SUBMISSION COVER SHEET

IMPORTANT: Check box if Confidential Treatment is requested 

Registered Entity Identifier Code (optional): 23-344

Organization: Chicago Mercantile Exchange Inc. (“CME”) 

Filing as a: DCM SEF DCO SDR 

Please note - only ONE choice allowed.

Filing Date (mm/dd/yy): 09/14/23 Filing Description: Initial Listing of the 13-Week U.S. 

Treasury Bill Futures Contract

SPECIFY FILING TYPE 

Please note only ONE choice allowed per Submission.

Organization Rules and Rule Amendments

Certification § 40.6(a)

Approval § 40.5(a)

Notification § 40.6(d)

Advance Notice of SIDCO Rule Change § 40.10(a)

SIDCO Emergency Rule Change § 40.10(h)

Rule Numbers: 

New Product Please note only ONE product per Submission.

Certification § 40.2(a) 

Certification Security Futures § 41.23(a)

Certification Swap Class § 40.2(d)

Approval § 40.3(a)

Approval Security Futures § 41.23(b)

Novel Derivative Product Notification § 40.12(a)

Swap Submission § 39.5

Product Terms and Conditions (product related Rules and Rule Amendments)

Certification § 40.6(a) 

Certification Made Available to Trade Determination § 40.6(a)

Certification Security Futures § 41.24(a)

Delisting (No Open Interest) § 40.6(a) 

Approval § 40.5(a)

Approval Made Available to Trade Determination § 40.5(a)

Approval Security Futures § 41.24(c)

Approval Amendments to enumerated agricultural products § 40.4(a), § 40.5(a)

“Non-Material Agricultural Rule Change” § 40.4(b)(5)

Notification § 40.6(d)

Official Name(s) of Product(s) Affected: See filing.

Rule Numbers: See filing.
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Christopher Bowen 

Managing Director and Chief Regulatory Counsel

Legal Department

September 14, 2023

VIA ELECTRONIC PORTAL

Mr. Christopher J. Kirkpatrick

Office of the Secretariat

Commodity Futures Trading Commission

3 Lafayette Center

1155 21st Street NW

Washington, DC 20581

Re: CFTC Regulation 40.2(a) Certification. Initial Listing of the 13-Week U.S. Treasury Bill 

Futures Contract.

CME Submission No. 23-344

Dear Mr. Kirkpatrick:

Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) is certifying to the Commodity Futures Trading Commission 

(“CFTC”) the initial listing of the 13-Week U.S. Treasury Bill Futures contract (the “Contract”) for trading on the CME 

Globex electronic trading platform (“CME Globex”) and for submission for clearing via CME ClearPort effective Sunday, 

October 1, 2023 for trade date Monday, October 2, 2023. 

Contract Title CME Rulebook 

Chapter

CME Globex

and

CME ClearPort

Code

13-Week U.S. Treasury Bill Futures 457 TBF3
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Section 1 – Contract Specifications 

Contract Title 13-Week U.S. Treasury Bill Futures

Rulebook Chapter 457

Commodity Code TBF3

Trading Unit Interest based on the discount rate of the 13- week U.S. Treasury bill auction, such that each 

basis point per annum of interest = $25 per contract

Price Basis

Contract-grade IMM Index=100 minus R

R= discount rate of the 13-week U.S. Treasury bill auction

Example: Contract price of 97.2800 IMM Index points signifies contract rate, R, of 2.7200 

percent per annum.

Contract Size $2500 X Contract-grade IMM Index

Minimum Price Increment

All contract months with one month or less until Last Day of Trading: 0.0025 IMM Index points 

(1⁄4 basis point per annum) equal to $6.25 per contract

All other contract months: 0.005 IMM Index points (1⁄2 basis point per annum) equal to $12.50 

per contract

Listing Schedule

4 “quarterly” contract months set to expire on the Monday preceding the 3rd Wednesday of 

March/June/September/December

2 “serial” contract months set to expire on the Monday preceding the 3rd Wednesday of serial 

month

Initial Listing TBF3V3, TBF3X3, TBF3Z3, TBF3H4, TBF3M4, TBF3U4

Termination of Trading

Last Day of Trading: Monday prior to the third Wednesday (IMM Wednesday) (or Tuesday if 

Monday is not a business day) of the contract month

Termination of Trading: 2:00 p.m. Central Prevailing Time (CPT) on the Last Day of Trading

Delivery

Cash settlement in USD, by reference to Final Settlement Price, on Last Day of Trading

Final Settlement Price: Contract-grade IMM Index 100 minus R where:

R= high discount rate of the 13-week Treasury bill competitive auction

Trading and Clearing 

Hours

CME Globex Pre-Open: Sunday: 4:00 p.m.-5:00 p.m. Central Time (CT)

Monday-Thursday: 4:45 p.m.- 5:00 p.m. CT

CME Globex: Sunday - Friday 5:00 p.m.-4:00 p.m. CT with a 60-minute break

each day beginning at 4:00 p.m. CT

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

Block Trade Minimum 

Threshold

100 contracts - subject to reporting window: 5 minutes RTH / 15 minutes ATH and ETH
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Section 2 – Overview of U.S. Department of Treasury Bills

The United States Department of Treasury (“U.S. Treasury”) securities market is one of the largest and most liquid debt 

markets in the world. The size of the outstanding U.S. Treasury securities reflects the scale of the government's 

borrowing needs and its role in funding various programs and obligations. 

