The Chicago Mercantile Exchange (CME) and Lehman Brothers, the global investment bank and provider of fixed income benchmarks, have entered into an exclusive licensing agreement to create futures products based on the Lehman Brothers US Aggregate Index.
Based on the benchmark debt index for US investment grade fixed income investments, the CME Lehman US Aggregate Index futures are expected to launch in the second half of 2007 and will represent the world's first exchange-traded contracts on a broad-based, fixed income index.
"The CME Lehman US Aggregate Index futures contract will complement existing over-the-counter fixed income derivatives and will be another instrument for fixed income portfolio managers to use in implementing asset allocation strategies," said CME Chairman Terry Duffy. "Since 1982 when CME pioneered the first futures on financial indices with the launch of our CME S&P 500 futures contract, we continue to innovate and expand our index products offerings."
"We are excited to partner with CME to offer our top-ranked Index on the largest futures exchange," said Ravi Mattu, Lehman Brothers global head of Fixed Income and Equity Research. "This partnership underscores the Firm's commitment to providing innovative products and capabilities to our clients worldwide."
"We are very pleased that Lehman Brothers has chosen to work with CME to offer the first-ever listed derivatives products on the Lehman U.S. Aggregate Index, which is the premier investment-grade bond index used by institutional investors for measuring fixed income portfolio performance," added CME CEO Craig Donohue. "The addition of the CME Lehman US Aggregate Index futures contract to our existing product suite is a significant step forward in bringing CME into the USD27.4 trillion U.S. bond market."
The Lehman Brothers US Aggregate Index was launched in 1986 and covers the U.S. dollar-denominated, investment grade, fixed-rate, taxable bond market. The Index is exceptionally broad based as it incorporates more than 8,600 securities. The Index covers six major asset classes. Treasury, government-related, corporate, mortgage-backed, asset backed and commercial asset backed. Lehman Brothers currently estimates that more than USD 2 trillion in fixed income assets are benchmarked to the Index.