Clarus Financial Technology

BSBY and Term SOFR Swap Volumes Update

In Feb 2022, I looked at BSBY and Term SOFR Swap Volumes, so today is an update for March and April.

Term SOFR

Using SDRView, exporting USD FixedFloat Swaps (so not OIS), filter on Term SOFR Reference Indices.

Trade counts by month of Term SOFR Swaps

The number of trades in a month increasing from:

A continuing increase since my last blog, low numbers compared to the 25,000 USD Libor Swaps reported in Jan 2022, but still an upward trend nevertheless.

As before I have had to filter on the following long list of reference index name variations:

Next the same chart but with gross notional by month.

Gross notional by month of Term SOFR Swaps (usd billions)

Gross notional volume up from $8.5 billion in Feb 2020 to $17.5 billion in March and April with $13.2 billion with three business days to go in the month.

Checking Basis Swaps, we do not see much, just 13 Basis Swap trades in March that reference Term SOFR.

However CapFloor volumes are decent with 400-600 trades in each of the past five months, March with 596.

Trade counts of Term SOFR CapFloors

That’s all for a look at Term SOFR for today.

BSBY Swaps

Next Swaps that reference the Bloomberg Short-term Bank Yield Index (BSBY), available here, which is series of credit sensitive reference rates that incorporate bank credit spreads and a forward term structure and updating the charts from the Feb blog.

Trade counts by month of BSBY Swaps

So signs of steady volumes, but very low numbers compared to USD Libor or USD SOFR Swaps.

This time I filtered on five variations of BSBY, as in the table below.

Next let’s chart gross notional volumes.

Gross notional by month of BSBY Swaps

Showing that gross notional volume dropped off significantly in March and April, even though trade counts were similar. The Cleared gross notional in particular much lower for BSBY in March and April at under $1 billion in each month from the $10 billion in January, while Uncleared notional is similar.

And Basis Swaps that reference BSBY with a small number of trades, 4 each in Feb, Mar and Apr.

That’s all for BSBY today.

Summary

Term SOFR Swap volumes are on a steady and upward trend.

March with almost 1,000 trades and $17.5 billion notional, all uncleared.

CapFloors on Term SOFR with 400-600 trades per month.

BSBY trade counts steady with 30-40 cleared and 100 uncleared each month.

BSBY notional falling below $3 billion in Mar and Apr, from a high of $13 billion.

Cleared BSBY Swaps in particular responsible for the drop.

It will be interesting to see how volumes develop next quarter.

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