The U.S. Treasury securities market is a cornerstone of the global financial system, serving as a benchmark for interest 

rates, a safe haven for investors seeking stable returns, and a key reference point for various other financial 

instruments. The size of the market highlights the U.S. Treasury's critical role in providing a risk-free asset that anchors 

financial markets, influences monetary policy decisions, and plays a pivotal role in shaping global financial stability.

The U.S. Treasury bills (“T-bills”) are short-term fixed income securities with original maturities of 4-, 8-, 13-, 17-, 26-, 

and 52-weeks. T-bills do not pay periodic interest payments, like notes or bonds, but they are auctions off to investors 

at a discount rate. The difference between the face value of the bills and the discount price paid is the return on 

investment. Since T-bills are backed by the United States government, defaulting is highly unlikely. 

The concept of T-bills dates back to the early 20th century when the U.S. Treasury introduced short-term debt securities 

as a way to fund government operations and manage its cash flows. T-bills were initially introduced with varying 

maturities, and the 13-Week T-bill emerged as one of the most popular and widely traded options due to its short-term 

nature and liquidity. Regular issuance of 13-Week T-bills began on December 17, 1929 and is continuing.

As a key component of the U.S. Treasury's debt issuance strategy, the 13-Week T-bill plays a vital role in the broader 

financial markets. The regular issuance of the 13-Week T-bills and their auction process contribute to the government's 

financing needs and facilitate the functioning of short-term interest rate markets. The demand for 13-Week T-bills is 

often influenced by prevailing economic conditions, monetary policy decisions, and investor risk appetite, making them 

an integral part of the financial landscape.

The U.S. Treasury established a regular auction schedule for T-bills, including the 13-week maturity. This move 

provided a more structured and predictable way for the government to issue T-bills and for investors to acquire them. 

The introduction of regular auctions further enhanced the liquidity and accessibility of these short-term securities.

Exhibit 1—Outstanding U.S. Treasury Securities Breakdown (Q2 2023), Blns

Source: SIFMA

CME Globex Matching 

Algorithm

A-Allocation
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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As provided in Exhibit 1 above, T-bills account for approximately 18% of the outstanding U.S. Treasury issuance, with 

an outstanding issuance of $4,467B. Year over year, T-bills have increased by 26.8%, the largest increase out of all 

U.S. Treasury securities (see Exhibit 2).

Exhibit 2—Year over Year Change in Outstanding U.S. Treasury Securities (Q2 2023)

Bills Notes Bonds TIPS FRN Total

2Q23 26.8% 1.0% 10.7% 7.1% -6.4% 6.8%

Source: SIFMA

In an auction, the U.S. Treasury accepts all non-competitive bids first, and then proceeds to accept competitive bids 

based on their rate, yield, or discount margin until the amount of the offering has been awarded. Successful bids all 

result in the same rate, yield, or discount margin as the highest accepted bid. All auctions are open to the public. For 

more information regarding U.S. Treasury auctions, please visit TreasuryDirect.

Settlement Method

The Contract will focus on the 13-Week T-bill. The 13-Week T-bill auctions are held on a weekly basis, being announced 

on a Thursday, auctioned the following Monday, and is subsequently settled on the Thursday following the Monday 

auction. From time to time the 13-Week T- bill auction date is changed, typically if Monday is not a business day. For 

example, the 13-Week T-bill that has a Settlement date of Thursday, September 7, 2023, is scheduled to be auctioned 

on Tuesday, September 5, 2023, since Monday, September 4, 2023, is Labor Day which is a federal holiday. A Tentative 

Auction Schedule published by the U.S. Treasury provides the Announcement Date, Auction Date, and Settlement 

Date of all T-bills. 

The auction results for the 13-Week T-bill are typically released at 11:30 a.m. Eastern Prevailing Time (“EPT”), although 

there are instances where more than two (2) T-bills of different maturities are auctioned on the same day. In this 

situation, the 13-Week T-bill auction results could possibly be released at 1:00 p.m. EPT. From time to time, a T-bill

could be auctioned earlier in the morning of the Auction Date, thus resulting in a 10:00 a.m. EPT close of auction. This 

usually occurs around a holiday. Any deviation from the regularly scheduled 11:30 a.m. EPT close is communicated by 

the Department of the Treasury via Special Announcement. TreasuryDirect posts their on-the-run auction results as 

well as their upcoming auctions. To view historical auctions results, visit the Auction Search.

If the 13-Week T-bill auction is delayed past the contract month of the Contract’s last trade date/time or canceled, then 

the final settlement price shall be sourced from the Daily Treasury Bill Rates published by the U.S. Treasury, which 

represents the daily secondary market quotations on the most recently auctioned 13-Week T-bill, on the day of the 

initially proposed auction.

If the Daily Treasury Bill Rates published by the U.S. Treasury is unavailable, then the final settlement price shall be 

determined by CME 3-Month Term SOFR Benchmark Rate on the day of the originally scheduled auction, converted 

into a discount rate. 

