T-Bill auction mechanics

Discount yield

Non-competitive bids and competitive bids

Holidays and postponements

CME Group 13-Week U.S. Treasury Bill futures

Contract critical dates

Exhibit one—contract critical dates

Last trading day

Final settlement price

Price = 100 minus rate

One basis point = $25

Minimum price increment = Either ¼ bp or ½ bp

Contract listings

Fallbacks

Exhibit two-- Contract specifications for CME 13-Week U.S. Treasury Bill futures

Complementarity with SOFR indices

Exhibit three — CME Term SOFR vs Three-Month Treasury Bill yield

Exhibit four — Volatility analysis (CME Term SOFR vs Three-Month Treasury Bill yield)

Product codes

References