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Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.

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Sonia surges

The Bank of England working group on sterling risk-free reference rates, which selected the Sterling Overnight Index Average as its preferred benchmark, has been working to catalyse a broad-based transition to Sonia. The figures are looking good: large increases, comparing quarters in 2018 with a year earlier; the first quarter of 2018 with £4.2 trillion gross notional, massively up from the first quarter of 2017; the second quarter of 2018 with £8.3 trillion gross notional, also much higher than the year-earlier quarter; volumes massively dominated by tenors below two years, but larger slivers for tenors between two- and five-year and above starting to become visible in this year’s data.

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