LIBOR Transition

Tradition AMERIBOR Rates

The American Financial Exchange (AFX) began publishing the overnight (O/N) American Interbank Offered Rate (AMERIBOR) in 2015.  AMERIBOR, unlike SOFR, is based on unsecured loans and therefore contains a credit component that is more indicative of true funding costs for a wide variety of North American financial institutions typically with assets less than $250BN.

AMERIBOR is currently in use by more than 100 financial institutions who bid/offer overnight funds with daily turnover in excess of $2BN (Fed Funds daily average is $72BN, SOFR daily average is $800BN).

TraditionDATA, in partnership with the AFX, has begun offering real-time spreads between AMERIBOR, Secured Overnight Financing Rate (SOFR) and the Effective Fed Funds Rate (EFFR). The spreads are initially based on the monthly futures for each of those indices. The data represents the expectation of future rates as well as the funding differences for secured vs. unsecured lending.

LIBOR AMERIBOR composite

 

Tradition AMERIBOR Sell Sheet

AMERIBOR sell sheet thumb

TraditionDATA AMERIBOR