Our Market Consensus Forecast for the Ameribor Unsecured Overnight Rate (AMERIBOR) is generated utilizing data on publicly-traded AMERIBOR futures and other closely related benchmark interest rates. Using this information, we construct a forward term structure for the full yield curve. The term structure is interpolated and smoothed using a three-factor parametrization model, generating the final forecast.
This forecast can be interpreted as the mean market-expected values of future AMERIBOR values.
This model is updated daily around 10:30 ET (14:30/15:30 UTC) on market days. The data for this series is released with a one business-day lag due to a delay in futures market data.