Rates survey 2012: Methodology
Euromoney believes the survey provides an accurate proxy for trends in the main areas of activity polled and accurately discerns the relative performance of the banks ranked during the survey period of September 2010 to September 2011. Euromoney aims to capture client-to-dealer, price-taking activity only. However, given the geographical and participant-type spread represented by the poll, the survey excludes a number of categories of market participant, which means the total volume reported by the poll is not, and is not intended to be, an accurate reflection of total global rates activity.
All voting is carried out electronically via a secure, dedicated data-collection website. Respondents can amend votes prior to the closing deadline.
This year’s survey was conducted between Thursday, September 22, and Friday, October 28, 2011.
The survey falls into two main sections.
PART 1: Quantitative
This section is concerned with quantitative measures of overall market activity and banks’ relative markets shares. The key rankings are:
Product ranking by market share: Respondents (consumers of rates products) are asked to give us their total notional volume by currency, product type (cash bond or IRS) and within maturity buckets: two-to-five years; five-to-10 years; 10+ years.
Respondents are asked to apportion the volumes to their top-five banks in the case of the G4 currencies and top-three banks for other currencies. Respondents can choose to respond to up to two G4 currencies and two other currencies. In the case of G4 inflation bonds or swaps, respondents only respond to one currency and assign volumes to top-three providers.
Currencies surveyed are:
G4: USD; GBP; EUR; JPY;
Others: MXN; CHF; KRW; BRL; AUD; CAD; ZAR; HKD; SGD
The survey collects volumes for ancillary-rates products in the categories of euro-denominated covered bonds (maturity agnostic) and cross-currency swaps (currency agnostic).
Scores are displayed as a percentage market share. These are calculated by summing all the volumes within a maturity bucket to arrive at market shares per maturity bucket for any given product within its currency.
Overall, currency rankings are calculated by attaining the arithmetic mean of the market share percentages across the three cash-bond maturity buckets and the three derivative maturity buckets. This eliminates any short-end-overweight skew to the results.
OVERALL RATES MARKET SHARE RANKING CALCULATION
An overall market-share table is also published. Volumes in the two-to-five-year cash maturity bucket are summed across all currencies. This is repeated for the other product /maturity buckets.
An average-per-bank between the cash and derivative buckets per maturity bucket is then attained. This is repeated across the maturity spectrum, leaving three overall buckets (two-to-five years, five-to-10 years and 10+ years). The ancillary-products bucket (cross-currency, covered bonds) then forms a fourth bucket. The buckets have the weightings:
Two-to-five years: 30%
Five-to-10 years: 30%
10+ years 30%
The overall market-share ranking is the arithmetic mean of each bank’s percentage market share per bucket, weighted according to the above schema.
1. Responses that do not include a volume number or a percentage of volume for the respondent organization cannot count towards any of the rankings in the survey, including qualitative rankings, and are discarded.
2. Volume must be split by cash and derivatives.
3. Cash transactions are defined as government bond transactions only. Derivative rates transactions are defined as interest-rate swaps only.
4. Only single legs of any swap transaction count towards the overall volume.
5. Volumes assigned to captive voters and volumes representing internal-transaction flows are excluded in the survey, although these voters may assign volumes for external rates providers. 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
This section is concerned with qualitative rankings of various aspects of the rates providers’ services.
In each category, the ranking is calculated as the arithmetic mean of all the voted ratings (from one to seven, where: one = very poor; seven = excellent) given to a bank for that category, with any responses that vote ‘one’ in every voted category or vote ‘seven’ in every voted category excluded. To qualify in these categories, banks need to receive votes from a minimum of 5% of the total responses of the highest-nominated bank in terms of response numbers.
Additionally, votes are not included in the survey where: Rates service providers cast a vote for themselves; Euromoney does not receive confirmation from the respondent of their identity; An individual respondent submits more than one ballot and we cannot resolve the duplication.
We received 1,438 votes in the survey for 2012.
By institution type:
Financial Institutions: 68%
Western Europe: 52.09%
North America: 12.73%
Latin America: 0.76%