Finding the index

The index is the market half of the rate. It is a published reference, not a Halden & Wren decision, and the statement's job is to name which publication was used and what level it printed on each segment of the period. On this page the name is the one-month term funding rate. The levels are 5.12% for 1–11 March and 5.37% for 12–31 March.

A name is not a number. “One-month term funding rate” tells you which family of fixings to look up; it does not tell you the fixing. The fixing is the published value for a stated date, and this statement reprints two of them because the rate reset on 12 March. A statement that printed only the name would leave the reconstruction short one input. A statement that printed only a single stated rate would hide the index entirely.

The 0.25 point move, 5.37 − 5.12, is an index event. The spread did not change. That attribution is available only because both index levels are on the page. If the page had printed merely “stated rate 7.22%” at the close, the 0.25 point would still have happened and would have been invisible as a cause.

Finding the index, then, is a three-part read: the name, the level or levels, and the dates each level applied. This fixture supplies all three in the rate schedule. Many statements supply the name and one closing level. The reconstruction in later lessons uses the levels, not the name.