News Release

CME to Offer Futures and Options on Futures on Lehman Brothers' U.S. Aggregate Index

Mon Apr 23 2007

CHICAGO, April 23 /PRNewswire-FirstCall/ -- CME, the world's largest and most diverse derivatives exchange, and Lehman Brothers, the global investment bank and leading provider of fixed income benchmarks, today announced that they have entered into an exclusive licensing agreement to create futures products based on the Lehman Brothers U.S. Aggregate Index. Based on the pre-eminent benchmark debt index for U.S. investment grade fixed income investments, the CME Lehman U.S. 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 U.S. 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 U.S. Aggregate Index futures contract to our existing product suite is a significant step forward in bringing CME into the $27.4 trillion U.S. bond market."

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. 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 $2 trillion in fixed income assets are benchmarked to the Index.

Lehman Brothers has more than 34 years of experience in structuring indices. The Firm's fixed income indices are the most widely accepted benchmarks in the asset management industry, used by over 90 percent of U.S. institutional investors, a majority of large European investors, and a growing share of Asian-Pacific managers. Lehman Brothers has been the top-ranked U.S. Bond Index provider each year since rankings began in 1997 in Institutional Investor magazine's All-America Fixed Income Research Team survey. The Firm was also ranked #1 in Bond Index Research and Analysis in Institutional Investor magazine's All-Europe Fixed Income Research Team survey and was top ranked in Euromoney's Credit Research poll in both 2005 and 2006.

For more information on CME Lehman U.S. Aggregate Index contracts please visit http://www.cme.com/lehman.

CME (http://www.cme.com/) is the world's largest and most diverse derivatives exchange. As an international marketplace, CME brings together buyers and sellers on the CME Globex® electronic trading platform and on its trading floors. CME offers futures and options on futures in these product areas: interest rates, stock indexes, foreign exchange, agricultural commodities, energy, and alternative investment products such as weather, real estate and economic derivatives. CME is a wholly-owned subsidiary of Chicago Mercantile Exchange Holdings Inc. (NYSE: CME)(NASDAQ: CME), which is part of the Russell 1000® Index and the S&P 500® Index.

Statements in this news release that are not historical facts are forward-looking statements. These statements are not guarantees of future performance and involve risks, uncertainties and assumptions that are difficult to predict. Therefore, actual outcomes and results may differ materially from what is expressed or implied in any forward-looking statements. More detailed information about factors that may affect our performance may be found in our filings with the Securities and Exchange Commission, including our most recent Annual Report on Form 10-K, which can be obtained at its Web site at http://www.sec.gov/. We undertake no obligation to publicly update any forward-looking statements, whether as a result of new information, future events or otherwise.

Chicago Mercantile Exchange, CME, the globe logo, CME Globex and E-mini are trademarks of Chicago Mercantile Exchange Inc. CLEARING 21 is a registered trademark of CME and New York Mercantile Exchange, Inc. S&P, S&P 500, NASDAQ-100, Nikkei 225, Russell 1000, Russell 2000, TRAKRS, Total Return Asset Contracts and other trade names, service marks, trademarks and registered trademarks that are not proprietary to Chicago Mercantile Exchange Inc. are the property of their respective owners, and are used herein under license. Further information about CME and its products is available on the CME Web site at http://www.cme.com/.

Lehman Brothers (ticker symbol: LEH), 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 http://www.lehman.com/.

SOURCE: CME

CONTACT: Tasha Pelio of Lehman Brothers, +1-212-526-0983,
tasha.pelio@lehman.com; or Pamela Plehn, +1-312-930-3446, or Allan Schoenberg,
+1-312-930-8189, news@cme.com, both of CME

Web site: http://www.cme.com/
http://www.lehman.com/
http://www.cme.com/mediaroom

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