A couple of days ago, we published a blog titled "SOFR is really alive again!" showing the return of (small) volatility of the SOFR spread above the Target rate. This small volatility was opposed to the dead spread of EFFR.
A natural question at the reading of the blog has been "What about AMERIBOR?". The third overnight benchmark in the USD market is more directly linked to the actual deposit market without manipulation.
The spread of AMERIBOR above the target rate is reasonably volatile. A graphical representation is proposed below.
Figure 1: Spread over target rate for three USD overnight benchmarks.