, 2023, until September 30, 2024. If the Consultation is adopted, here are some issues to consider when determining whether outstanding “tough legacy” USD LIBOR contracts will convert to the Secured Overnight Financing Rate (SOFR) or a synthetic USD LIBOR rate.
BW Take: A very good synopsis of the FCA Consultation on ‘synthetic’ US dollar LIBOR and feedback to CP22/11 by Ballard Spahr While Libor for contracts referencing US law will convert to SOFR on 30Jun2023, there are significant contracts referencing UK and other non-US law that will not transition via the US Adjustable Rate Libor Act. For these contracts, the FCA are proposing that a synthetic derivation of Libor based on Term SOFR plus appropriate spread adjustments.

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Three Critical Problems AXI Solves for Banks

Marcus Burnett | 12/1/2022

The article discusses three three of the critical challenges facing banks as they replace Libor with a risk free rate.
BW Take: Provisioning credit is among the chief functions of banking and speaks to the fundamental way financial instruments are created, funds are invested, demand is accommodated and risk is managed. Perhaps one day, we’ll look back at this period in history and understand how the move from Libor to a risk free rate did not seemingly acknowledge these basic principles with a more logical approach. As we see with alternative reference rates like BSBY, Marcus Burnett, in highlighting these inefficiencies, discusses the Invesco USD-AXI credit spread index supplement as one solution to an obvious set of challenges.

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Term SOFR and Term SONIA: A Return to Term Reference Rates in European Fund Financing Transactions?

Mayer Brown | 11/30/2022

Now that the dust has (almost!) settled on issues relating to LIBOR cessation in fund financing transactions (and the lending markets more generally), we are increasingly seeing market participants turning their attention to the rates now being used for financing transactions involving currencies which were previously funded on the basis of LIBOR.
BW Take: The realization that “recommendations” of the £RFR Working Group do not provide a regulatory impediment to European market participants seeking to finance US dollar transactions on the basis of Term SOFR, has put a degree of focus on potential use cases where a Term SONIA rate may be appropriate. Could CSRs be next to follow?

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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