ICAP HICP & FRCPI Benchmark Methodology

This document is a technical report detailing the methodology for the ICAP HICP and FRCPI benchmarks, effective from July 1, 2026. It outlines the governance framework established by Parameta Solutions, which includes a three lines of defense model involving business, compliance/risk, and audit functions. The report specifies the role of the Oversight Committee in ensuring the integrity of the benchmarks and describes the responsibilities of various governance forums. It also addresses potential errors and omissions in the benchmarks, detailing the procedures for resolution and stakeholder consultation. Furthermore, the methodology is structured into three main parts: governance, specific benchmark details, and disclosures. The document emphasizes compliance with the EU Benchmark Regulation and the UK Benchmarks Regulation, highlighting the regulatory oversight by the FCA and ESMA. The benchmarks are calculated and published intra-day by TP ICAP Broking Limited, with data distributed through licensed vendors.