Cboe Futures Exchange, LLC (CFE) plans to implement a new Lead Market Maker (LMM) Program for AMERIBOR futures effective on January 1, 2021, subject to regulatory review.

CFE Trading Privilege Holder (TPH) organizations and prospective TPH organizations may apply for appointment as an LMM under the program. CFE may approve up to three organizations as LMMs under the program.

The LMM Program applies to all AMERIBOR futures listed for trading on CFE, including Cboe Three-Month AMERIBOR (AMB3) futures, Cboe One-Month AMERIBOR (AMB1) futures, and Cboe 7-Day AMERIBOR (AMW) futures.

Applications for participation in the new LMM Program for AMERIBOR futures must be submitted by Monday, December 21, 2020 to MembershipServices@cboe.com. CFE will review all applications received and determine which firms to appoint as an LMM under the Program, notifying each applicant on or before Monday, December 28, 2020.

The AMERIBOR rate is calculated daily as the transaction volume-weighted average interest rate of the AMERIBOR overnight unsecured loans on AFX. AMERIBOR is based on actual market transactions, not estimates or submissions. AMERIBOR futures are cash-settled and are designed to reflect the market expectations of either compounded daily annualized AMERIBOR interest or average simple daily annualized AMERIBOR interest.

More information about the program can be found here.