By Joanna McLafferty and Sophie Miles
This article provides details of regular statistics compiled using the Bank’s Sterling Money Market (SMM) data collection that the Bank will soon begin to publish. In part, these statistics will replace those currently compiled by the Bank using data collected on gilt repo and stock lending activity through Form RSL and published in Bankstats Table D3.1. As such, we seek views from stakeholders on the Bank of England’s proposal to cease the collection of Form RSL. We invite comments on this proposal by Friday 17 August 2018.
The sterling money markets play a key role in the implementation and transmission of monetary policy. Since July 2016 the Bank has collected granular data on sterling money market transactions by exercising its statutory powers under the Bank of England Act 1998, providing new insights into these markets. A subset of the SMM data set, covering sterling overnight unsecured transactions, is used to calculate the Sterling Overnight Index Average (SONIA) benchmark.
The scope of the SMM data collection is the most active participants in the sterling money market. Institutions covering 95% of the total turnover at either overnight or up to one-year maturities are required to report daily money market transactions in both the unsecured deposit market and the gilt repo market.
The Bank intends to use this new data collection to publish summary statistics of activity in the sterling money markets on a regular basis. The recently published Quarterly Bulletin article ‘Sterling money markets: beneath the surface’ provides more information on the SMM data set, previews the summary statistics on market activity and outlines the plans to publish these data regularly. This will improve the transparency of activity in the money markets, increase
understanding of market functioning and allow market participants to consider their own activity in the context of the broader money market.
Statistics compiled using the SMM data will be published quarterly, replacing those previously published in Bank of England Bankstats Table D3.1 (Gilt repo and stock lending) sourced from Form RSL.
This article outlines the new data publication approach and compares the output to the current published sterling money market data.