CME plans debt index derivatives

The Chicago Mercantile Exchange will launch futures and options based on Lehman Brothers' index of US investment-grade debt later this year. 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 and December). The options will be call or put options based on the futures contract.

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