The American Financial Exchange (AFX), an electronic exchange for direct lending and borrowing for American financial institutions, published today a research note on the performance of the AMERIBOR® overnight rate for the first half of 2022.
The research piece, titled, “A Cautionary Tale about Basis Risk: Liquidity and Credit Spreads Leading into the 75-bps Tightening on June 15th, 2022” provides statistical evidence the primary driver of this rapid increase in demand was based on an anticipated rate increase by the Fed. This resulted in an early upwards repricing in other sources of liquidity such as SiFis and the Federal Home Loan Banks (FHLBs). See the complete research note attached.
Currently the AFX has 231 members across the U.S. including 186 banks and 45 non-banks, including 1,000 correspondents, with combined assets of over $5.3 trillion, comprised of insurance companies, broker-dealers, private equity firms, hedge funds, futures commission merchants, and asset managers.
For more information about AFX or AMERIBOR, visit www.ameribor.net.