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