NYFR: The New LIBOR
ICAP to launch NYFR: New York Funding Rate
NYFR differs with the Libor system by offering anonymity to the banks surveyed.
Other NYFR features which differ from Libor:
The survey will be conducted at 9:30 a.m. New York time and the NYFR rates will be generated at about 10 a.m. This compares with 11 a.m. London time, or 6 a.m. in New York, when the BBA sets Libor in all currencies.
ICAP will collect rates on 1- and 3-month overseas dollar deposits. BBA’s dollar Libor rates go out to 12 months.
NYFR will encompass unsecured bank funding sources such as certificates of deposits, money market mutual funds and government-sponsored enterprises. Libor is explicitly defined as an interbank deposit rate.
Related:
A Good Bet on Derivatives
May 2nd, 2008 at 8:14 am
so the Fed did expand the TSLF collateral rules. Let’s now see if the bid-2-cover is still less than 1.
May 2nd, 2008 at 8:20 am
I am told this is to help the student loan market and keep Congress happy.