Benefits of AMERIBOR Futures
- Hedge Interest Rate Risk
- Manage interest-rate risk on loans with a benchmark that is reflective of the interbank borrowing costs of medium-sized and regional financial institutions.
- Optimize Asset-Liability Management
- Match assets, liabilities, and hedge loans with a benchmark that is representative of actual borrowing costs.
AMERIBOR Term-30
The AMERIBOR Term-30 is designed for financial institutions in need of forward-looking short-term interest rates as the planned cessation of LIBOR approaches. The benchmark is designed to capture wholesale funding costs for American financial institutions over a thirty-day period at a specific moment in time.
The graph reflects the value of the AMERIBOR Term-30 benchmark in relation to One-Month LIBOR.
| Cboe AMERIBOR Term-30 Futures (AMT1 ) | |
|---|---|
| Contract Notional | $3,000,000 |
| Minimum Price Intervals | 1/4 basis points per annum equal to $6.25 per contract |
| DV01 | $25 |
| Full Contract Specifications | Download |
AMERIBOR Term-90
Available January 23, 2022, AMERIBOR Term-90 is a forward-looking interest rate benchmark and is calculated utilizing financing transactions which may range from 41 to 120 days to maturity as a reflection of funding costs over a 90-day period at a specific moment in time.
| Cboe AMERIBOR Term-90 Futures (AMT3 ) | |
|---|---|
| Contract Notional | $1,000,000 |
| Minimum Price Intervals | 1/4 basis points per annum equal to $6.25 per contract |
| DV01 | $25 |
| Full Contract Specifications | Download |
AMERIBOR Overnight Rate
AMERIBOR is an interest rate benchmark alternative with a credit component. It is calculated as the transaction volume weighted average interest rate of the daily transactions in the AMERIBOR® overnight unsecured loan market on the AFX.
Daily Simple Annualized Interest Rate
Reflects the market expectations of average daily simple annualized AMERIBOR interest during a given time period.
| Cboe AMERIBOR 7-Day Futures (AMW) | Cboe One-Month AMERIBOR Futures (AMB1) | |
|---|---|---|
| Contract Notional | $18,000,000 | $6,000,000 |
| Minimum Price Intervals | 1/4 basis point per annum equal to $8.75 per contract | 1/4 basis points per annum equal to $12.50 per contract |
| DV01 | $35 | $50 |
| Full Contract Specifications | Download | Download |
| Quote Vendor Symbols | View | View |
Daily Compound Annualized Interest Rate
Reflects the market expectations of compounded daily annualized AMERIBOR interest during a given time period.
| Cboe Three-Month AMERIBOR Futures (AMB3) | |
|---|---|
| Contract Notional | $1,000,000 |
| Minimum Price Intervals | 1/4 basis points per annum equal to $6.25 per contract |
| DV01 | $25 |
| Full Contract Specifications | Download |
| Quote Vendor Symbols | View |
Trading Resources
Below are links with additional information about trading on CFE.
- Margins
- Fee Schedule
- Holiday & Expiration Calendars
- Exchange Rules
- CFE Contacts
- Additional Trading Information
- CSMI Real-Time Index Values
- Cboe AMERIBOR Futures Ticker Symbol Conventions
- Cboe AMERIBOR Futures May Reflect Zero or Negative Rates
- Daily Market Statistics
- Daily Settlement Prices
- Final Settlement Prices
- AMERIBOR Rates on AFX Website
Trading of AMERIBOR Futures is available on the Cboe Silexx execution management system. To learn more about Cboe Silexx, sign-up for the platform, or to take a free trial, visit:
AMERIBOR® is a registered trademark of Environmental Financial Products, LLC and is licensed for use by CFE in connection with the listing for trading by CFE of AMERIBOR futures.