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Rates survey 2011: Methodology

Product ranking by market share: Respondents (users of rates services) were asked to give us their total notional volume by currency, product type and timeframe; then state the percentage they trade with their top-three banks within the following criteria: By currency: Up to five currencies (G10: euro/dollar/yen/sterling. Other: Swiss franc/Mexican peso/Brazilian real/Australian dollar/Canadian dollar/South African rand/Korean won/Hong Kong dollar/Singapore dollar).

By product type: Cash and derivatives.

By timeframe: two to five years (total notional)/five to 10 years (total notional)/10 to 30 years (total notional).

Euromoney calculated the equivalent volumes by using the following duration weights:

Two to five years (total notional) = notional multiplied by 1.167 Five to 10 years (total notional) = notional multiplied by 1.071 10 to 30 years (total notional) = notional multiplied by 1.333

The duration weights assume that the respondent has responded uniformly across the maturity spectrum, across the three maturity buckets.

Each provider’s turnover aggregated across all respondents (for example, the total volume of transactions attributed to ‘X’ bank across all responses) is expressed as a percentage of the total transaction volume represented by all valid responses.

The following restrictions/definitions apply: Responses that do not include a volume number or a percentage of volume for the respondent organization are discarded; volume must be split by cash and derivatives; cash transactions are defined as government rates transactions only (guvvies) and inflation-linked government bonds only.

Derivative rates transactions are defined as interest rate swaps only; we accept only single-currency activity and not any cross-currency activity; only single legs of any swap transaction count towards the overall volume.

Captive votes and votes representing internal transaction flows are excluded in the survey. This includes votes cast by: private banks that are part of banking groups with a market-making rates business; internal bank treasuries; internal rates trading desks; tax/restructuring units.

PART 2 – Qualitative

In each category the ranking is calculated as the arithmetic mean of all the voted ratings (from 1 to 7 where 1= very poor, 7 = excellent) given to a bank for that category, with any responses that vote 1 in every voted category or which vote 7 in every voted category excluded. To qualify in these categories, banks needed to receive votes from a minimum of 5% of the total responses of the highest nominated bank in terms of response numbers.

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