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
More on Exchanges
Acquisitions made up for some shortfalls in exchange revenues
Chicago-based exchange targets China, India and LatAm growth
Stock exchange group has “excess cash”, says group CEO
Increased volatility will spur demand for risk management tools in Asia
Sign up for Risk.net email alerts
Sponsored video: MarketAxess
Sponsored video: Tradeweb
Multifonds talks to Custody Risk on being nominated for the Post-Trade Technology Vendor of the Year at the Custody Risk Awards 2014
Sponsored webinar: IBM Risk Analytics
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.