Title: SGD with large step sizes learns sparse features. Abstract: We showcase important features of the dynamics of the Stochastic Gradient Descent (SGD) in the training of neural networks. We present empirical observations that the commonly used large step sizes (i) lead the iterates to jump from one side of a valley to the other causing \textit{loss stabilisation} (ii) this stabilisation induces a hidden stochastic dynamics orthogonal to the bouncing directions that \textit{biases it implicitly} toward simple predictors. Furthermore, we show empirically that the longer large step sizes keep SGD high in the loss landscape valleys, the better the implicit regularization can operate and find sparse representations. Notably, no explicit regularization is used so that the regularization effect comes solely from the SGD training dynamics influenced by the step size schedule. Therefore, these observations unveil how, through the step size schedules, both gradient and noise drive together the SGD dynamics through the loss landscape of neural networks. We justify these findings theoretically through the study of simple neural network models. Finally, we shed a new light on some common practice and observed phenomena when training neural networks.