The last day of trading will be the Monday prior to the third Wednesday (IMM Wednesday) (or Tuesday if Monday is 

not a business day) of the contract month, with availability of trading continuing until 2:00 p.m. Central Prevailing Time. 

Due to the nature of the 13-Week T-bill auction, the termination of trading will occur after the final settlement value of 

the Contract is known. This is to accommodate any variability with the auction closing times. There shall be no notice 

or delivery period, as the Contract will be cash settled.

A history of the 13-Week T-bill issuance is demonstrated below in Exhibit 3.
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Exhibit 3: Treasury Auction Sizes (August 10, 2020, to August 7, 2023)

Source: U.S. Department of Treasury

Over the past 3 years, issuance of 13-Week T-bills has remained consistently high, with the lowest values hovering 

above $45B. 

Primary dealers are firms that buy government securities, such as 13-Week T-bills directly from the government to 

resell them to others. They function as a market maker of government securities and are permitted to trade directly with 

the Federal Reserve. Due to their role, they are a large participant in the Treasury auction. In Exhibit 4, their portion of 

the issuance is seen below in the section labeled Primary Dealer Accepted. 

Exhibit 4: Treasury Auction Competitive Breakdown (August 2020 to August 2023)

Source: U.S. Department of the Treasury
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Throughout the multiple stages of monetary policy over the past 3 years, 13-Week T-bill issuance has remained 

consistently high. The lowest competitive auction had an issuance of at least $41B, and the lowest amount issued to 

Primary Dealers was $13B. A summary of issuance breakdown is shown below in Exhibit 5:

Exhibit 5: Treasury Auction Sizes (August 2020 to August 2023)

Source: U.S. Department of Treasury

In Exhibit 6 below, the 13-Week T-bill rate is compared with the Overnight SOFR rate over the past 3 years:

Exhibit 6: 13-week U.S. Treasury Bill Rate vs Overnight SOFR (August 2020 to August 2023)

Source: U.S. Department of the Treasury, Federal Reserve Bank of New York

Assessment of Fallbacks for 13-Week U.S. Treasury Bill Futures

The Exchanged compared the 13-Week T-bill auction rate to the two proposed fallbacks since January 2019. Fallback 

1 produced a correlation of 99.996% for the last four and half years. Similarly, Fallback 2 was only slightly worse with 

a correlation of 99.901% over the weekly history in the chart below.

CUSIP Direct Bidder 

Accepted

Indirect Bidder 

Accepted

Primary Dealer 

Accepted

Competitive 

Accepted

Min 1,134,540,000 8,442,805,000 13,093,450,000 41,361,874,100 

Q 1 2,100,000,000 23,199,616,800 20,106,200,000 52,343,829,700 

Median 2,702,964,000 27,148,989,500 23,748,404,000 53,363,784,400 

Q 3 3,807,500,000 30,632,805,100 26,643,250,000 56,166,650,600 

Max 11,566,140,000 41,006,390,500 33,781,045,000 64,232,883,200 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

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Exhibit 7: Weekly 13-wk Treasury Bill Auction Rate and 2 Fallbacks (Jan 2019-Jul 2023)

Sources: TreasuryDirect, Daily Treasury Bill Rates, Bloomberg

Daily Treasury Bill Rates

These rates are the daily secondary market quotations on the most recently auctioned T-bills for each maturity tranche 

(4-week, 8-week, 13-week, 17-week, 26-week, and 52-week) for which the U.S. Treasury currently issues new T-bills. 

Market quotations are obtained at approximately 3:30 p.m. EPT each business day by the Federal Reserve Bank of 

New York. The Bank Discount rate is the rate at which a T-bill is quoted in the secondary market and is based on the 

par value, amount of the discount and a 360-day year. The Coupon Equivalent, also called the Bond Equivalent, or the 

Investment Yield, is the T-bill's yield based on the purchase price, discount, and a 365- or 366-day year. The Coupon

Equivalent can be used to compare the yield on a discount bill to the yield on a nominal coupon security that pays 

semiannual interest with the same maturity date. Additional information regarding these statistics may be obtained by 

contacting the Office of Debt Management.

Source: U.S. Department of the Treasury

CME Term SOFR Reference Rates Benchmark Values

CME Term SOFR Reference Rates Benchmark (“CME Term SOFR Rate”) is the only USD Term Rate formally 

endorsed and recommended for use by the Alternative Reference Rate Committee (“ARRC”). On May 21, 2021, the 

ARRC announced its selection of CME Group as the sole administrator of Term SOFR Rates. On July 29, 2021, the 

ARRC formally recommended CME Term SOFR, available in 1-, 3-, and 6-month for use in cash market financial 

instruments. More recently, the ARRC updated its endorsement to include the 12-month tenor, providing market 

participants transparent and well-built SOFR term rates supported by enormous transactional volumes.

CME Term SOFR Rate is regulated under UK Benchmarks Regulation (“UK BMR”) and is International Organization 

of Securities (“IOSCO”) compliant, requiring strict governance for benchmarks that include methodology, an oversight 

committee, and regular third party audits. CME Group Benchmark Administration Limited (“CBA”) is a registered 

Benchmark Administrator under UK BMR and is authorized and supervised by the UK Financial Conduct Authority 

(“FCA”).

