TraditionDATA announced today that it has integrated AMERIBOR®, a new interest rate benchmark created by the American Financial Exchange (AFX) as an alternative reference rate for the United States dollar (USD).

TraditionDATA is the data arm of Compagnie Financière Tradition (CFT), which also operates the Japanese retail brokerage, Gaitame. Following the integration, the company will publish spreads between AMERIBOR, Secured Overnight Financing Rate (SOFR) and the Effective Fed Funds Rate (EFFR).

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These spreads will be published via the data company’s own feeds, as well as through a selection of vendors, which includes both Refinitiv and Bloomberg. The publication is set to commence early this month, the company said in a statement today.

This announcement coincides with the phasing out of the historic London Interbank Offered Rate (LIBOR) benchmark, which is set to cease at the end of 2021.

In the United States, the focus has been on the Secured Overnight Financing Rate (SOFR). This is a benchmark interest rate for dollar-denominated derivatives and is currently expected to be the replacement of LIBOR. 

TraditionDATA: AMERIBOR Has What SOFR Lacks

However, according to TraditionDATA, SOFR is a risk-free rate and does not have the credit component like the LIBOR benchmark. The AMERIBOR benchmark, on the other hand, is a credit-sensitive interest rate benchmark.

Commenting on the inclusion of the AMERIBOR benchmark, Jeffrey Maron, TraditionDATA’s Global Head of Product said in the statement: “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.

“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…”

In the United Kingdom, the Financial Conduct Authority (FCA) has told market participants that they should consider switching from LIBOR swaps to SONIA swaps for new positions, where possible.