Interest rate index

Interest rates - indices.

A rate of interest that is calculated and published by an administrator.

Some leading interest rate indices are categorised and regulated more heavily as benchmark interest rates.

Benchmarks and indices distinguished - UK Financial Conduct Authority (FCA)

"The UK Benchmarks Regulation (BMR) defines an index as a figure that is publicly available and is regularly determined, either by applying a formula or other calculation, or by making an assessment based on the value of one or more underlying assets/prices (including estimated prices, actual or estimated interest rates, quotes and committed quotes, or other values or surveys).

An index becomes a benchmark within the scope of the BMR where:

• it is used to determine the amount payable under a financial instrument or financial contract, or the value of a financial instrument
• it is used to measure the performance of an investment fund for the purpose of:

• tracking the return
• defining the asset allocation or a portfolio, or
• computing the performance fees"

UK Financial Conduct Authority (FCA).

Recategorisation from benchmark to index status reduced regulatory scrutiny

"WMBA Limited ceased to be an Authorised Benchmark Administrator on 20th October 2022, at which point the RONIA and EURONIA benchmarks were recategorised to index status and thus no longer subject to the same intense scrutiny from the regulatory bodies...

From 20th October 2022, in light of the fact that the benchmarks were not used within the pricing of derivatives contracts under the meaning of [the UK Benchmarks Regulation], UK supervision was deemed unnecessary...

The application was made to unwind the authorisation, and from that point, and with the approval of the UK authorities, the indices have been published as solely as IOSCO compliant."

WMBA Limited.

See also

• Administrator
• Alternate Base Rate
• Alternative reference rate (ARR)
• Base rate
• Benchmark
• Benchmarks Regulation
• Derivative instrument
• Financial Conduct Authority (FCA)
• Index
• Interest rate
• Interest rate derivative
• International Organization of Securities Commissions (IOSCO)
• Investment fund
• Portfolio
• Reference rate
• Regulation
• Return
• Risk-free rates (RFR)
• RONIA
• SONIA
• Supervision
• UK Benchmarks Regulation