Eurodollar Bundle Futures and Options:
Notional Value

Contract Size and DV01 Comparison

The CME Bundle future design is at once simple and powerful, enabling a user to transact and hold multiple years of ED futures exposure (8,12 or 20) as a single accounting line item, with a contract notional size of $1 million (the same as a single ED future).

Unlike an ED bundle, which instantly unbundles into its component ED contracts after it is traded, a Bundle futures contract breaks into the ED futures in its contract-grade bundle only when it goes to delivery upon expiration.

This paper answers the question:

“How can a Five-Year Bundle future, for instance, be sized at a notional value of $1 million at the same time that the contract’s deliverable grade is 20 ED futures, each sized at $1 million?”

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