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Sterling money markets: beneath the surface

Author

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  • Harris, Rob

    (Bank of England)

  • Taylor, Tim

    (Bank of England)

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

  • Harris, Rob & Taylor, Tim, 2018. "Sterling money markets: beneath the surface," Bank of England Quarterly Bulletin, Bank of England, vol. 58(1), pages 1-10.
    • Handle: RePEc:boe:qbullt:0235
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    File URL: https://www.bankofengland.co.uk/quarterly-bulletin/2018/2018-q1/sterling-money-markets-beneath-the-surface
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    Cited by:

    1. Bardoscia, Marco & Ferrara, Gerardo & Vause, Nicholas & Yoganayagam, Michael, 2021. "Simulating liquidity stress in the derivatives market," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    2. Hüser, Anne-Caroline & Lepore, Caterina & Veraart, Luitgard A. M., 2024. "How does the repo market behave under stress? Evidence from the COVID-19 crisis," LSE Research Online Documents on Economics 121347, London School of Economics and Political Science, LSE Library.
    3. Hüser, Anne-Caroline & Lepore, Caterina & Veraart, Luitgard, 2021. "How does the repo market behave under stress? Evidence from the Covid-19 crisis," Bank of England working papers 910, Bank of England, revised 18 Jun 2021.

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