20.04.12
ICAP Updates NYFR Fixings
New York, 20 April 2012 - ICAP (IAP.L), the world's leading
voice and electronic interdealer broker, announces a change
to the process for calculating NYFR FixingsSM, a
survey-based indicator of 1- and 3-month unsecured bank
funding costs.
Beginning with the rates published Tuesday morning, May 1,
2012, ICAP is changing the minimum number of participants
required in order to publish the rate, and asking
institutional participants that are active in the wholesale
funding market to submit what they believe to be a rate
where a representative upper-tier bank borrower would be
likely to obtain funding in the market. As the poll is
voluntary, the number and identity of contributors in a
NYFR FixingSM will vary from day to day, but ICAP will
require a minimum of 12 participants each day in order to
publish the rate. In each daily survey, the highest 25% and
lowest 25% of contributions in each tenor are discarded,
and the NYFR is calculated as the simple average of the
remaining rates. The survey will continue to ask
participants for market rates as of 9:30 AM ET and the
results are scheduled to be calculated by 10:00 AM each day
and disseminated shortly thereafter. The fixings will
continue to be distributed via email to the press and to
participants. The fixings will also be posted along with
ICAP's hourly effective money market rates on
www.heffr.com.
ICAP will review terms of the NYFR regularly and may revise
them from time to time. All individual rate contributions
will remain confidential.
Contacts
|
Lou Crandall
|
Chief Economist
|
212 815 6540
|
|
Guy Taylor
|
Corporate Communications
|
212 341 9759
|
About ICAP
ICAP is the world's leading voice and electronic interdealer
broker and the source of global market information and
commentary for professionals in the international financial
markets. The Group is active in the wholesale markets in
interest rates, credit, commodities, foreign exchange and
equity derivatives. ICAP has an average daily transaction
volume in excess of $1.5 trillion, more than 60% of which is
electronic. ICAP plc was added to the FTSE 100 Index on 30
June 2006.
www.icap.com
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