Cboe launches Ameribor futures as Libor transition continues 

Cboe Futures Exchange will launch futures on the Ameribor Term-30 interest rate benchmark in September, subject to regulatory approval.

Cboe Global Markets has expanded its alternative benchmark offering with the launch of Ameribor futures as the market continues to move away from Libor.

The futures will be cash settled and based on the Ameribor Term-30 interest rate benchmark. They are expected to launch on 13 September, pending regulatory review.

Cboe Futures Exchange said it plans to initially offer futures on the 30-day term rate and then add futures on the 90-day term rate later this year. 

The Ameribor Term-30 benchmark is disseminated by the American Financial Exchange (AFX) and allows institutions in the US to capture wholesale funding costs over a 30-day period at a specific time. 

It’s comparable to one-month Libor because of its credit sensitivity and forward-looking interest rate, said Cboe. 

“We are pleased to further collaborate with AFX and provide market participants with the tools they need to help ease their transition away from Libor,” added Michael Mollet, vice president of futures at Cboe Global Markets.

“We expect market participants, especially banks who consider the Ameribor index representative of their true cost of funding, will find the new futures to be particularly well-suited to manage interest-rate risk on loans or execute interest-rate trading strategies.” 

Ameribor, like Sonia in the UK, is an alternative reference rate to the Libor benchmark which after years of manipulation is being removed from the market by regulators.

In March, the UK’s Financial Conduct Authority confirmed that the final cessation date for Libor would be 31 December later this year.

However, recent research has suggested that the derivatives industry is the least prepared for the transition. In June, a report by Acuti claimed that only 52% of respondents were ready for the transition in listed derivatives.