CME plans debt index derivatives
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. Within the index, 79% of the assets are rated AAA. The index has a market value of $9.3 trillion.
The CME plans to offer futures on
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