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Benchmark stats report

Back-to-Back Swap Program Benchmark Statistics Report

Last updated: February 2023

Interested in seeing how your customer interest rate swap program stacks up relative to your peers? Perhaps your financial institution is not yet hedging as a tool to win more commercial loan business — you will still find value in reviewing and analyzing Chatham's Back-to-Back Swap Program Benchmark Statistics Report. Grab your copy today.

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Our back-to-back swap benchmark report compares customer swap transactions across years, regions, and bank asset size.

Bank-earned swap fees

Average swap fees declined in 2022, compared to 2021 average levels.

Swap volumes

Overall, trade originations were higher in 2022 compared to 2021, and established programs performed similarly to 2021.

Credit spreads on swapped structures

Average credit spreads for one-month Term SOFR structures increased slightly during the last half of 2022, compared to averages from the first half of the year.

Expectations for swap volumes for the first half of 2023

As economic conditions develop during the first half of 2023, those conditions will continue to influence overall loan demand and related swap volumes.

Alternative indices to LIBOR

Term SOFR is the predominant index for back-to-back swaps.

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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.

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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

  • Chris Ebbs

    Director
    Swapdesk

    Financial Institutions | Denver, CO

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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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