Bundles and Packs provide a readily available, widely accepted method for executing multiple futures contracts with a single transaction. These popular trading conventions, also in use with Eurodollar futures contracts, greatly enhance Euroyen futures "strip" trading. They also play an important role in further developing transparency and liquidity in back month Euroyen futures.

Bundles

• A Bundle is the simultaneous sale or purchase of one each of a series of consecutive Euroyen (or Eurodollar) futures contracts.
  
• For Euroyen futures, 1-year, 2-year, and 3-year Bundles will be available. Each Bundle starts with the first quarterly contract, and contains equal numbers of the first four contracts (the 1-year bundle), the first eight contracts (the 2-year bundle), or the first 12 contracts (the 3-year bundle).

Packs

• A Pack is the simultaneous purchase or sale of an equally-weighted, consecutive series of four Euroyen (or Eurodollar) futures contracts, quoted on an average net change basis from the previous day's settlement price.
  
• For Euroyen futures, the Packs are defined as either the four "red" contracts or the four "green" contracts. All four contracts in the strip are executed in a single transaction, eliminating the inconvenience of partial fills, particularly in the deferred contract months.

Pricing

• Bundles and Packs are quoted on a net change basis from the previous day's settlement prices. The price quotation reflects the average of the net price changes of the Bundle's constituent contracts. For example, when a trade is executed in the 2-year Bundle at a price of -1, it represents an agreement between the buyer and the seller to exchange the first eight Euroyen contracts at prices which are one tick lower than the previous day's settlement prices.
  
• A Chicago Mercantile Exchange® (CME) pricing algorithm is used to assign whole-tick prices to each of the constituent contracts consistant with the fractional trade price. The algorithm is based upon the following principal: necessary price adjustments begin with the most deferred contract in the bundle, and work forward toward the nearest contract. Net changes are to be as uniform as possible.
  
• The smallest price increment for a Bundle is .25 basis points. The smallest price increment for a Pack is .50 basis points.
  

Example
A trade is executed in the 2-year Bundle at a price of -2.75. In this case, the first eight quarterly contracts are exchanged at an average price of 2.75 basis points (the fractional trade price) below the previous day's settlement prices. The algorithm assigns price adjustments beginning with the most deferred contract in the Bundle, working forward toward the nearest contract. In this example, the six most deferred contracts are exchanged at -3, and the first (nearest) two contracts are exchanged at a net change of -2, for an average change of -2.75 for the Bundle:

[(-3 x 6) + (-2 x 2)] / 8 = -2.75

After the Bundle or Pack Trade
When a Bundle or Pack trade is completed, positions in the individual contracts are established in the traders' accounts in the conventional way. Bundles and Packs are simply execution conventions;from a back office/risk management standpoint, there is no difference between positions established via a Bundle or a Pack and those established by executing contracts individually.

What is the difference between a Bundle and a Pack?
Packs are quoted in one-half tick increments, e.g +2.5 bid/ +3 ask; Bundles are quoted in quarter tick increments, e.g. +2.75 bid/ +3 ask. Bundles start with the front quarterly contract; Packs begin with either the first "red" contract, or the first "green" contract. The smallest price increment for a Bundle is .25 basis points. The smallest price increment for a Pack is .50 basis points.