ICAP Updates NYFR Fixings

20 April 2012

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. For more information go to www.icap.com

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