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Benchmark stats report

Back-to-Back Swap Program Benchmark Statistics Report

Last updated: August 8, 2022

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. 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. Request your copy.

Bank-earned swap fees

Average swap fees declined slightly during the first half of 2022 compared to the first half of 2021.

Swap volumes

Swap volumes in the first half of 2022 are comparable to volumes in the first half of 2021, with an increase in the number of larger-sized deals closed so far this year.

Credit spreads on swapped structures

Credit spreads remained stable for the first half of 2022, at 200bps, after seeing quarter-over-quarter declines in 2021.

Expectations for swap volumes for the second half of 2022

Current deal pipelines indicate healthy transaction volume for the remainder of the year. Q4 volumes are typically a high point for institutions running back-to-back swap programs.

Development of alternative indices to LIBOR

Term SOFR is the predominate index we see for back-to-back swaps. Swap activity on Prime also remains healthy and is consistent with the past several years’ activity. We have seen very limited activity on USD-SOFR-OIS-COMPOUND, USD-SOFR Average 30D (NY Fed 30 day), USD-SOFR (daily weighted average), and BSBY for back-to-back swaps. We notice these activity trends across indicative pricing, deal pipelines, and executed transactions.

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

  • Matthew Tevis

    Managing Partner, Board Member
    Global Head of Financial Institutions

    Kennett Square, PA

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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

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.