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
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.
Preliminary U.S. Treasury Bill futures specifications
CME Globex: TBF3 Bloomberg: TZR
13-Week T-Bill yield
100 - yield (where yield = discount yield at auction)
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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