Wells Fargo Advantage Money Market Funds's latest "Overview, strategy, and outlook" discusses "An alternative to LIBOR" (among other things). They write, "LIBOR was developed in the 1980s as a benchmark for short-term interest rates. The British Bankers' Association (BBA) publishes it daily for 10 currencies, with 15 different maturities quoted for each, ranging from overnight to one year.... An alternative to LIBOR is the New York Funding Rate (NYFR), introduced by ICAP PLC in 2008 specifically for this reason. The NYFR is also the trimmed mean of a survey rate, but with a few important differences. First of all, the survey is anonymous. ICAP publishes only the trimmed mean, and not the names of the individual contributors or the rates they submitted. Proponents cite this anonymity as a major advantage of the NYFR over LIBOR, arguing that survey participants are more likely to submit higher rates in times of stress, since they themselves are not at risk of being identified as experiencing funding stresses. Taken at 9:15 a.m. Eastern Time, the NYFR is defined as a "market mid-rate" where contributors will be asked to submit a rate where at least two of their peers would be likely to obtain funding. The NYFR is also a broader measure, since the types of funding considered are not limited to interbank deposits but may include other instruments such as CDs and commercial paper. The rates are published for only two terms, one month and three months, which are among the most consistently active points on the money market yield curve. Finally, the NYFR is often based on a broader sample, since at least 16 participants are required in order to publish the rate." (Note: The new November issue of our Money Fund Intelligence newsletter contains a profile, "Wells Fargo's Advantage a Focus on Information."
