1.2 Money - market interest rates

A background on the interest rate environment, including:

·        Transmission of the policy rate

·        The old corridor system

·        The post-crisis floor system and beyond

·        The base rate, LIBOR and SONIA in the UK

·        Did GBP LIBOR track the base rate?

·        Does SONIA track the base rate?

·        What about government rates?

·        Compounding SONIA and term rates

·        Interest rate conventions

·        Compounding and annualisation

·        Compounding relationships

·        Day-count conventions

·        Yield curves

·        Certificates of deposit

·        Overnight-indexed swaps

·        Forward rates

·        Bond indices

·        Other interest rates

The paper has 15 pages and the Excel has 1 sheet