Benchmark Rates Liquidity Monitor: Issue 3

Our monthly report reviews 10 charts showing the main metrics for rates for the euro and pound sterling. We look at the interest rate swaps and total liquidity of overnight interest swaps, along with four bond tenors for each. The report includes graphs on monthly trading volumes and trade counts. Analysis breaks down via currencies, such as Euribor and ESTR (euro short-term rates), and GBP LIBOR (London Inter-bank Offered Rate) and SONIA (Sterling Over Night Indexed Average). We note in March ESTR volumes are up, with trading in the long end of the curve accelerating, while SONIA volumes overtake GBP LIBOR swaps trading for key long-term tenors.

Benchmark Rates Liquidity Monitor Explanation