ED

8/26/2011 qty
days
15-Sep
15-Dec

date1
date2

s1
s2

(1)
1

P
y
F

Underlying
Instrument

100
ZC
-345
-254

for 1ED, 1bp

(95)
70
(25)

99.47
0.53
2.14

Eurodollar Time
Deposit having
a principal value
of USD
$1,000,000 with
a three-month
maturity.

basis

DF
0.42 1.0039761523
0.51 1.0035559044

365
1
1

(2494)

99.44

100
2.27%

F
P

0.17%
99.83%

Fzc1
Pzc1

0.21%
99.79%

Fzc2
Pzc2

0.14%
99.86%

Price Quote

Quoted in IMM
Three-Month
LIBOR index
points or 100
minus the rate
on an annual
basis over a
360 day year
(e.g., a rate of
2.5% shall be
quoted as
97.50). 1 basis
point = .01 =
$25.

Tick Size

One-quarter of
one basis point
(0.0025 = $6.25
per contract) in
the nearest
expiring contract
month;

(minimum
fluctuation)

One-half of one
basis point
(0.005 = $12.50
per contract) in
all other contract
months.

The new frontmonth contract

begins trading in
0.0025
increments on
the same Trade
Date as the Last
Trading Day of
the expiring
old frontmonth contract.

Contract
Months

Mar, Jun, Sep,

Dec, extending
out 10 years
(total of 40
contracts) plus
the four nearest
serial
expirations
(months that are
not in the March
quarterly cycle).
The new
contract month
terminating 10
years in the
future is listed
on the Tuesday
following
expiration of the
front quarterly
contract month.

Last Trading
Day

The second
London bank
business day
prior to the third
Wednesday of
the contract
expiry month.
Trading in the
expiring contract
closes at 11:00
a.m. London
Time on the last
trading day.

Final
Settlement

Expiring
contracts are
cash settled to
100 minus the
British Bankers
Association
survey of 3month U.S.
Dollar LIBOR on
the last trading
day. Final
settlement price
will be rounded
to four decimal
places, equal to
1/10,000 of a
percent, or
$0.25 per
contract.

Position Limits None

Block
Minimum

Block Trading Minimums

All or None
Minimum

All or None Minimums

Rulebook
Chapter

CME Chapter 452

Trading Hours

OPEN OUTCRY

(All times listed

are Central
MON-FRI: 7:20
Time)
a.m. - 2:00 p.m.
CME GLOBEX
SUN - FRI: 5:00
p.m. - 4:00 p.m.
CT
OPEN OUTCRY
Ticker Symbol ED
CME GLOBEX
GE

Exchange
Rule

These contracts
are listed with,
and subject to,
the rules and
regulations of
CME.

annualized

0.18%
99.82%

-100

(37,826)

27,846
(9,980)

yield

99.36
0.64%

100

Eurodollar Futures

ED
date1
date2

7/16/2010 qty
days
15-Sep
15-Dec

s1
s2

166,621
(414,548)

100
ZC

DF
0.49 0.9991872473
0.64 0.9973362707

61
152

for 1ED, 1bp

17
(41)
(25)

basis

365
1
1

for 100
1666
(4145)
(2479.27)

1559.68
352.186
1207.496

1559.6809
1559.6823

ED
date1
date2

7/16/2010 qty
days
13-Sep
13-Dec

s1
s2

161,156
(406,366)

100
ZC
59
149

basis

DF
0.49 0.9992181674
0.64 0.9974035226

365
1
1

for 1ED, 1bp for 100

16
1612
(41)
(4064)
(25)
(2452.09)

1559.68
-4011.88

7
24

8/20/2010
9/20/2010

352.19
1207.5
1559.68

0.23
1/30/1900
9/13/2010

10/20/2010
1/20/2011

-1569.86
-2442.01

0.39
92
12/15/2010

36

ED

7/16/2010 qty
days
date1
13-Sep
date2
15-Dec

100
ZC

s1
s2

161,167
(414,560)

16
(41)
(25)

F
Fs1
Fs2

DF
0.49 0.9992181674
0.64 0.9973362707

59
152

for 1ED, 1bp

basis

365
1
1

fwd
fwds1
10 fwds2
risk1
risk2

for 100
1612
(4146)
(2533.93)

99.25
99.25
99.23

total risk

0.16
-0.41
-0.25

0.730
0.724
0.746

pillar

8/20/2010
13-Sep
9/20/2010

35
352.166
59 1559.592
66
1207.426

10/20/2010
15-Dec
1/20/2011

96
-1569.818
152 -4011.758
188
-2441.940

0.156 1559.592
-0.401 -4011.758
-0.2452167
-2452.167

fwd
fwds

risk

total risk

0.730
0.740

-24.521

-2452.102

fwd
fwds
risk

0.73
0.74
-24.52
-2451.93

fwd
fwds
risk

0.73
0.74
-24.52
-2452

fwd
fwds1
fwds2

0.73
0.72
0.74

risk1
risk2

0.16
-0.41

-2452.19
total risk

-0.247931