diff --git a/CHANGES b/CHANGES
index 9488aedff..cb4499c4e 100644
--- a/CHANGES
+++ b/CHANGES
@@ -117,6 +117,7 @@ Deprecated
 * ``sphinx.registry.SphinxComponentRegistry.add_source_input()``
 * ``sphinx.roles.abbr_role()``
 * ``sphinx.roles.index_role()``
+* ``sphinx.roles.indexmarkup_role()``
 * ``sphinx.testing.util.remove_unicode_literal()``
 * ``sphinx.util.attrdict``
 * ``sphinx.util.force_decode()``
diff --git a/doc/extdev/index.rst b/doc/extdev/index.rst
index c3061852a..a7f84d2ea 100644
--- a/doc/extdev/index.rst
+++ b/doc/extdev/index.rst
@@ -385,6 +385,11 @@ The following is a list of deprecated interfaces.
      - 4.0
      - ``sphinx.roles.Index``
 
+   * - ``sphinx.roles.indexmarkup_role()``
+     - 2.0
+     - 4.0
+     - ``sphinx.roles.PEP`` or ``sphinx.roles.RFC``
+
    * - ``sphinx.testing.util.remove_unicode_literal()``
      - 2.0
      - 4.0
diff --git a/sphinx/roles.py b/sphinx/roles.py
index d2e64c40c..c36ed2613 100644
--- a/sphinx/roles.py
+++ b/sphinx/roles.py
@@ -182,6 +182,8 @@ class AnyXRefRole(XRefRole):
 def indexmarkup_role(typ, rawtext, text, lineno, inliner, options={}, content=[]):
     # type: (str, str, str, int, Inliner, Dict, List[str]) -> Tuple[List[nodes.Node], List[nodes.system_message]]  # NOQA
     """Role for PEP/RFC references that generate an index entry."""
+    warnings.warn('indexmarkup_role() is deprecated.  Please use PEP or RFC class instead.',
+                  RemovedInSphinx40Warning, stacklevel=2)
     env = inliner.document.settings.env
     if not typ:
         assert env.temp_data['default_role']
@@ -245,6 +247,80 @@ def indexmarkup_role(typ, rawtext, text, lineno, inliner, options={}, content=[]
         raise ValueError('unknown role type: %s' % typ)
 
 
+class PEP(ReferenceRole):
+    def run(self):
+        # type: () -> Tuple[List[nodes.Node], List[nodes.system_message]]
+        target_id = 'index-%s' % self.env.new_serialno('index')
+        entries = [('single', _('Python Enhancement Proposals; PEP %s') % self.target,
+                    target_id, '', None)]
+
+        index = addnodes.index(entries=entries)
+        target = nodes.target('', '', ids=[target_id])
+        self.inliner.document.note_explicit_target(target)
+
+        try:
+            refuri = self.build_uri()
+            reference = nodes.reference('', '', internal=False, refuri=refuri, classes=['pep'])
+            if self.has_explicit_title:
+                reference += nodes.strong(self.title, self.title)
+            else:
+                title = "PEP " + self.title
+                reference += nodes.strong(title, title)
+        except ValueError:
+            msg = self.inliner.reporter.error('invalid PEP number %s' % self.target,
+                                              line=self.lineno)
+            prb = self.inliner.problematic(self.rawtext, self.rawtext, msg)
+            return [prb], [msg]
+
+        return [index, target, reference], []
+
+    def build_uri(self):
+        # type: () -> str
+        base_url = self.inliner.document.settings.pep_base_url
+        target, anchor = self.target.split('#', 1)
+        if anchor:
+            return base_url + 'pep-%04d#%s' % (int(target), anchor)
+        else:
+            return base_url + 'pep-%04d' % int(target)
+
+
+class RFC(ReferenceRole):
+    def run(self):
+        # type: () -> Tuple[List[nodes.Node], List[nodes.system_message]]  # NOQA
+        target_id = 'index-%s' % self.env.new_serialno('index')
+        entries = [('single', 'RFC; RFC %s' % self.target, target_id, '', None)]
+
+        index = addnodes.index(entries=entries)
+        target = nodes.target('', '', ids=[target_id])
+        self.inliner.document.note_explicit_target(target)
+
+        try:
+            refuri = self.build_uri()
+            reference = nodes.reference('', '', internal=False, refuri=refuri, classes=['rfc'])
+            if self.has_explicit_title:
+                reference += nodes.strong(self.title, self.title)
+            else:
+                title = "RFC " + self.title
+                reference += nodes.strong(title, title)
+        except ValueError:
+            msg = self.inliner.reporter.error('invalid RFC number %s' % self.target,
+                                              line=self.lineno)
+            prb = self.inliner.problematic(self.rawtext, self.rawtext, msg)
+            return [prb], [msg]
+
+        return [index, target, reference], []
+
+    def build_uri(self):
+        # type: () -> str
+        target, anchor = self.target.split('#', 1)
+        base_url = (self.inliner.document.settings.rfc_base_url +
+                    self.inliner.rfc_url % int(target))
+        if anchor:
+            return base_url + '#' + anchor
+        else:
+            return base_url
+
+
 _amp_re = re.compile(r'(?<!&)&(?![&\s])')
 
 
@@ -430,8 +506,8 @@ specific_docroles = {
     # links to anything
     'any': AnyXRefRole(warn_dangling=True),
 
-    'pep': indexmarkup_role,
-    'rfc': indexmarkup_role,
+    'pep': PEP(),
+    'rfc': RFC(),
     'guilabel': menusel_role,
     'menuselection': menusel_role,
     'file': emph_literal_role,
diff --git a/sphinx/util/docutils.py b/sphinx/util/docutils.py
index 71e8db268..56f8d124a 100644
--- a/sphinx/util/docutils.py
+++ b/sphinx/util/docutils.py
@@ -26,7 +26,7 @@ from docutils.statemachine import StateMachine
 from docutils.utils import Reporter, unescape
 
 from sphinx.deprecation import RemovedInSphinx30Warning
-from sphinx.errors import ExtensionError
+from sphinx.errors import ExtensionError, SphinxError
 from sphinx.locale import __
 from sphinx.util import logging
 
@@ -395,7 +395,6 @@ class SphinxRole:
 
     def __call__(self, typ, rawtext, text, lineno, inliner, options={}, content=[]):
         # type: (str, str, str, int, Inliner, Dict, List[str]) -> Tuple[List[nodes.Node], List[nodes.system_message]]  # NOQA
-        self.type = typ
         self.rawtext = rawtext
         self.text = unescape(text)
         self.lineno = lineno
@@ -403,6 +402,16 @@ class SphinxRole:
         self.options = options
         self.content = content
 
+        # guess role type
+        if typ:
+            self.type = typ.lower()
+        else:
+            self.type = self.env.temp_data.get('default_role')
+            if not self.type:
+                self.type = self.env.config.default_role
+            if not self.type:
+                raise SphinxError('cannot determine default role!')
+
         return self.run()
 
     def run(self):