Packs and Bundles
Trade strips of consecutive Interest Rate futures contracts efficiently using a single transaction
While strips of futures can solve the problem of interest rate risk for some, they come with different challenges: Creating strips requires legging futures contracts individually, which can entail some risk, as the market may move before all the legs are completed. Moreover, longer-dated loans and other hedges would require even longer strips of futures to hedge.
Packs and bundles can simplify these transactions for the increasing number of traders who use STIR futures contracts from CME Group to hedge their rate exposure.
A pack or bundle is not a distinct product; rather, it is an intra-market combination strategy in which multiple futures are transacted via a single order. Thus, packs or bundles allow traders to enter into strip positions with a single transaction.
A pack is the simultaneous sale or purchase of a series of four consecutive STIR futures contracts.
Packs offer the advantage of being transactable at a single price or value, eliminating the need to enter multiple orders for each contract and the possibility that orders may go unfilled.
A bundle is the simultaneous sale or purchase of multiple series of four consecutive STIR futures contracts. That is, while packs comprise one year of interest rate exposure (i.e. four consecutive quarterly contracts), bundles comprise multiple years of rate exposure (e.g. two-year bundle = eight quarterly contracts).
Bundles, like packs, offer the advantage of being transactable at a single price or value, eliminating the need to enter multiple orders for each contract and the possibility that orders may go unfilled.
CME Direct users: download the Packs and Bundles grid
Download the Packs and Bundles trading grid
- Right click on the link and select "Save link as...".
- Save the file as an .XML on your computer.
- In CME Direct, select import view in the main menu.
- Import the grid into CME Direct.
- Under Menu, click on Save Window Layout.
Codes
| SOFR PACKS AND BUNDLES | CME GLOBEX CODES (AS OF JANUARY 2024) |
BLOOMBERG |
| White Pack | SR3:AB 01Y H4 | SFR1YH4 |
| Red Pack | SR3:AB 01Y H5 | SFR1YH5 |
| Green Pack | SR3:AB 01Y H6 | SFR1YH6 |
| Blue Pack | SR3:AB 01Y H7 | SFR1YH7 |
| Gold Pack | SR3:AB 01Y H8 | SFR1YH8 |
| 2Y Bundle | SR3:AB 02Y H4 | SFR2YH4 |
| 3Y Bundle | SR3:AB 03Y H4 | SFR3YH4 |
| 4Y Bundle | SR3:AB 04Y H4 | SFR4YH4 |
| 5Y Bundle | SR3:AB 05Y H4 | SFR5YH4 |
| ESTR PACKS AND BUNDLES | CME GLOBEX CODES (AS OF JANUARY 2024) |
BLOOMBERG |
| White Pack | ESR:AB 01Y H4 | TBD |
| Red Pack | ESR:AB 01Y H5 | TBD |
| Green Pack | ESR:AB 01Y H6 | TBD |
| 2Y Bundle | ESR:AB 02Y H4 | TBD |
| 3Y Bundle | ESR:AB 03Y H4 | TBD |
Contact a Packs and Bundles Expert
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