Benchmark Rates Liquidity Monitor: Issue 11
19 January 2022
In 18 charts, we cover the main metrics for total liquidity for interest rate and overnight indexed swaps. Analysis breaks down via currencies, such as the Euro Inter-bank Offered Rate, Euro Short-Term Rates (ESTR), the Sterling Over Night Indexed Average (SONIA), and the Tokyo Overnight Average Rate. We note:
- ESTR trading volumes dropped in December, but not as much relative to EURIBOR
- SONIA trading volumes continue to dominate GBP swaps market
- In the U.S. derivatives market, volume and trade count data indicate a slowdown for the month in both LIBOR and SOFR swap activity
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