U.S. T-Bill Futures - Contract Specs
| Contract Unit | $2,500 x contract-grade IMM Index |
|---|---|
| Price Quotation | 100 - R (where R=discount rate of the 13-week U.S. Treasury Bill Auction) |
| Trading Hours | CME Globex: Sunday - Friday 5:00 p.m. - 4:00 p.m. (6:00 p.m. - 5:00 p.m. ET) with a 60-minute break each day beginning at 4:00 p.m. (5:00 p.m. ET) CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. - 6:00 p.m. CT |
| Minimum Price Fluctuation | All contract months with one month or less until last day of trading (as defined in Rulebook section 45702.G): 0.0025 IMM Index points (¼ basis point per annum) = $6.25 All other contract months: 0.005 IMM Index points (½ basis point per annum) = $12.50 Min Final Settle Fluctuation: 0.001 IMM Index points |
| Product Code | CME Globex: TBF3 CME ClearPort: TBF3 Clearing: TBF3 |
| Listed Contracts | Quarterly contracts (Mar, Jun, Sep, Dec) listed for 4 consecutive quarters and the nearest 2 serial contract months |
| Settlement Method | Financially Settled |
| Floating Price | 13-week T-Bill yield |
| Termination of Trading | Trading terminates on the Monday prior to the 3rd Wednesday of contract month. If Monday is not a business day, then trading terminates on the next immediate business day. |
| Settlement Procedures | |
| Position Limits | |
| Exchange Rulebook | |
| Block Minimum | |
| Price Limit or Circuit | |
| Vendor Codes |
