The American Financial Exchange (AFX), an electronic exchange for direct lending and borrowing for American banks and financial institutions, announced that AFX and Numerix, LLC (Numerix), the leader in risk technology, signed an agreement to publish spot AMERIBOR term structure of interest rates.

The new rates will be calculated from the AMERIBOR overnight unsecured AMERIBOR cash rate and implied forward rates from AMERIBOR futures prices using Numerix’s proprietary software and yield curve algorithm. Numerix’s pricing technology provides AFX with flexibility in choosing the yield curve components, as well interpolation and extrapolation, follows all market conventions, and reprices all curve components in a consistent manner.

Robust #AMERIBOR interest rate term structure provided by partnership w/ @The_AFX and @Numerix. #AMERIBOR is a replacement for #LIBOR that reflects #MainStreet cost of funding, not #WallStreet. https://t.co/XB6JmqnIkY

— Chris Giancarlo (@giancarloMKTS) May 26, 2021

This new offering will provide the market with spot AMERIBOR interest rates for the following yield curve grid points:

• Overnight
• 1-week
• 1-month
• 3-months
• 6-months
• 1-year
• 2-years

AFX and Numerix plan to extend the AMERIBOR spot term structure of interest rates beyond 2-years as the maturities of the AMERIBOR futures strip is extended.

As LIBOR is phased out, lenders are looking for alternative interest rate benchmarks. AMERIBOR currently provides the only exchange-traded and regulated credit-sensitive overnight lending benchmark specifically designed to track activity in the unsecured lending market, and thus reflects the actual market stress as it trades. The new AMERIBOR spot term structure of interest rates will provide short- and longterm borrowers and lenders with insight into funding costs, enhancing transparency and liquidity in the unsecured market. The new AMERIBOR spot term structure of interest rates will enable market participants to issue AMERIBOR referenced commercial loans, notes and derivatives such as interest rate swaps, caps, floors and swaptions that that fix up-front like LIBOR.

“We are delighted to partner with the leader in the industry – Numerix. This partnership is another significant step for AFX in providing the market with term structure alternatives,’” said AFX Chairman and CEO Dr. Richard L. Sandor.  “The new cash futures AMERIBOR spot term structure of interest rates provides the market with a replacement benchmark interest rate that is an easy and straightforward replacement for LIBOR.”

Numerix CEO and President, Steve O’Hanlon said, “As a market leader in the transition to alternative rates globally, we are delighted to have formed this partnership with AFX where the flexibility and robustness of our analytics fulfil a market need to construct AMERIBOR term rates. Because of the partnership, market participants now have a viable opportunity to issue, risk mange and settle a range of products with reference rates that reflect the actual traded market.”

Currently AFX membership across the U.S. includes 174 banks, and 1,000 correspondents, with combined asset of over $4 trillion.  There are 44 non-banks that include insurance companies, broker-dealers, private equity firms, hedge funds, futures commission merchants, and asset managers.

Source: AFX