The post-LIBOR transition has emphasized the importance of risk-free interbank rate benchmarks in shaping monetary policy transmission and cross-asset pricing. In the UK, Term SONIA is used as cornerstone benchmark for Sterling and derivatives markets, yet its systemwide interactions with major assets, and the extent of spillovers, remains questioned with thin literature. The paper investigates the connectedness structure of Term SONIA across the maturity tenors, concentrating on three research aims: whether Term SONIA behaves as a net absorber of shocks, which channels dominate spillovers into SONIA, and how market sentiment conditions spillover intensity across investment horizons. To address these questions, we employ a TVP-VAR framework combined with forecast-error-variance–based connectedness measures and frequency-domain decomposition. This design captures evolving interdependency without relying on arbitrary rolling windows and separates short-horizon, fast-moving co-movements from medium- and long-horizon linkages. The connectedness system includes Term SONIA tenors and UK-relevant risk factors, augmented with market-based sentiment indicators covering these related-asset domains. The empirical results show that Term SONIA rates consistently function as stable net absorbers of shocks, even during stress episodes such as the COVID-19 shock and the 2022 UK gilt market turmoil. Moreover, spillovers are concentrated in the short horizon and are dominated by the FX–bond nexus, with connectedness reducing sharply at medium horizons and remaining contained at longer horizons, evidence consistent with a shift from sentiment-driven co-movements to fundamentals-anchored adjustments. Sentiment effects are horizon-dependent: improvements in equity, bond, and FX sentiment are associated with lower short-run total connectedness, while interest-rate sentiment becomes more relevant at medium-to-long horizons by anchoring policy-path expectations. These findings contribute tenor-by-tenor evidence on the systemic role of a post-LIBOR term benchmark, offering practical implications for benchmark governance, policy monitoring, and horizon-specific risk management in Sterling markets.