TraditionData the data arm of inter-dealer broker Compagnie Financière Tradition, says it has added the Ameribor interest rate benchmark as one of its dollar alternative reference rates (ARRs).
Ameribor is a new credit-sensitive benchmark created by the American Financial Exchange and TraditionData will publish spreads between it and the Secured Overnight Financing Rate (SOFR) and the effective Fed Funds rate (EFFR). Publication will commence in early September and comes at a time when the global financial markets are focused on the retirement of the historic London Interbank Offered Rate (Libor) and other global Ibors with ARRs.
In the US, the focus has been on the SOFR benchmark rate for dollar-denominated derivatives and loans that many expect to replace Libor. SOFR is based on transactions in the Treasury repurchase market, and is seen as preferable to Libor since it is based on data from observable transactions rather than LIBOR’s estimated borrowing rates.
TraditionData observes, however, that SOFR is a risk-free rate (RFR) as it does not have the credit component that was embedded in Libor. Beyond the US, other countries have put forward their own ARRs, such as Sonia in the UK and ESTR in the EU.
“Properly managing the transition away from Libor is integral to the financial markets and the economy. Tradition is positioned at the heart of these markets giving us the opportunity to provide data and information to those who need it,” says Jeffrey Maron, TraditionData’s global head of product. “Our inclusion of Ameribor, which contains a credit component, unlike SOFR, brings another dimension to our global set of RFR/ARR data solutions. It demonstrates that we are looking at this market shift from every perspective and are representing a broad set of participants including corporate treasurers, regional banks, asset managers and systemically important institutions. As this transition takes effect, the markets will not only decide how that happens, but spread markets between the various solutions will evolve and our clients will need a reference point for this valuable price information.”
Dr Richard Sandor, founder of the American Financial Exchange and creator of Ameribor, adds, “We are excited that Tradition is adding Ameribor to its roster of spreads and product offerings. In addition to other initiatives we have run, Ameribor data availability through Tradition will also enable development and increased use of Ameribor in a variety of financial products.”