• Bundle Futures and Options Launch on September 22, 2014

      • To
      • Clearing Member Firms; Back Office Managers; Service Providers
      • From
      • CME Clearing
      • #
      • Chadv14-323
      • Notice Date
      • 21 August 2014
      • Effective Date
      • 22 September 2014
    • CME will launch trading in Bundle futures and companion options on Sunday, September 21, 2014, for first trade date of September 22, 2014, pending completion of all regulatory review periods. Each Bundle future is for physical delivery of a standardized Bundle combination of CME Eurodollar (ED) futures. For full details on these innovative new contracts, please see: http://www.cmegroup.com/trading/interest-rates/eurodollar-bundles.html
      Also please see Special Executive Report S-7160 at:

      The initial launch of Bundle futures will include Two-Year (BU2), Three-Year (BU3) and Five-Year (BU5) contracts for physical delivery of standardized strips of 8, 12, or 20 consecutive quarterly ED futures, respectively. The initial launch will comprise Bundle futures for delivery in December 2014 and in March 2015.

      Each Bundle future is identified by the contract month of the nearby ED future in the underlying deliverable grade Bundle combination. For example, the Dec2014 Two-Year Bundle future will be for delivery of a strip of eight quarterly ED futures expiring between Dec2014 and Sep2016, inclusive.

      The last day of trading and final settlement date of an expiring Bundle futures contract will be the Monday prior to the third Wednesday of the contract delivery month.

      The initial launch will include Quarterly and Serial options on Bundle futures. Options typically will terminate trading and expire at close of trading on the Friday before the third Wednesday of the option expiry month, similar to the expiry calendar that applies to Serial options and Midcurve options on ED futures.