Sterling Money Markets: Beneath the Surface

15 Pages Posted: 19 Dec 2018

Date Written: March 23, 2018

Abstract

◦This article presents analysis based on the Bank’s new Sterling Money Market data collection.

◦The vast majority of unsecured money market activity is in the overnight market that underlies the SONIA benchmark. Longer-maturity trades are scarce and have volatile daily average interest rates.

◦We present evidence that suggests the overnight unsecured market is dynamic and competitive, and show that average rates in the overnight gilt repo market vary according to the collateral used.

◦These observations support market-led efforts to promote the use of SONIA in sterling markets.

Suggested Citation

Taylor, Tim and Harris, Rob, Sterling Money Markets: Beneath the Surface (March 23, 2018). Bank of England Quarterly Bulletin 2018 Q1. Available at SSRN: https://ssrn.com/abstract=3293614

Tim Taylor (Contact Author)

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Rob Harris

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

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