New York Funding Rate
(NYFR).
A former interest rate benchmark launched by ICAP (the inter-dealer broker) in 2008 to respond to concern about the accuracy of LIBOR at the time and to provide a rate relating to a time when the New York market was open. It was published in New York at about 10 am and based on rates submitted by contributing banks at around 9.15 am local time.
Effectively a US domestic rate, in normal market circumstances arbitrage with the Euro-dollar market in London (still open in the New York morning) would be expected to minimise differences between the two markets - LIBOR rates being euro-currency rates.
Publication ceased in 2012 as an insufficient number of banks were willing to contribute rates.
NYFR, while it was published, followed US dollar LIBOR very closely.
