T-bill and Eurodollar Futures

[jankynoname]

I’m not understanding something in Schweser, and hoping someone can help me clear it up…
Reading 61 (Book 5, p. 232) says:
“Treasury bill futures contracts are based on a $1 million face value 90 day T-bill and they settle in cash…. Each change of 0.01 in the price of a T-bill futures contract is worth $25.”
Why is that? A price change of 0.01 is the same as 1bp, right? So how does 1bp x $1mil. = $25?? Shouldn’t it be $100?
Also says the same thing about Eurodollar futures.

 

[Dreary]

This is set by the Futures exchange as they wish.

 

[wyantjs]

(90/360)*100=25

 

[Dreary]

You’re right, here it makes sense, but then how did they set $250 for the S&P 500, and $500 for the CRB index, etc?

 

[jankynoname]

Oh right… I forgot to adjust for the time window. Thanks.