 

CME Term SOFR Rate has a highly robust calculation methodology. The methodology strength was noted by ARRC 

in its original endorsement statement: The ARRC identified CME Group’s submission as the strongest proposal after 

a thorough evaluation of the request for proposal responses. The ARRC evaluated proposals based on four specific 

criteria: technical criteria, firm criteria, public policy criteria, and calculation methodology criteria. The ARRC has 

conclusively identified CME Group’s proposal as having most effectively met those criteria.
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The methodology highlights that the inputs to the calculation to produce the ARRC approved forward-looking term rate 

are based on deep trading from the first thirteen (13) listed contract months of the CME One-Month Futures and first 

five (5) listed contract months of the CME Three-Month SOFR Futures contracts (collectively, “CME SOFR Futures”). 

The methodology elegantly captures the markets view of the term interest rate structure of the trillions of dollars 

underling both the overnight SOFR (as produced by the Federal Reserve Bank of New York) and CME SOFR Futures.

CME Term SOFR Rate is built on deep, liquid, transactional volumes across the trading day of thousands of trades and 

trillions of dollars. CME Term SOFR Rate is calculated using CME SOFR Futures trading activity. In Q4 2022, average 

daily volume underlying the calculation of CME Term SOFR Rate was over $1.6 trillion.

In our fallback, the Exchanged determined that the CME 3-Month Term SOFR Rate is most closely aligned with the 13-

Week T-bill. The Exchange shall utilize the CME 3-Month Term SOFR Rate on the day of the scheduled auction and 

convert it to a discount rate to make it consistent with the pricing in the T-bill market.

Source: CME Group

Section 3 – Compliance with Core Principles

The Exchange reviewed the designated contract market core principles (“Core Principles”) as set forth in the 

Commodity Exchange Act (“CEA” or “Act”) and identified that the Contract may have some bearing on the following 

Core Principles: 

Core Principle 2 – Compliance with Rules

Trading in the Contract shall be subject to:

• CME Rulebook Chapter 4, which includes prohibitions against fraudulent, noncompetitive, unfair, and abusive 

practices.

• the Exchange’s trade practice rules, the majority of which are contained in Chapter 5 and Chapter 8 of the 

Rulebook; and

• monitoring and surveillance by CME Group’s Market Regulation Department, which has the authority to 

exercise its investigatory and enforcement power where potential rule violations are identified. 

Core Principle 3 - Contracts Not Readily Subject to Manipulation

The Contract will reference the high discount rate on the 13-Week T-bill competitive auction, a substantially sized 

transaction pool. The U.S. Treasury holds an auction for the 13-Week T-bills on a weekly basis. Typically, the 13-Week 

T-bill is announced on Thursday and is subsequently auctioned on the following Monday. 

Both the auction size itself and the application in connection with the Contract possess more than sufficient integrity to 

deflect attempted cornering, manipulation, crowding, or exertion of undue influence upon final settlement of expiring 

Contract months. 

Indicative sizes for recent auctions are included below:

Exhibit 8: Treasury Auction Sizes (August 10, 2020 to August 7, 2023)

CUSIP Security Type Security Term Auction Date Issue Date Maturity Date Total Accepted 

912797FJ1 Bill 13-week 8/7/2023 8/10/2023 11/9/2023 $73,375,288,300.00 

912796YT0 Bill 13-week 7/31/2023 8/3/2023 11/2/2023 $73,060,795,200.00 

912797FC6 Bill 13-week 7/24/2023 7/27/2023 10/26/2023 $70,005,471,100.00 

912797FB8 Bill 13-week 7/17/2023 7/20/2023 10/19/2023 $70,174,561,800.00 

912797FA0 Bill 13-week 7/10/2023 7/13/2023 10/12/2023 $70,131,709,000.00 

912796YJ2 Bill 13-week 7/3/2023 7/6/2023 10/5/2023 $70,472,303,100.00 
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912796CS6 Bill 13-week 6/26/2023 6/29/2023 9/28/2023 $70,173,092,600.00 

