Typically a 13-week T-Bill is auctioned on a Monday and then issued the following Thursday. The bill then matures on the Thursday 91 days later. If the issue or maturity date of the T-bill falls on a day where the Department of the Treasury is closed, the exposure period may change to 90 or 92 days. 

This can be seen for the November 2029 contract, where the exposure period is likely to be 90 days. The 13-week Treasury bill that will be tentatively auctioned on Monday, November 19, 2029 will not be issued on the following Thursday, since the Treasury will be closed due to Thanksgiving. Instead, the bill will be issued the next day on Friday. The bill will still expire three months later on the typical Thursday, but the total exposure period will be cut short one day.

For the February 2025 contract, the exposure period will be 92 days. The issue date of the underlying bill is assumed to be Thursday, March 20, 2025. 91 days past this date is June 19, 2025, or Juneteenth. To accommodate this holiday, the maturity date of the T-bill is pushed back to Friday, June 20, 2025, lengthening the exposure period to 92 days. 

In short, if the Thursday the bill is issued is a holiday, then the exposure period is 90 days, and if the Thursday that the bill matures is a holiday, then the exposure period is 92 days. 

The Department of the Treasury has not announced the auction schedule for many of the bills referred to in this guide. The dates are assumed based on past auction schedules. Please visit TreasuryDirect for officially scheduled auctions.

The reference quarter for Three-Month SOFR futures is defined as “the interval that ends on (and does not include) the third Wednesday of the contract delivery month, and that begins on (and includes) the third Wednesday of the third calendar month preceding the contract delivery month” according to the rulebook. 

The reference quarter for SOFR futures is typically around 91 days, however, depending on the IMM dates, the reference quarter may also be 84 or 98 days, or a one week deviation from 91 days. The discrepancy in dates occurs depending on the first day of the month. 

If the first day is a Wednesday, then the IMM period may stretch to 98 days. For the October 2025 contract, the Reference Quarter ends on the third Wednesday of the contract delivery month, January 21, 2026, and begins on the third Wednesday of the third calendar month preceding the contract delivery month, or October 15, 2025. The difference between these two dates is 98 days instead of the typical 91. 

If the first of the month is a Thursday or a Friday, then the IMM period may be shortened to 84 days. For the February 2029 contract, the Reference Quarter ends on the third Wednesday of the contract delivery month, May 16, 2029, and begins on the third Wednesday of the third calendar month preceding the contract delivery month, or February 21, 2029. The difference between these two dates is 84 days instead of the typical 91.

The hypothetical December 2024 SR3/TBF3 spread is shown below.

The futures on both legs are referred to as December contracts and their respective intervals of interest rate exposure almost perfectly overlap.

Discover additional details about T-Bill futures and SOFR futures.