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Benchmark Rates Liquidity Monitor: Issue 8

14 October 2021

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Our monthly report reviews 20 charts showing the main metrics for total liquidity for interest rate and overnight indexed swaps, and for those same categories by tenor. Analysis breaks down via currencies, such as EURIBOR and Euro Short-Term Rates ESTR (ESTR), and GBP London Inter-bank Offered Rate (LIBOR) and Sterling Over Night Indexed Average (SONIA). We note:

EURIBOR and ESTR swaps trading volumes picked up
Trading activity in the LIBOR benchmark was also up
GBP LIBOR swaps continue to be well below SONIA volumes
SOFR trading continues rising at an accelerated pace
JPY TONA are close to overtaking JPY LIBOR volumes

Benchmark Rates Liquidity Monitor Explanation

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