912796CR8 Bill 13-week 6/20/2023 6/22/2023 9/21/2023 $66,371,035,600.00 

912796CQ0 Bill 13-week 6/12/2023 6/15/2023 9/14/2023 $68,863,157,400.00 

912796YH6 Bill 13-week 6/5/2023 6/8/2023 9/7/2023 $68,317,673,900.00 

912796Z51 Bill 13-week 5/30/2023 6/1/2023 8/31/2023 $68,034,141,100.00 

912796Z44 Bill 13-week 5/22/2023 5/25/2023 8/24/2023 $62,835,029,600.00 

912796Z36 Bill 13-week 5/15/2023 5/18/2023 8/17/2023 $64,462,088,300.00 

912796XY0 Bill 13-week 5/8/2023 5/11/2023 8/10/2023 $63,528,041,400.00 

912796Y37 Bill 13-week 5/1/2023 5/4/2023 8/3/2023 $65,414,661,400.00 

912796Y29 Bill 13-week 4/24/2023 4/27/2023 7/27/2023 $63,209,278,500.00 

912796ZZ5 Bill 13-week 4/17/2023 4/20/2023 7/20/2023 $63,555,402,200.00 

912796XQ7 Bill 13-week 4/10/2023 4/13/2023 7/13/2023 $62,737,063,000.00 

912796ZS1 Bill 13-week 4/3/2023 4/6/2023 7/6/2023 $63,624,401,900.00 

912796ZR3 Bill 13-week 3/27/2023 3/30/2023 6/29/2023 $63,314,645,300.00 

912796ZQ5 Bill 13-week 3/20/2023 3/23/2023 6/22/2023 $58,720,480,500.00 

912796X53 Bill 13-week 3/13/2023 3/16/2023 6/15/2023 $61,146,933,400.00 

912796ZP7 Bill 13-week 3/6/2023 3/9/2023 6/8/2023 $61,042,303,800.00 

912796ZG7 Bill 13-week 2/27/2023 3/2/2023 6/1/2023 $66,194,689,400.00 

912796ZF9 Bill 13-week 2/21/2023 2/23/2023 5/25/2023 $66,130,221,500.00 

912796W47 Bill 13-week 2/13/2023 2/16/2023 5/18/2023 $67,546,831,900.00 

912796ZE2 Bill 13-week 2/6/2023 2/9/2023 5/11/2023 $66,608,638,800.00 

912796YW3 Bill 13-week 1/30/2023 2/2/2023 5/4/2023 $68,544,876,600.00 

912796YV5 Bill 13-week 1/23/2023 1/26/2023 4/27/2023 $66,418,057,500.00 

912796V48 Bill 13-week 1/17/2023 1/19/2023 4/20/2023 $66,464,967,700.00 

912796YU7 Bill 13-week 1/9/2023 1/12/2023 4/13/2023 $62,863,425,100.00 

912796YN3 Bill 13-week 1/3/2023 1/5/2023 4/6/2023 $60,930,366,400.00 

912796YM5 Bill 13-week 12/27/2022 12/29/2022 3/30/2023 $61,148,329,600.00 

912796U31 Bill 13-week 12/19/2022 12/22/2022 3/23/2023 $55,838,198,500.00 

912796YL7 Bill 13-week 12/12/2022 12/15/2022 3/16/2023 $58,686,117,500.00 

912796YK9 Bill 13-week 12/5/2022 12/8/2022 3/9/2023 $58,594,283,100.00 

912796YB9 Bill 13-week 11/28/2022 12/1/2022 3/2/2023 $60,872,161,100.00 

912796T33 Bill 13-week 11/21/2022 11/25/2022 2/23/2023 $60,279,573,500.00 

912796YA1 Bill 13-week 11/14/2022 11/17/2022 2/16/2023 $64,759,447,700.00 

912796XZ7 Bill 13-week 11/7/2022 11/10/2022 2/9/2023 $63,861,762,800.00 
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912796XT1 Bill 13-week 10/31/2022 11/3/2022 2/2/2023 $65,810,279,400.00 

