Sonia proves its mettle through Covid-19 crisis

Interest rate swaps linked to Sonia, the risk-free rate chosen to replace Libor in sterling markets, made up an increasing share of traded notionals over the first quarter against a backdrop of unprecedented volatility.

Data from the Depository Trust & Clearing Corporation (DTCC) shows that of the combined sterling Libor- and Sonia-linked swaps market, Sonia instruments made up 76% of daily traded notionals on average in January, 73% in February, 63% in March and 60% in April. For the same

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