SOFR Futures Packs and Bundles

What are Packs and Bundles?

Packs and bundles are trade execution strategies that will be familiar to many users of CME Three-Month Eurodollar futures.  A pack or bundle is not a distinct product; rather it is an intra-market combination strategy in which multiple futures -- one each of a sequence of contracts with consecutive quarterly delivery months – are transacted via a single order.

  • A pack comprises four consecutive quarterly contracts.  A pack combination may comprise any sequence of four quarterlies along the term structure of futures delivery months listed for trading.  By far the most popular packs, however, are those defined by their respective yearly color codes.  E.g. futures for the nearest four quarterly delivery months are known as the white pack, the 5th through 8th nearest quarterlies are called the red pack, and so on for greens, blues, golds, and so on, terminating with the coppers (the 37th through 40th quarterlies).
  • A bundle is similar, except that it spans integer multiples of four contracts.  E.g. a two-year bundle contains one each of contracts for the nearest 8 quarterly delivery months, a three-year bundle contains one each of the nearest 12 quarterlies, and a 5-year bundle comprises one each of the nearest 20 quarterlies.

The daily settlement prices for a position resulting from a pack or bundle trade are simply the daily settlement prices for each of the individual contracts comprised within the pack or bundle.  Thus, buying (or selling) contracts via a pack or bundle combination results in the same risk exposure as if the same contracts were bought (or sold) individually. 

SOFR Packs and Bundles

The price of a Eurodollar futures bundle or pack is quoted as the arithmetic average change among its constituent contracts versus their respective previous daily settlement prices. When prices of the constituent contracts have risen, on average, from their corresponding previous daily settlement prices, the bundle or pack price is positive. Conversely, when prices of the constituent contracts have fallen on average, the bundle or pack price is negative.

This pricing convention will not apply to CME Three-Month SOFR futures packs and bundles. Rather, the price of a SOFR pack or bundle will be quoted as the arithmetic average of the price levels of its constituent futures contracts.

The minimum price increment for any SOFR pack or bundle will be 0.0025 IMM Index points, ie, 0.25 basis points per annum of SOFR pack or bundle interest rate exposure. For example:

Pack/Bundle Price
(IMM Index points)
Pack/Bundle Average
Interest Rate (pct/yr)
99.1800 0.8200
99.1775 0.8225
99.1750 0.8250
99.1725 0.8275
99.1700 0.8300

Consider the set of four contracts in the SOFR pack shown in Exhibit 1 below. Arithmetic averages of bid and offered prices among the pack components appear in the row below the outright list.  Neither the average bid price nor the average offered price occurs at a valid Pack or Bundle minimum price increment.

Consequently, the best bid/offered prices in the CME Globex electronic trading platform’s central limit order book for the pack could appear as shown in the bold SR3 01Y Z0 row.  Important to note that outright prices will be assigned to match this rounded value, and do not need to match the individual market prices – more on this further below.

Exhibit 1

Leg Markets Bid Offer
SR3Z0 Dec-2020 99.17 97.175
SR3H1 Mar-2021 99.16 97.165
SR3M1 Jun-2021 99.14 97.145
SR3U1 Sep-2021 99.105 97.11
Average 99.14375 99.14875
Strategy Market Bid Offer
SR3 : 01Y Z0 99.145 99.1475

Futures packs and bundles trade in distinct central limit order books, separate and apart from the order books for their component contracts.  Prices are neither implied into nor out of the pack or bundle order books to the order books for individual futures contracts.

Contract Price Assignments

As soon as a SOFR pack or bundle is transacted, CME Globex will assign prices to each of its constituent contracts.  The method is broadly similar to price assignment in a Eurodollar pack or bundle, except that it applies to contract price levels in place of net price changes versus corresponding previous daily settlement prices.

To see how this works, consider an example where the pack introduced in Exhibit 1 trades at its bid price of 99.145.  Assignment of prices to the four constituent SOFR contracts starts with CME Globex evaluating each of the four futures at their respective C-Last prices.1 Assume these C-Last prices are as shown in Exhibit 2:  99.175, 99.165, 99.140, and 99.110.

The total budget of pack price points to be allocated among the four component SOFR contracts is:  396.58 = 4  x 99.145. If the four SOFR contracts are valued at their respective C-Last prices, the total number of price points to which they sum is: 396.59 = 99.175 + 99.165 + 99.140 + 99.110.

Because the sum of C-Last prices exceeds the budget of pack price points by 0.01 price points, CME Globex is prompted to adjust two of the four component futures prices by the contract minimum price increment (0.005 price points, or ½ basis point per annum).  As Exhibit 2 illustrates, the adjustment is applied to each of the two SOFR contracts with the most remote delivery dates.  Because the sum of adjusted C-Last prices, shown in the rightmost column, is equal to the budget of pack price points, the price assignment process concludes with each contract booked at its adjusted C-Last price.

Exhibit 2

Contract Bid Offer C-Last Price Pack Price Adjustment (Pack Price minus C-Last Price) Adjusted C-Last Price
(C-Last Price + Adjustment)
SR3Z0 Dec-20 99.170 99.175 99.175 99.145   99.175
SR3H1 Mar-21 99.160 99.165 99.165 99.145   99.165
SR3M1 Jun-21 99.140 99.145 99.140 99.145 -0.005 99.135
SR3U1 Sep-21 99.105 99.110 99.110 99.145 -0.005 99.105
        396.590 396.580 -0.010 396.580

More generally, the prices of component contracts in any pack or bundle combination are assigned in similar fashion, with all adjustments to futures contract C-Last prices measured out in contract minimum price increments, and with adjustments that are largest in absolute magnitude allocated to the component contracts for the most distant delivery months.


1 The CME Last (C-Last) price for a given contract is simply its latest trade price, or actionable price indication, or settlement price.  More precisely, the C-Last price is the most recent of:

(a) latest CME Globex transaction price, or
(b) CME Globex bid price that betters the bid side of the market, or
(c) CME Globex asking price that betters the ask side of the market, or
(d) latest daily settlement price.

For this purpose, a bid that betters the market is understood to be a bid to buy at a higher price than the incumbent C-Last price.  Similarly, a better ask price is an offer to sell at a price below the preceding C-Last price.

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