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The Relationship between the Overnight Interbank Unsecured Loan Market and the CHAPS Sterling System

6 Pages Posted: 12 Apr 2005  

Stephen Millard

Bank of England

Marco Polenghi

Bank of England

Abstract

This article uses data on CHAPS Sterling transactions to describe the segment of the unsecured overnight loan market that settles within CHAPS. It assesses the size, timing and importance of these transactions for the underlying payments infrastructure. Advances and repayments of overnight loans are estimated to have accounted for around 20% of CHAPS Sterling activity by value over our sample period; four CHAPS Sterling members send and receive virtually all payments corresponding to these loans; and, finally, the value of CHAPS Sterling payments associated with this market rises towards the end of the CHAPS day.

Suggested Citation

Millard, Stephen and Polenghi, Marco, The Relationship between the Overnight Interbank Unsecured Loan Market and the CHAPS Sterling System. Bank of England Quarterly Bulletin, Spring 2004. Available at SSRN: https://ssrn.com/abstract=701274

Stephen Millard (Contact Author)

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Marco Polenghi

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

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