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. 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). There’s also coverage on rates with respect to the dollar and yen. We note for June that EURIBOR swaps trading volumes remain stable. SONIA volumes continue overtaking GBP LIBOR swaps trading both in total and across any tenor. USD SOFR monthly trading volume continues to grow, yet still remains a fraction of USD LIBOR market.

Benchmark Rates Liquidity Monitor Explanation