The Chicago Mercantile Exchange (CME) will launch futures and options based on Lehman Brothers' index of US investment-grade debt later this year.The Lehman Brothers US Aggregate Index, launched in 1986, covers 8,600 investment-grade fixed-rate US securities, in six classes: treasury, government, corporate, mortgage-backed, asset-backed and commercial asset-backed; 79% of the assets are AAA-rated. The index has a market value of $9.3 trillion.
The CME plans to offer futures on the index in the second half of this year, and is also planning to develop options on futures.
The futures will be cash-settled on the last day of the quarter (March, June, September or December) at $100 times the index value, with a 0.2 point tick size, and will be traded through CME's Globex electronic trading platform.
The options will be call or put options based on the futures contract, with a tick size of 0.1 index points.
Topics: Lehman Brothers
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