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Flexible, Liquid and Cost Effective! CME Eurodollar 5-Year E-Mini Bundles are one of two great ways CME delivers to manage your exposure. To learn more about our traditional CME Eurodollar Bundles, which are a pre-packaged series of contracts that facilitates rapid execution of a CME Eurodollar strip in a single contract, visit www.cme.com/bundles. To view fees, please click here.
To view information on 2007 fee enhancements, click here.
To view a recent seminar introducing CME E-mini Bundles, click here. Flexibility and Simplicity
Representing an innovative packaging of the world’s most actively traded short-term futures contract, CME Eurodollar 5-Year E-mini Bundles provide the economic equivalent of 20 quarterly CME Eurodollar expirations in a single contract. Each 5-Year E-mini Bundle: - Has a $100,000 notional value and a one-basis point value of $50
- Is 1/10th the size of conventional 5-year Bundles
- Is fully fungible with CME Eurodollar futures - ten E-mini Bundles equal one conventional CME 5-Year Eurodollar Bundle
- Is quoted in terms of price, not net change from the previous day’s settlement, in contrast to traditional CME Eurodollar Bundles
The innovative design of the E-mini Bundles creates a more cost effective means of providing exposure to the critical 5-year point on the U.S. interest rate swap/CME Eurodollar futures curve. The price quoting feature make 5-Year E-mini Bundles easy to trade, chart, and compare with related fixed income products. CME E-mini Bundles offer essentially the same risk profile as interest rate swaps, but with the liquidity, familiarity and flexibility of CME Eurodollars. On any exchange business day, ten of the CME E-mini Bundles can be converted to a full-sized strip of 20 consecutive CME Eurodollar futures – at no charge! Daily settlement prices for 5-Year E-mini Bundles are equal to the average price of the twenty quarterly Eurodollar futures that make up the traditional 5-year Bundle. This guarantees the economic equivalency of the E-mini Bundle and Eurodollar futures markets.
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