American Financial Exchange® Launches AMERIBOR® Term Structure of Interest Rates based on Overnight AMERIBOR Cash and Futures Prices

The American Financial Exchange (AFX), an electronic exchange for direct lending and borrowing for American banks and financial institutions, announces today the launch of the AMERIBOR® term structure of interest rates based on the overnight unsecured AMERIBOR cash rate and the implied forward rates from AMERIBOR futures contracts listed on the Cboe Futures Exchange (CFE).

The AMERIBOR term structure of interest rates is calculated using proprietary software and yield curve algorithms provided by Numerix LLC (Numerix), the leader in risk technology. Numerix’s curve framework allows it to easily consume the AMERIBOR curve member instruments and their associated conventions. Its technology provides AFX with flexibility in choosing the yield curve components, enables interpolation and extrapolation, follows all market conventions, and reprices all curve components in a consistent manner.

The AMERIBOR term structure of interest rates is published daily at 6:00 PM CT on Cboe’s CSMI data feed under the following ticker symbols:

• Overnight (AMERIBOR)
• 1-week (AMBOR1W)
• 1-month (AMBOR1M)
• 3-months (AMBOR3M)
• 6-months (AMBOR6M)
• 1-year (AMBOR1Y)
• 2-years (AMBOR2Y)

AFX, Cboe and Numerix plan to extend the AMERIBOR term structure of interest rates beyond 2 years as the maturities of the AMERIBOR futures strip are 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 term structure of interest rates will provide short- and long-term borrowers and lenders with forward looking reference rates reflecting their true funding costs, enhancing transparency, accessibility, and hence liquidity in the unsecured market. The AMERIBOR term structure will enable market participants to issue AMERIBOR-referenced commercial loans, notes and derivatives such as interest rate swaps, caps, floors and swaptions that fix up front like LIBOR.

“The launch of the AMERIBOR term structure of interest rates is another significant step for AFX in providing the market with a LIBOR alternative,” said AFX Chairman and CEO, Dr. Richard L. Sandor.  “The new AMERIBOR term structure provides the market with a replacement benchmark interest rate that is transaction-based, contains a credit component, enables AMERIBOR loans and derivatives to be fixed up front, and is an easy and straightforward replacement for LIBOR. This will significantly simplify the LIBOR transition for many U.S. financial institutions.”

Numerix CEO and President, Steve O’Hanlon said, “We’re proud to support AFX in the launch of the AMERIBOR term structure, facilitating the business uses of AMERIBOR, which, in many cases, require forward looking term rates in a similar way as LIBOR is applied. The unsecured nature of AMERIBOR makes it sensitive to market stresses, an important characteristic of LIBOR and something absent in risk free rates, making it a reflection of actual funding costs for small to medium-sized regional banks who are active in unsecured loan markets.”

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. For more information about AFX or AMERIBOR®, visit www.ameribor.net.

About AFX

The American Financial Exchange (AFX) was conceived of in 2011, initiated patent application in 2012 and published “Libor is Giving Derivatives a Bad Name” in September, 2012, incorporated in 2014 and began electronic trading in 2015. AFX is a self-regulated exchange, with 218 members across the 50 U.S. states. AFX offers a suite of innovative products to improve transparency and efficiency in the current interbank loans marketplace. AFX also facilitates the determination of a market-based interest rate benchmark called the American Interbank Offered Rate (AMERIBOR®).  AMERIBOR® is an interest rate benchmark that reflects the actual unsecured borrowing costs of more than 1,000 American banks and financial institutions. In addition, AFX’s AMERIBOR® is in alignment with all nineteen Principles set forth by the International Organization of Securities Commission (IOSCO) for Financial Benchmarks.

About Numerix

Numerix is the leading provider of innovative capital markets technology solutions and real-time intelligence applications for trading and risk management. Committed to out-of-the box thinking, the exploration and adoption of latest technologies, Numerix is dedicated to driving a more open, fintech oriented, digital financial services market. Built upon a 20+ year analytical foundation of deep practical knowledge, experience and IT understanding, Numerix is uniquely positioned in the financial services ecosystem to help its users reimagine operations, modernize business processes and capture profitability. For more about Numerix: www.numerix.com