Chapter 457
13-Week U.S. Treasury Bill Futures
45700.

SCOPE OF CHAPTER
This chapter is limited in application to 13-Week U.S. Treasury Bill Futures (“futures” or“contract”). In addition to this chapter, futures shall be subject to the general rules andregulations of the Exchange insofar as applicable.
Unless otherwise specified, times referenced herein shall indicate Central Prevailing Time(CPT).

45701.

CONTRACT SPECIFICATIONSEach contract is valued at $2,500 times the contract-grade IMM Index (Rule 45702.C.).

45702.

TRADING SPECIFICATIONS
45702.A. Trading Schedule
Contract months shall be scheduled for trading during such hours and for delivery in suchmonths as may be determined by the Exchange.
45702.B. Trading Unit
For a given contract month, the unit of trading shall be the discount rate interest based on the13-Week U.S. Department of Treasury Bill, for settlement in the same week as the contract’sexpiry, expressed as an interest rate per annum such that each basis point per annum ofinterest shall be worth $25 per futures contract.
45702.C. Price Basis and Minimum Price Increments
For a given contract month, prices shall be quoted and made in terms of the contract IMM
Index (“Index”), 100.0000 minus the 13-Week U.S. Department of Treasury Bill discount yieldrate per annum, as specified in Rule 45702.B.
Example: Where the value of such a discount yield rate is 5.280 percent per annum,
it shall be quoted as an Index value of 94.720.
The minimum price fluctuation shall be 0.005 Index points, equal to $12.50 per contract,provided that the minimum price fluctuation shall be 0.0025 Index points, equal to $6.25 percontract, for any contract month with one month or less until its termination of trading (Rule45702.G.), where the applicable one-month interval shall be defined so as to begin on theBusiness Day following the Friday prior to the third Wednesday of the month preceding themonth in which trading in such contract terminates.
45702.D. Position Limits, Exemptions, Position Accountability and Reportable Levels
The applicable position limits and/or accountability levels, in addition to the reportable levels,
are set forth in the Position Limit, Position Accountability and Reportable Level Table in theInterpretations & Special Notices Section of Chapter 5.
A Person seeking an exemption from position limits for bona fide commercial purposes shallapply to the Market Regulation Department on forms provided by the Exchange, and theMarket Regulation Department may grant qualified exemptions in its sole discretion.
Refer to Rule 559 for requirements concerning the aggregation of positions and allowable
exemptions from the specified position limits.
45702.E. Special Price Fluctuation Limits
At the commencement of each trading day, the contract shall be subject to special pricefluctuation limits as set forth in Rule 589 and in the Special Price Fluctuation Limits and DailyPrice Limits Table in the Interpretations & Special Notices Section of Chapter 5.
45702.F. [Reserved]
45702.G. Termination of Trading
Trading in an expiring contract shall terminate at 2:00 p.m. on the Monday of the same week
as the contract’s expiry. If the market is closed on Monday, trading in an expiring contract shallterminate at 2:00 p.m. on the Tuesday of the same week as the contract’s expiry.
45702.H. [Reserved]© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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45703.

SETTLEMENT PROCEDURES
Delivery shall be by cash settlement.
45703.A. Final Settlement Price
1. Definition of Final Settlement Price
The final settlement price shall be 100 minus the highest discount rate accepted, rounded to
the nearest 1/1,000th of a percentage point, in the U.S. Department of Treasury 13-week
U.S. Treasury Bill auction.
If the U.S. Department of Treasury 13-week U.S. Treasury Bill auction is delayed past thecontract’s last trade date/time or canceled, then the final settlement price shall be sourced fromthe Daily Treasury Bill Rates published by the U.S. Department of the Treasury, which
represents the daily secondary market quotations on the most recently auctioned 13-WeekU.S. Department of Treasury Bill, on the day of the initially proposed auction.
If the Daily Treasury Bill Rates published by the U.S. Department of the Treasury isunavailable, then the final settlement price shall be determined by the CME 3-Month Term
SOFR Benchmark Rate on the day of the originally scheduled auction, converted into a
discount rate.
45703.B. Final Settlement
Clearing members holding open positions in a contract at the time of termination of trading insuch contract shall make payment to or receive payment from the Clearing House inaccordance with normal variation performance bond procedures based on a settlement priceequal to the final settlement price.

45704.-35.

[RESERVED]© Copyright Chicago Mercantile Exchange, Inc. All rights reserved.

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