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Benchmark stats report

Back-to-Back Swap Program Benchmark Statistics Report

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Interested in seeing how your interest rate swap program stacks up relative to your peers? Perhaps your financial institution is not yet using swaps to win more commercial loan business, but would find value in reviewing and analyzing Chatham's Back-to-Back Swap Program Benchmark Statistics Report.


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Our back-to-back swap benchmark report compares customer swap transactions across years, regions, and bank asset size. Request your copy and learn more by joining us for a webinar that goes into the details of this report.

Last updated: February 3, 2022

Bank-earned swap fees

Average swap fees declined slightly during 2021 compared to elevated levels in 2020.

Swap volumes

Swap volumes in 2021 were lower compared to heightened volumes experienced during 2020. Comparing 2021 to pre-pandemic years, volumes remained healthy considering market headwinds.

Credit spreads over one-month LIBOR

Average spreads declined quarter-over-quarter during 2021 after hitting a six-year high in October 2020.

Expectations for swap volumes for the first half of 2022

Many banks have more recently reported an increase in commercial loan demand and expect this trend to continue in 2022. We are seeing this increase in loan volume result in more robust hedging pipelines despite the current economic uncertainty.

Development of alternative indices to LIBOR

Alternative rate indices adoption was weak during the first three quarters of 2021. A strong movement towards TERM SOFR structures was noticeable in November and December and continued into the new year. Back-to-back swap activity in SOFR-COMPOUND, NYFED 30-day SOFR, BSBY and AMERIBOR currently remains limited. PRIME hedging volumes are consistent with prior years. These trends are noticeable for both indicative pricing on deal pipeline structures and executed transactions.


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Understanding the 2021 back-to-back benchmark statistics report

In this webinar, our experts will dive into the 2021 back-to-back benchmark statistics report and share perspective on different interest rate risk management hedging strategies used by financial institutions.

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Back-to-back interest rate swaps explained in 3 minutes

Watch this brief video to learn more about back-to-back swaps, how they work, and who uses them.

Get to know our team

  • Ben Lewis

    Managing Director
    Head of Sales

    Financial Institutions | Denver, CO

  • Chris Funck

    Managing Director
    Product Management

    Financial Institutions | Kennett Square, PA

  • Matthew Tevis

    Managing Partner, Board Member
    Global Head of Financial Institutions

    Kennett Square, PA

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Disclaimers

Chatham Hedging Advisors, LLC (CHA) is a subsidiary of Chatham Financial Corp. and provides hedge advisory, accounting and execution services related to swap transactions in the United States. CHA is registered with the Commodity Futures Trading Commission (CFTC) as a commodity trading advisor and is a member of the National Futures Association (NFA); however, neither the CFTC nor the NFA have passed upon the merits of participating in any advisory services offered by CHA. For further information, please visit chathamfinancial.com/legal-notices.

Transactions in over-the-counter derivatives (or “swaps”) have significant risks, including, but not limited to, substantial risk of loss. You should consult your own business, legal, tax and accounting advisers with respect to proposed swap transaction and you should refrain from entering into any swap transaction unless you have fully understood the terms and risks of the transaction, including the extent of your potential risk of loss. This material has been prepared by a sales or trading employee or agent of Chatham Hedging Advisors and could be deemed a solicitation for entering into a derivatives transaction. This material is not a research report prepared by Chatham Hedging Advisors. If you are not an experienced user of the derivatives markets, capable of making independent trading decisions, then you should not rely solely on this communication in making trading decisions. All rights reserved.

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