Surging T-Bill issuance has increased the need for a direct and effective hedging instrument for short-term government debt. 13-Week U.S. Treasury Bill futures aim to meet that need – offering a capital-efficient and precise way to hedge the potential T-Bill yield at auction while also providing for inter-commodity spreads and margin offset opportunities.

*Pending regulatory review

Key features

Pinpoint T-Bill exposure

Precisely hedge risks related to yields of 13-Week T-Bill at auctions with six contracts over the nearest one year forward curve.

Spread SOFR vs. T-Bills

Seamlessly trade the basis between leading U.S. money market rates with inter-commodity spreads vs. SOFR futures.

Unlock capital efficiencies

Enjoy automatic margin offsets vs. established interest rate products.

Contract specifications

Preliminary U.S. Treasury Bill futures specifications


CME Globex: TBF3   Bloomberg: TZR

Reference Rate

13-Week T-Bill yield

Pricing Methodology

100 - yield (where yield = discount yield at auction)

Contract Listings

Four “quarterly” contracts set to expire on the Monday preceding the 3rd Wednesday of Mar/Jun/Sep/Dec

Two “serial” contracts set to expire on the Monday preceding the 3rd Wednesday of serial months (Jan/Feb/Apr/May/Jul/Aug/Oct/Nov)

Value of One bp


IMM Index Value


Minimum Price Increment

0.25bp for contracts with less than 1 month to expiry; 0.5bp for all other contracts


Cash settled in USD, by reference to Final Settlement Price, on Last Day of Trading

Last Day of Trading

Monday 2:00 p.m. CT on the week in which the contract is set to expire

Final Settlement Price

IMM index evaluated on the basis of 100 minus the highest accepted discount yield in the 13-Week T-Bill auction that occurs in the same week as the contract’s expiry.

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