912796S34 Bill 13-week 10/24/2022 10/27/2022 1/26/2023 $63,358,610,400.00 

912796XS3 Bill 13-week 10/17/2022 10/20/2022 1/19/2023 $63,487,091,100.00 

912796XR5 Bill 13-week 10/11/2022 10/13/2022 1/12/2023 $62,960,089,000.00 

912796X95 Bill 13-week 10/3/2022 10/6/2022 1/5/2023 $60,778,726,600.00 

912796R27 Bill 13-week 9/26/2022 9/29/2022 12/29/2022 $60,889,604,600.00 

912796X87 Bill 13-week 9/19/2022 9/22/2022 12/22/2022 $55,759,935,200.00 

912796X79 Bill 13-week 9/12/2022 9/15/2022 12/15/2022 $58,533,971,700.00 

912796X61 Bill 13-week 9/6/2022 9/8/2022 12/8/2022 $58,386,270,100.00 

912796P94 Bill 13-week 8/29/2022 9/1/2022 12/1/2022 $60,577,571,100.00 

912796W70 Bill 13-week 8/22/2022 8/25/2022 11/25/2022 $60,144,880,400.00 

912796W62 Bill 13-week 8/15/2022 8/18/2022 11/17/2022 $61,489,266,900.00 

912796W54 Bill 13-week 8/8/2022 8/11/2022 11/10/2022 $60,472,603,100.00 

912796N96 Bill 13-week 8/1/2022 8/4/2022 11/3/2022 $62,447,681,800.00 

912796V71 Bill 13-week 7/25/2022 7/28/2022 10/27/2022 $61,440,560,900.00 

912796V63 Bill 13-week 7/18/2022 7/21/2022 10/20/2022 $61,700,455,500.00 

912796V55 Bill 13-week 7/11/2022 7/14/2022 10/13/2022 $57,822,865,700.00 

912796M89 Bill 13-week 7/5/2022 7/7/2022 10/6/2022 $52,331,324,700.00 

912796U64 Bill 13-week 6/27/2022 6/30/2022 9/29/2022 $53,126,280,300.00 

912796U56 Bill 13-week 6/21/2022 6/23/2022 9/22/2022 $47,066,964,700.00 

912796U49 Bill 13-week 6/13/2022 6/16/2022 9/15/2022 $50,218,604,600.00 

912796M71 Bill 13-week 6/6/2022 6/9/2022 9/8/2022 $50,179,614,600.00 

912796T66 Bill 13-week 5/31/2022 6/2/2022 9/1/2022 $52,784,659,100.00 

912796T58 Bill 13-week 5/23/2022 5/26/2022 8/25/2022 $50,751,096,900.00 

912796T41 Bill 13-week 5/16/2022 5/19/2022 8/18/2022 $51,853,274,100.00 

912796L64 Bill 13-week 5/9/2022 5/12/2022 8/11/2022 $51,221,244,600.00 

912796S67 Bill 13-week 5/2/2022 5/5/2022 8/4/2022 $53,000,294,900.00 

912796S59 Bill 13-week 4/25/2022 4/28/2022 7/28/2022 $58,020,377,300.00 

912796S42 Bill 13-week 4/18/2022 4/21/2022 7/21/2022 $64,374,414,700.00 

912796K57 Bill 13-week 4/11/2022 4/14/2022 7/14/2022 $64,073,918,900.00 

912796R68 Bill 13-week 4/4/2022 4/7/2022 7/7/2022 $64,828,618,200.00 

912796R50 Bill 13-week 3/28/2022 3/31/2022 6/30/2022 $65,513,537,000.00 

912796R43 Bill 13-week 3/21/2022 3/24/2022 6/23/2022 $59,185,723,300.00 

912796J42 Bill 13-week 3/14/2022 3/17/2022 6/16/2022 $65,702,837,400.00 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

11

912796R35 Bill 13-week 3/7/2022 3/10/2022 6/9/2022 $65,398,391,100.00 

912796Q44 Bill 13-week 2/28/2022 3/3/2022 6/2/2022 $68,021,883,300.00 

912796Q36 Bill 13-week 2/22/2022 2/24/2022 5/26/2022 $66,086,249,400.00 

912796H44 Bill 13-week 2/14/2022 2/17/2022 5/19/2022 $67,601,899,500.00 

912796Q28 Bill 13-week 2/7/2022 2/10/2022 5/12/2022 $66,488,048,400.00 

912796P45 Bill 13-week 1/31/2022 2/3/2022 5/5/2022 $68,258,089,900.00 

912796P37 Bill 13-week 1/24/2022 1/27/2022 4/28/2022 $67,303,430,600.00 

912796G45 Bill 13-week 1/18/2022 1/20/2022 4/21/2022 $67,428,465,600.00 

912796P29 Bill 13-week 1/10/2022 1/13/2022 4/14/2022 $66,765,659,500.00 

912796N47 Bill 13-week 1/3/2022 1/6/2022 4/7/2022 $67,465,952,300.00 

912796N39 Bill 13-week 12/27/2021 12/30/2021 3/31/2022 $68,467,986,700.00 

912796F38 Bill 13-week 12/20/2021 12/23/2021 3/24/2022 $62,130,234,400.00 

912796N21 Bill 13-week 12/13/2021 12/16/2021 3/17/2022 $62,587,247,300.00 

912796M97 Bill 13-week 12/6/2021 12/9/2021 3/10/2022 $62,159,982,200.00 

912796L98 Bill 13-week 11/29/2021 12/2/2021 3/3/2022 $64,856,704,600.00 

912796D30 Bill 13-week 11/22/2021 11/26/2021 2/24/2022 $62,625,667,100.00 

912796L80 Bill 13-week 11/15/2021 11/18/2021 2/17/2022 $64,340,059,600.00 

912796L72 Bill 13-week 11/8/2021 11/12/2021 2/10/2022 $60,232,111,200.00 

912796K99 Bill 13-week 11/1/2021 11/4/2021 2/3/2022 $62,112,052,400.00 

912796C31 Bill 13-week 10/25/2021 10/28/2021 1/27/2022 $60,651,575,600.00 

912796K81 Bill 13-week 10/18/2021 10/21/2021 1/20/2022 $54,982,479,500.00 

912796K73 Bill 13-week 10/12/2021 10/14/2021 1/13/2022 $48,266,038,200.00 

912796K65 Bill 13-week 10/4/2021 10/7/2021 1/6/2022 $48,956,802,600.00 

912796A90 Bill 13-week 9/27/2021 9/30/2021 12/30/2021 $49,215,240,000.00 

912796J75 Bill 13-week 9/20/2021 9/23/2021 12/23/2021 $46,990,297,300.00 

912796J67 Bill 13-week 9/13/2021 9/16/2021 12/16/2021 $53,293,808,200.00 

912796J59 Bill 13-week 9/7/2021 9/9/2021 12/9/2021 $56,129,823,600.00 

9127965G0 Bill 13-week 8/30/2021 9/2/2021 12/2/2021 $58,423,042,600.00 

912796H77 Bill 13-week 8/23/2021 8/26/2021 11/26/2021 $56,643,680,400.00 

912796H69 Bill 13-week 8/16/2021 8/19/2021 11/18/2021 $58,141,795,900.00 

912796H51 Bill 13-week 8/9/2021 8/12/2021 11/12/2021 $60,110,309,300.00 

9127964W6 Bill 13-week 8/2/2021 8/5/2021 11/4/2021 $61,590,204,400.00 

912796G78 Bill 13-week 7/26/2021 7/29/2021 10/28/2021 $60,739,163,000.00 

912796G60 Bill 13-week 7/19/2021 7/22/2021 10/21/2021 $61,159,064,400.00 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

