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Benchmark stats report

Back-to-Back Swap Program Benchmark Statistics Report

Summary

Our back-to-back swap benchmark report compares customer swap transactions across years, regions, and bank asset size. Learn more and request your copy.

Bank-earned swap fees, YTD

Average swap fees are running close to 2020 levels with fees having grown last year compared to the previous two years.

Swap volumes H1 2021 compared to H1 2020

Swap volumes in the first half of 2021 are lower compared to heightened volumes experienced during the first half of 2020. Looking back pre-pandemic, volumes remain healthy considering market headwinds.

Credit spreads over one-month LIBOR

After hitting a six-year high in October 2020, average spreads declined quarter-over-quarter.

Expectations for swap volumes for the last half of 2021

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

Development of alternative indices to LIBOR

To date, we have seen limited traction with alternative reference rates, such as USD-SOFR-COMPOUND and NYFED 30-day SOFR. This is noticed for both indicative pricing on deal pipeline structures and executed transactions. Swap activity on PRIME also remains low.

Last updated: August 12, 2021

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Get to know our team

  • Ben Lewis

    Managing Director
    Head of Sales

    Financial Institutions | Denver, CO

  • Chris Funck

    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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