Citi joins American Financial Exchange as market maker for AMERIBOR interest rate swaps

The bank will offer position hedging of AMERIBOR futures and provide market making for AMERIBOR interest rate swaps.

US investment bank Citi has joined the American Financial Exchange (AFX), the US electronic exchange for direct lending and borrowing.

Through its partnership with the exchange, Citi will offer position hedging of alternative reference rate American Interbank Offered Rate (AMERIBOR) futures and provide market making for AMERIBOR interest rate swaps.

AMERIBOR is the US alternative reference rate to LIBOR which is being phased out of the market following years of manipulation shrouding the benchmark.

“Supporting our clients through their transition away from LIBOR is a priority for Citi,” said Geoffrey Weber, head of Americas linear rates trading at Citi.

“Through our strategic partnership with AFX, we believe we can enhance this transition for our clients, especially community and regional banks, who consider the AMERIBOR index representative of their true cost of funding. As with LIBOR and SOFR products, we are committed to being the market leader in AMERIBOR products by offering deep liquidity in futures and interest-rate swaps.”

The market has seen a continued migration away from LIBOR over the course of this year. In September, the data arm of interdealer broker Tradition, TraditionDATA, made its interest rate swap and foreign exchange data products including global alternate risk-free rate (RFR) package including SONIA, ESTR, SOFR, and AMERIBOR available on the Amazon Web Services (AWS) Exchange cloud platform. 

Most recently in November, the ICE Benchmark Administration (IBA) unveiled plans to consult on its intention to cease publication of a majority of LIBOR interest rates including sterling, euro, Swiss franc, and Japanese yen after 31 December 2021.