12

912796G52 Bill 13-week 7/12/2021 7/15/2021 10/14/2021 $60,620,186,300.00 

9127964V8 Bill 13-week 7/6/2021 7/8/2021 10/7/2021 $64,235,953,000.00 

912796F61 Bill 13-week 6/28/2021 7/1/2021 9/30/2021 $64,936,522,900.00 

912796F53 Bill 13-week 6/21/2021 6/24/2021 9/23/2021 $59,059,383,700.00 

912796F46 Bill 13-week 6/14/2021 6/17/2021 9/16/2021 $62,586,584,200.00 

9127964L0 Bill 13-week 6/7/2021 6/10/2021 9/9/2021 $61,905,656,900.00 

912796D63 Bill 13-week 6/1/2021 6/3/2021 9/2/2021 $64,563,297,700.00 

912796D55 Bill 13-week 5/24/2021 5/27/2021 8/26/2021 $62,296,484,100.00 

912796D48 Bill 13-week 5/17/2021 5/20/2021 8/19/2021 $64,142,662,400.00 

9127964B2 Bill 13-week 5/10/2021 5/13/2021 8/12/2021 $62,974,948,700.00 

912796C64 Bill 13-week 5/3/2021 5/6/2021 8/5/2021 $64,879,270,300.00 

912796C56 Bill 13-week 4/26/2021 4/29/2021 7/29/2021 $63,147,785,700.00 

912796C49 Bill 13-week 4/19/2021 4/22/2021 7/22/2021 $63,723,248,000.00 

9127963S6 Bill 13-week 4/12/2021 4/15/2021 7/15/2021 $63,244,401,400.00 

912796B57 Bill 13-week 4/5/2021 4/8/2021 7/8/2021 $64,539,837,500.00 

912796B40 Bill 13-week 3/29/2021 4/1/2021 7/1/2021 $63,856,673,500.00 

912796B32 Bill 13-week 3/22/2021 3/25/2021 6/24/2021 $59,028,377,200.00 

9127963H0 Bill 13-week 3/15/2021 3/18/2021 6/17/2021 $61,933,274,900.00 

912796B24 Bill 13-week 3/8/2021 3/11/2021 6/10/2021 $59,163,278,500.00 

912796A41 Bill 13-week 3/1/2021 3/4/2021 6/3/2021 $61,246,205,600.00 

912796A33 Bill 13-week 2/22/2021 2/25/2021 5/27/2021 $59,992,782,400.00 

9127962Y4 Bill 13-week 2/16/2021 2/18/2021 5/20/2021 $61,118,411,600.00 

912796A25 Bill 13-week 2/8/2021 2/11/2021 5/13/2021 $60,098,038,400.00 

9127965A3 Bill 13-week 2/1/2021 2/4/2021 5/6/2021 $61,277,647,400.00 

9127964Z9 Bill 13-week 1/25/2021 1/28/2021 4/29/2021 $61,364,669,700.00 

9127962Q1 Bill 13-week 1/19/2021 1/21/2021 4/22/2021 $61,621,441,600.00 

9127964Y2 Bill 13-week 1/11/2021 1/14/2021 4/15/2021 $60,574,699,500.00 

9127964X4 Bill 13-week 1/4/2021 1/7/2021 4/8/2021 $60,936,717,500.00 

9127964P1 Bill 13-week 12/28/2020 12/31/2020 4/1/2021 $63,102,584,800.00 

9127962F5 Bill 13-week 12/21/2020 12/24/2020 3/25/2021 $56,099,849,100.00 

9127964N6 Bill 13-week 12/14/2020 12/17/2020 3/18/2021 $59,529,720,000.00 

9127964M8 Bill 13-week 12/7/2020 12/10/2020 3/11/2021 $58,645,758,000.00 

9127964F3 Bill 13-week 11/30/2020 12/3/2020 3/4/2021 $61,919,742,200.00 

912796XE4 Bill 13-week 11/23/2020 11/27/2020 2/25/2021 $58,574,128,300.00 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

