91/360 = $12.639   For a 13-week Treasury bill with 90 days to maturity, the change in the dollar discount would be $12.50. Despite the fact that a 13-week Treasury bill usually has 91 days to maturity, market participants com- monly refer to the value of a tick for this futures contract as $12.50. As evidence of this, on the left side of Exhibit 11.1, the "Tick Value" is $12.50.   Eurodollar CD Futures As discussed in Chapter 6, Eurodollar certificates of deposit (CDs) are denominated in dollars but represent the liabilities of banks outside the United States. The contracts are traded on the International Monetary Market of the Chicago Mercantile Exchange and the London Interna- tional Financial Futures Exchange (LIFFE). As noted several times in the book, the rate paid on Eurodollar CDs is the London interbank offered rate (LIBOR). The 3-month (90 day) Eurodollar CD is the underlying instrument for the Eurodollar CD futures contract. Exhibit 11.2 presents the Bloomberg Futures Contract Description screen for the April 2002 con- tract. As with the Treasury bill futures contract, this contract is for $1 million of face value and is traded on an index price basis. The index price basis in which the contract is quoted is equal to 100 minus the annualized futures LIBOR. For example, a Eurodollar CD futures price of 98.00 means a futures 3-month LIBOR of 2%. The minimum price fluctuation (tick) for this contract is 0.005 or ¹ ₂ basis point. This means that the tick value for this contract is $12.50, which is determined as follows:     tick value = $1,000,000 ´ (0.005 ´ 90/360)   tick value = $12.50   This expression appears in the lower right-hand corner of Exhibit 11.2. The Eurodollar CD futures contract is a cash settlement contract. Specifically, the parties settle in cash for the value of a Eurodollar CD based on LIBOR at the settlement date. The Eurodollar CD futures con- tract is one of the most heavily traded futures contracts in the world. Exhibit 11.3 presents Bloombergs Contract Table screen for the active 90-day Eurodollar CD futures contracts on January 22, 2002. Note the very large open interest for March, June, September, and December