BSBY Swaps & Futures Volume

USD Benchmark Rates

Lastest BSBY News

ARRC Publishes LIBOR Legacy Playbook

The Alternative Reference Rate Committee | 7/11/2022

The Alternative Reference Rates Committee (the “ARRC”) published a “Playbook” to assist market participants in transitioning their legacy LIBOR contracts to an alternative rate by June 30, 2023. The Playbook is primarily focused on legacy cash products, which the ARRC estimates will total approximately $5 trillion.
BW Take: A much-needed step by the ARRC to encourage market participants to conduct a thorough assessment of their Libor holdings as it relates to trigger events, fallback details, client communication, governing law and operational implementation while securing all necessary resources. With the end of Libor less than a year away, the challenges resulting from the sheer scale and variability of legacy Libor contracts cannot be ignored.

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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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Alternative Reference Rates Committee (ARRC) meeting highlights – March 23, 2022

Alternative Reference Rates Committee | 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: Strong progress is being made transitioning from Libor with SOFR swaps now accounting for 80% of interest rate risk traded in the outright linear swaps market. Average daily SOFR futures volumes increased by 50 percent month-over-month in February. 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 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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Upcoming Event Alert – ISDA Benchmark Strategies Forum March 22, 2022

ISDA | 3/22/2022

After more than four years of preparation, 30 LIBOR settings have now ceased or become non-representative. Just five US dollar LIBOR setting remain until June 2023, when they too will be retired. This event will consider the implications of the transition and the steps market participants need to take ahead of the end of US dollar LIBOR.
BW Take: Sign up for ISDAs upcoming virtual conference discussing the historic Libor Transition (free)

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BSBY Syndicated
Loan Scorecard

105
Loan Count
$ 1900000000000
Loan Notional Totals

*Data limited to syndicated loans, as bilateral loan activity is less readily available as of 30-May-2023

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Regulatory News

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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Regulators must provide relief during transition from Libor

American Banker (REG) – Bryan Bashur | 1/19/2022

Now that 2021 is over, regulators expect financial institutions to forgo use of the London interbank offered rate as a benchmark interest rate to gauge the cost of lending for newly drafted financial contracts and start using alternative reference rates. It is imperative that the United States government implement regulatory relief, emphasize flexibility and develop concrete guidelines for financial institutions so they can easily adapt to the changing interest rate landscape. As banks and other financial institutions rewrite contracts for mortgages, credit cards, bonds, student loans and financial derivatives to adjust to fluctuating interest rates, the federal government needs to ensure that the tax burden is limited and litigation is mitigated.
BW Take: In highlighting the labyrinth of over $220 trillion in financial instruments that reference USD Libor (end of ’20), many challenges of this historic transition remain including the need for regulators to clearly support the use of credit sensitive benchmark rates like BSBY which accurately reflect the funding costs of lenders.

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US SENATE COMMITTEE ON BANKING, HOUSING AND URBAN AFFAIRS: Testimony of Hon. J. Christopher Giancarlo

US Senate Committee on Banking Housing & Urban Affairs | 11/2/2021

I am Chris Giancarlo, Senior Counsel at the law firm of Willkie Farr & Gallagher. I had the honor to serve our country as the thirteenth Chairman of the U.S. Commodity Futures Trading Commission (CFTC), a Federal agency that has led and continues to lead the transition away from the LIBOR interest rate benchmark, the subject of today’s hearing. I am also an independent director of the American Financial Exchange.
BW Take: Chris Giancarlo speaking before the senate banking committee stressed that there is simply no one-size-fits-all lending benchmark for an economy as unique and diverse as the United States. “Having choice among multiple, properly qualified benchmarks not only facilitates the transition away from LIBOR, but it also enhances efficiency, reduces systemic risk and encourages economic growth as we progress through the transition process”.

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Ranking Member Pat Toomey (R-Pa.) Opening Statement Full Committee Hearing: The Libor Transition:

US Senator Pat Toomey (Pennsylvania) | 11/2/2021

Thank you, Mr. Chairman. The London Interbank Offered Rate – or LIBOR – has long been the most widely used U.S. dollar-denominated benchmark interest rate across all types of financial contracts. LIBOR is the rate at which large banks report they can borrow from one another in the interbank market on a short-term, unsecured basis.
BW Take: Senator Pat Toomey stressed how congress’s authority to amend contracts between private parties should be enacted as a last resort and mindful of the equities of the contract. In discussing the need for choice, Sen Toomey said “Risk-free rates like SOFR may work well for derivatives contracts and institutions active in the Treasury repo market, but they may not be well-suited for loans or certain community or regional banks”.

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Transition to RFRs Review: Third Quarter of 2021 and Year-to-September 30, 2021

ISDA | 11/1/2021

The Transition to Risk-free Rates (RFRs) Review analyzes the trading volumes of over-the-counter (OTC) and exchange-traded interest rate derivatives (IRD) that reference selected alternative RFRs, including the Secured Overnight Financing Rate (SOFR), the Sterling Overnight Index Average, the Swiss Average Rate Overnight, the Tokyo Overnight Average Rate, the Euro Short-Term Rate and the Australian Overnight Index Average.

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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: 3-Month USD Libor (US0003M Index)

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