Benchmark Rates Liquidity Monitor: Issue 1

Despite that ESTR swaps trading volumes went above 20bln EUR in January, the trade count dropped from 140 to 100 compared to a previous month. The ratio of SONIA to GBP LIBOR trade count continues to rise: SONIA swaps with 5Y, 10Y and 30Y tenors account now for almost 50% of GBP LIBOR swaps.

Benchmark Rates Liquidity Monitor Explanation