Understanding Packs and Bundles

Useful for Hedging OTC IRS Instruments

Traders frequently trade “strips” of long or short Eurodollar futures in successive months far into the future as a form of “synthetic” term investment or as a means of hedging over-the-counter (OTC) interest rate swap (IRS) instruments. Thus, CME lists quarterly Eurodollar futures with contract months extending out 10 full years into the future.

Because Eurodollar futures strips have proven to be popular trading instruments, and in light of the complexities associated with the purchase or sale of a battery of futures contracts, CME has developed the concept of “packs” and “bundles” to facilitate such trading activity.

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