Press Release: IMF Executive Board Modifies SDR Interest Rate Basket

December 23, 2014

Press Release No. 14/601

On December 22, 2014, the Executive Board of the International Monetary Fund (IMF) decided to replace the three-month Eurepo rate as the euro component of the SDR interest basket with the three-month spot rate for euro area central government bonds with a rating of AA and above published by the European Central Bank (click link for details about the interest rate and the estimation method). This decision was taken in view of the upcoming discontinuation of the Eurepo rate as of December 31, 2014. The change in the SDR interest rate basket will be effective as of January 1, 2015 and will apply for the first time to the calculation of the weekly SDR interest rate for the interest rate period starting on Monday January 5, 2015.

Background information:

The SDR interest rate provides the basis for calculating the interest charged to members on nonconcessional IMF loans from the IMF’s general resources, the interest paid to IMF members on their remunerated creditor positions in the IMF (reserve tranche positions and claims under borrowing agreements), and the interest paid to members on their SDR holdings and charged on their SDR allocation.

The SDR interest rate is determined weekly and is based on a weighted average of representative yields or interest rates in the money markets of the SDR basket currencies, except if the weighted average falls below the floor for the SDR interest rate of 0.050 percent (5 basis points).

The three-month Eurepo rate, administered by the European Money Market Institute (EMMI), has been the representative rate for the euro component of the SDR interest rate basket since 2006. However, faced with a significant shrinking in the number of banks participating in the rate-setting panel, the EMMI announced last month that the Eurepo interest rate will be discontinued after December 31, 2014.

The new 3-month interest rate, as calculated and published by the ECB (see http://sdw.ecb.europa.eu/quickview.do?SERIES_KEY=165.YC.B.U2.EUR.4F.G_N_W.SV_C_YM.SR_3M), is derived from a yield curve based on euro area sovereign bonds rated AA and above.

For further information on the IMF’s financial operations visit: http://www.imf.org/external/pubs/ft/finop/2014/index.htm

IMF COMMUNICATIONS DEPARTMENT

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