Minutes of the SONIA Stakeholder Advisory Group – 15 March 2023


1: Welcome / introductions

The Group welcomed new members Paul Hauff from Blackrock Investment Managers and Chirag Patel from Rabobank.

2: Retrospective review of market conditions

The Bank presented a pack of publicly available statistics on the SONIA rate and volumes, and on SONIA adoption since September 2020.footnote [1]

Overnight volumes in the unsecured market remained robust through November and into Q1, following recent market events. The Group noted that year-end had been benign with volumes following typical cyclical patterns through December and January, but with a less marked reduction in volumes on the last day of the year than in previous years. Participants continue to invest in short tenors as they remain liquid ahead of anticipated Bank Rate rises. Volumes are expected to remain elevated in the coming months.

The continued stability of the SONIA-Bank Rate wedge through two Bank Rate rises – in the period from November 2022 to February 2023 – was welcomed. The wedge had remained within a narrow range through the period, fluctuating by up to 0.1bps

3: Publication of SONIA Contingency Rate

The Bank of England published the SONIA Contingency Rate for the first time on 13 February 2023. The publication proceeded smoothly and was received by the market in an orderly manner. The Group noted that, as expected, no impact had been raised by colleagues and the publication of SONIA using contingency methodology had gone largely unnoticed, demonstrating that the contingency methodology is effective.

4: Horizon scanning – SONIA and money markets, impact of Quantitative Tightening (QT)

The Group confirmed that Quantitative Tightening could impact SONIA volumes and spreads in the long term but this was likely to have a marginal effect. Members noted the time required to set up contractual arrangements with new counterparties – meaning any significant broader shift towards repo would not be rapid. Members did not anticipate a large shift away from overnight deposits. SONIA deposits would continue to form part of well diversified investment strategies for many market participants with multiple factors determining volumes placed.

5: The evolving uses of SONIA

SONIA futures have returned to a growth pattern following increased volatility in recent months. Liquidity has improved in recent weeks with increasing activity from a wide range of market participants as the market adjusts to life without LIBOR.

6: Future topics for discussion

The Group noted an interest in Central Bank Digital Currency (CBDC) for future discussions, as this product evolves.

The review of RTGS opening hours and implications for liquidity management was also raised as a point of interest.


Chair: Scott McMunn (Independent member of SONIA Oversight Committee)

External Member: Alexandra Innes (Independent member of SONIA Oversight Committee)

Blackrock IM: Paul Hauff

ICE Futures: Matthew Horton, Caterina Caramaschi; Uriel Amitai

Insight Investments: Robert Gall

JP Morgan AM: Olivia Maguire, Phoebe Brown

Mizuho: Dominic Duncan, Deepak Dashore, Ben Chambers, Jack Madle

Rabobank: Chirag Patel

Société Générale: Romain Sinclair

Bank of England: Zee Akhtar, Joe Clouting, Sienna Holcombe, James Howat, Joanna McLafferty, Kirstine McMillan, Ben Stimson, Laura Wightman, Ashley Young


Goldman Sachs: Nikhil Choraria

HSBC: James Murphy

TC ICAP: Philip Chilvers

ICE Futures: Chris Rhodes

ISDA: Jonathan Martin

LCH: Philip Whitehurst

LGIM: John Wherton

NatWest: Donal Quaid

RBC Capital Markets: Sean Taor


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