The American Financial Exchange (AFX), an electronic exchange for direct lending and borrowing for American financial institutions, published today a research note on the robustness of the AMERIBOR® Term-30 forward-looking rate in times of market stress.
The research piece, titled “AMERIBOR® Term-30: A Case Study in the Robustness of a Credit-Sensitive Interest Rate Benchmark” provides statistical evidence of its robustness during the COVID-19 crisis in early 2020 when most markets dried up. Between February and May 2020, the average volume of included transactions rose 17.6% from the preceding 12-months average to $39.38 billion, sampling from an average of over 108 unique market participants per day.
The paper also provides evidence of the robustness of AMERIBOR® Term-30 in comparison to other well-established markets in wheat, gold and Treasury Bond futures in their respective derivatives markets. The research note is available here.
Futures on AMERIBOR® Term-30 will begin on Cboe Futures Exchange on September 13, 2021. More information can be found at ameribor.net.
AMERIBOR® Term-30 (AMBOR30T), the entirely transaction-based one-month forwardlooking term-rate complementing the AMERIBOR® overnight benchmark was introduced in early 2021. With a minimum included volume threshold of $25 billion dollars and including only realworld, cash-exchanged transactions from an average of 99.8 issuers per day over the course of 2020, it serves as a robust benchmark interest rate for financial market participants of all sizes. It captures the true breadth of the American financial system and accurately represents marginal funding costs at a certain moment in time for the majority of U.S. financial institutions.
Currently AFX membership across the U.S. includes 181 banks, and 1,000 correspondents, with combined assets of over $5.8 trillion. There are 45 non-banks that include insurance companies, broker-dealers, private equity firms, hedge funds, futures commission merchants, and asset managers.
AMERIBOR® Term-30: A Case Study in the Robustness of a Credit-Sensitive Interest Rate Benchmark