CME Lehman Brothers U.S. Aggregate Index Futures
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On September 30, 2007, CME Group launched CME Lehman Brothers U.S. Aggregate Index Futures based on the Lehman Brothers U.S. Aggregate Index, the preeminent benchmark debt index for U.S. investment-grade fixed income securities.

Over 90% of U.S. money managers are benchmarked to the Lehman Brothers Indices. As of September 2007, Lehman Brothers, the leading provider of fixed income benchmarks, estimated that $6.6 trillion in assets under management were benchmarked to its indices globally, of which $2.55 trillion were benchmarked to the U.S. Aggregate Index.

CME Lehman Brothers U.S. Aggregate Index futures provide traders and investors a new tool for:

  • Asset allocation
  • Passive indexation
  • Portable alpha strategies
  • Spreading against other exchange-traded products

Lehman Brothers U.S. Aggregate Index

The Lehman Brothers U.S. Aggregate Index was launched in 1986 and covers the U.S. dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index is exceptionally broad-based as it incorporates more than 9,000 issues and has a market value of over $9.4 trillion securities (as of August 1, 2007). Index components include debt instruments representing U.S. Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities and commercial mortgage-backed securities.

Lehman Brothers, an innovator in global finance, serves the financial needs of corporations, governments and municipalities, institutional clients, and high net worth individuals worldwide. Founded in 1850, Lehman Brothers maintains leadership positions in equity and fixed income sales, trading and research, investment banking, private investment management, asset management and private equity. The Firm is headquartered in New York, with regional headquarters in London and Tokyo, and operates in a network of offices around the world. For further information about Lehman Brothers’ services, products and recruitment opportunities, visit the Firm’s Web site at www.lehman.com.

For more information, please contact:

CME Lehman Brothers U.S. Aggregate Index futures are based in part on the Lehman Brothers U.S. Aggregate Index, which is published by Lehman Brothers Inc. (“Lehman Brothers”). CME Lehman Brothers U.S. Aggregate Index futures based on the Lehman Brothers U.S. Aggregate Index, are not sponsored, endorsed, sold, promoted or participated in by Lehman Brothers, and Lehman Brothers makes no representation regarding the advisability of investing in such product(s) or about the quality, accuracy and/or completeness of the CME Lehman Brothers U.S. Aggregate Index futures contract or the Lehman Brothers U.S. Aggregate Index. IN NO EVENT SHALL LEHMAN BROTHERS OR ANY OF ITS LICENSORS HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

Lehman Brothers U.S. Aggregate Index and Lehman Brothers Aggregate Index are service marks of Lehman Brothers Holdings Inc.

  • CME Lehman Brothers U.S. Aggregate Index Futures
    On October 1, CME Group will launch futures on the Lehman Brothers U.S. Aggregate Index, the preeminent benchmark debt index for U.S. investment-grade fixed income securities. For more information visit www.cme.com/lehman or email interestrates@cmegroup.com.
  • CME Swaps on Swapstream – Coming Q1 2008
    In Q1 2008, CME Group will launch CME Swaps on Swapstream, the first OTC interest rate swap to offer the full benefits and financial safeguards of central counterparty clearing. CME Swaps on Swapstream will include forward-dated interest rate swaps denominated in USD and EUR and will be traded on the Swapstream sPro™ platform. For more information, visit www.cme.com/swaps or contact Steve Dayon 312.435.7225 or Peter Barker at 312.930.8554.
  • Enhanced CME EOS Trader Demo
    Visit www.cme.com/eos to experience the enhanced functionality of CME EOS Trader with our new demo complete with user defined spreads, covereds and order management
CME Lehman Brothers U.S. Aggregate Futures (PDF) Lehman Brothers U.S. Aggregate Index Fact Card (PDF)
US Futures Quarterly Article (PDF) Lehman Brothers Web Site
  
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