CME plans debt index derivatives

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.

  • LinkedIn  
  • Save this article
  • Print this page  

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: