Euromoney Rates Survey 2013: Methodology

Published on:
Survey results index

Euromoney believes that the survey will provide an accurate proxy for trends in the major areas of activity polled and will accurately discern the relative performance of the banks ranked, over the survey period of September 2011 to September 2012. The survey also excludes a number of categories of market participant, which means that the total volume reported by the survey is not and not intended to be an accurate reflection of total global rates activity. Euromoney aims to capture client to dealer, price-taking activity only. However, given the geographical and participant-type spread represented by the survey, Euromoney believes that the survey provides an accurate proxy for trends in the major areas of activity polled and accurately discerns the relative performance of the banks ranked over the survey period of September 2011 to September 2012.

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 will be conducted between Thursday 20th September and Friday 26th October 2012.

The survey falls into two major 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; 2-5 yr, 5-10 yr, 10+ yrs. Respondents are then asked to apportion the volumes to their top 5 banks in the case of the G-4 currencies and top 3 banks for “other” currencies.. Respondents can choose to respond for UP TO 2 G-4 currencies and 2 “other” currencies. In the case of G-4 inflation bonds or swaps respondents may only respond for one currency and assign volumes to top 3 providers.

Currencies surveyed will be:


Others: KRW, BRL, AUD, HKD

Euromoney will also collect volumes for “ancillary” rates products in the categories of €-denominated covered bonds (maturity agnostic), cross currency swaps (currency agnostic).

Upon publication scores will be displayed as % market share. These will be calculated by summing all the volumes within a maturity bucket to arrive at market shares per maturity bucket for any given product within currency. Overall currency rankings will be 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 will eliminate any “short end overweight” skew to the results.


An overall market share table will also be published. Volumes in the 2-5 yr cash maturity bucket will be summed across all currencies this will be repeated for the other product /maturity buckets. An average per bank between the cash and derivative buckets per maturity bucket will then be attained. This will be repeated across the maturity spectrum leaving 3 overall buckets (2-5yr, 5-10yr and 10+yrs. The ancillary products bucket (cross currency, covered bonds) will then form a fourth bucket. The buckets will have the below weightings:

2-5yr: 30%

5-10yr: 30%

10yr+ 30%

Ancillary 10%

The overall market share ranking will be the arithmetic mean of each banks % market share per bucket, weighted according to above schema.

Definitions/ Restrictions

There are the following restrictions/definitions:

1. Responses which do not include a volume number or a % 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 1 -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 need to receive votes from a minimum of 5% of the total responses of the highest nominated bank in terms of response numbers.

Voided Ballots

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