Packs and Bundles

Trade strips of consecutive Interest Rate futures contracts efficiently using a single transaction

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https://www.cmegroup.com/content/dam/cmegroup/markets/interest-rates/images/packs-and-bundles-1440x500.jpg

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.

CME Direct users: download the Packs and Bundles grid

Users of CME Direct, our fast, secure, highly configurable front-end, can download a trading grid that makes trading packs and bundles easier on the platform.

Download the Packs and Bundles trading grid

  1. Right click on the link and select "Save link as...".
  2. Save the file as an .XML on your computer.
  3. In CME Direct, select import view in the main menu.
  4. Import the grid into CME Direct.
  5. Under Menu, click on Save Window Layout.
Right-click to save the Packs and Bundles Trading Grid (Globex) [link-bold]

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

Connect with a member of our expert Interest Rate team for more information about our products.