Changes to (interest rate) benchmarks

This page is intended to provide general background information on changes to benchmarks in the market. If in any of your products reference is made to benchmarks, this applies to you.

What is the Benchmark Regulation?

The Benchmarks Regulation (EU 2016/1011) (“BMR”) comprises a regime for benchmark administrators, contributors, and users of benchmarks in order to ensure the accuracy and integrity of benchmarks. The BMR prohibits the use by a supervised entity in the European Union of unauthorised benchmarks, including benchmarks prepared by unregistered non-EU administrators from non-equivalent jurisdictions and to enhance the single market. Due to the BMR a number of benchmarks including (but not limited to) interest rate benchmarks, foreign exchange benchmarks and commodity or equity indices 1) have been or will be reformed or discontinued, and 2) are or will be replaced with alternative risk-free rates.

What are Interest rate benchmarks? 

Interest rate benchmarks, also called reference rates, are used as a standard to determine prices in financial agreements and financial instruments. These benchmarks need to be robust, reliable and fit for purpose. European law, in the form of the BMR, includes rules to ensure this and aims to improve the functioning and governance of benchmarks.

What has changed or will change?

ABN AMRO Clearing Bank N.V. (“AACB”) as a Benchmark User, is only allowed to use benchmarks from registered Benchmark Administrators that are included in the public register maintained by the European Securities and Markets Authorities (ESMA). In order to get included in this register, benchmarks need to meet certain requirements. If benchmarks do not meet these requirements they can no longer be used. It is also possible that certain benchmarks cease to exist and will be replaced by an alternative benchmark.　

Fallback Plan 

In accordance with article 28(2) of the BMR, AACB has established and maintains a robust written plan (“Fallback Plan”) to address its internal procedures in case of potential unavailability, material change or cessation of a benchmark. The Dutch Authority for Financial Markets monitors this Fallback Plan. The Fallback Plan is periodically updated.