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

Benchmark Rates Liquidity Monitor Explanation