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CME Barclays Capital U.S. Aggregate Bond Index 
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On November 3, 2008, Barclays Capital announced the rebranding of its unified family of indices under the Barclays Capital Indices name. This combined the existing Lehman Brothers and Barclays Capital indices into a single platform.

The CME Barclays Capital U.S. Aggregate Bond Index futures contract is based on the preeminent benchmark debt index for U.S. investment-grade fixed income securities. The index covers the U.S. dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. More than 2.4 trillion in assets under management are benchmarked to this index, which is used by more than 90 percent of U.S. fixed income portfolio money managers.  Click here to view free real-time quotes for CME Barclays Capital U.S. Aggregate Bond Index futures contract.

CME Barclays Capital U.S. Aggregate Bond Index futures provide a way to:

  • Allocate assets or rebalance portfolios
  • Use passive indexation
  • Securitize cash or transition between managers or assets
  • Implement portable alpha strategies
  • Execute spread strategies against other exchange-traded products

Things to know:

  • Contracts trade solely electronically on the CME Globex platform
    • Virtually around the clock, around the world
    • Complete price transparency and anonymity
  • CME Clearing clears and settles all trades and guarantees counterparty creditworthiness 

Index Overview

  • The Barclays Capital U.S. Aggregate Bond Index is exceptionally broad-based
    • It incorporates more than 9,200 issues
    • 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
  • More than 90% of U.S. money managers are benchmarked to the Barclays Capital Indices
  • As of the end of 2006, an estimated $6.1 trillion in assets under management were benchmarked to Barclays Capital indices globally, of which $2.4 trillion were benchmarked to the U.S. Aggregate Index