Sterling money markets: beneath the surface

Rob Harris () and Tim Taylor ()
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Rob Harris: Bank of England
Tim Taylor: Bank of England

Bank of England Quarterly Bulletin, 2018, vol. 58, issue 1, 1-10

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.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:boe:qbullt:0235

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