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
Resources
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
| Tickers |
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 |
$25 |
| IMM Index Value |
$2,500 |
| Minimum Price Increment |
0.25bp for contracts with less than 1 month to expiry; 0.5bp for all other contracts |
| Delivery |
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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