13

9127964D8 Bill 13-week 11/16/2020 11/19/2020 2/18/2021 $61,293,256,700.00 

9127964C0 Bill 13-week 11/9/2020 11/12/2020 2/11/2021 $59,862,366,600.00 

9127963W7 Bill 13-week 11/2/2020 11/5/2020 2/4/2021 $62,539,888,100.00 

912796UC1 Bill 13-week 10/26/2020 10/29/2020 1/28/2021 $58,879,960,100.00 

9127963V9 Bill 13-week 10/19/2020 10/22/2020 1/21/2021 $60,910,114,000.00 

9127963U1 Bill 13-week 10/13/2020 10/15/2020 1/14/2021 $59,913,515,800.00 

9127963T4 Bill 13-week 10/5/2020 10/8/2020 1/7/2021 $62,203,365,700.00 

912796TY5 Bill 13-week 9/28/2020 10/1/2020 12/31/2020 $58,499,048,800.00 

9127963L1 Bill 13-week 9/21/2020 9/24/2020 12/24/2020 $56,015,119,800.00 

9127963K3 Bill 13-week 9/14/2020 9/17/2020 12/17/2020 $58,313,812,700.00 

9127963J6 Bill 13-week 9/8/2020 9/10/2020 12/10/2020 $59,711,327,900.00 

912796TU3 Bill 13-week 8/31/2020 9/3/2020 12/3/2020 $60,532,375,800.00 

9127963B3 Bill 13-week 8/24/2020 8/27/2020 11/27/2020 $58,461,782,400.00 

9127963A5 Bill 13-week 8/17/2020 8/20/2020 11/19/2020 $60,932,576,800.00 

9127962Z1 Bill 13-week 8/10/2020 8/13/2020 11/12/2020 $60,347,426,900.00 

Source: U.S. Department of Treasury

As detailed in Exhibit 8, 13-Week T-bill issuance is supported by a massive issuance amount, issued by the U.S. 

Treasury. 

Final settlement prices for the Contract shall be based on the high discount rate accepted on the day of the auction. 

Since T-bills are backed by the United States government, it is considered a risk-free rate.

In view of these considerations, both the 13-Week T-bill itself and its application in connection with the Contract possess 

more than sufficient integrity to deflect attempted cornering, manipulation, crowding, or exertion of undue influence 

upon final settlement of expiring Contract months.

Core Principle 4 – Prevention of Market Disruption

Trading in the Contract shall be subject to CME Rulebook Chapters 4 and 7, which include prohibitions on manipulation, 

price distortion, and disruption to the expiration process. As with any product listed for trading on a CME Group 

designated contract market, futures trading activity shall be subject to monitoring and surveillance by CME Group’s 

Market Regulation Department.

Core Principle 5 – Position Limits or Accountability

The Contract shall be subject to a Position Reporting Level of 100 contracts, a Single-Month Position Accountability 

Level of 10,000 net futures contract equivalents, and an All-Month Position Accountability Level of 10,000 net futures 

contract equivalents.

To appreciate the proportions of the Position Accountability standards, assume that the representative issuance level 

is around $61.6 billion per day (equal to the median total accepted value during the 3-year historical interval in Exhibit 

6). Relative to this trading flow, the hypothetical holdings reflected in the Position Accountability Levels for the Contract 

signify 16 percent.

Core Principle 7 – Availability of General Information

The Exchange disseminated a Special Executive Report (“SER”) that sets forth information regarding the specifications, 

terms, and conditions of the Contract. The SER is also be posted on CME Group’s website. 
300 Vesey Street New York, NY 10282 T 212 299 2200 F 212 301 4645 christopher.bowen@cmegroup.com cmegroup.com

14

Core Principle 8 – Daily Publication of Trading Information

The Exchange shall publish trading volumes, open interest levels, and price information for the Contract daily on its 

website and through quote vendors.

Core Principle 9 – Execution of Transactions

The Contract will be available for trading on CME Globex, which provides for efficient, competitive, and open execution 

of transactions. Additionally, CME Globex affords reliability and global connectivity. The applicable CME Globex nonreviewable trading ranges shall be as set forth in Appendix C. The Contract will also be available for clearing via CME 

ClearPort. 

Core Principle 10 – Trade Information

All requisite trade information will be included in the audit trail and will suffice for the Market Regulation Department to 

monitor for market abuse.

Core Principle 11 – Financial Integrity of Contracts

The transactions in the Contract will be cleared by CME Clearing, which is registered with the Commission as a 

derivatives clearing organization, and which is subject to all CFTC regulations related thereto.

Core Principle 12 – Protection of Markets and Market Participants

CME Rulebook Chapters 4 and 5 set forth multiple strictures that preclude intermediaries from disadvantaging their 

customers. These Rules apply to trading in all of the Exchange’s competitive trading venues and will apply to 

transactions in the Contract.

Core Principle 13 – Disciplinary Procedures

CME Rulebook Chapter 4 provides for the Exchange to discipline, suspend, or expel members or market participants 

who violate the rules of the Exchange. Trading in the Contract will be subject to these provisions. The Exchange’s 

Market Regulation Department has the authority to exercise its powers of enforcement, in the event that rule violations 

in the Contract are identified.

Core Principle 14 – Dispute Resolution

Disputes in respect of the Contract are subject to the arbitration provisions set forth in CME Rulebook Chapter 6, which 

allow all nonmembers to submit to arbitration claims for financial loss resulting from transactions on the Exchange. 

Pursuant to these provisions, any member named as a respondent in any such claim submitted by a nonmember is 

required to participate in arbitration proceedings. Additionally, the Exchange requires members to resolve via arbitration 

all disputes concerning transactions on the Exchange.

Pursuant to Section 5c(c) of the Act and Regulation 40.2(a), the Exchange certifies that the Contract complies with the 

Act, including all regulations thereunder. There were no substantive opposing views to this proposal.

The Exchange certifies that this submission has been concurrently posted on the Exchange’s website at 

http://www.cmegroup.com/market-regulation/rule-fillings.html.

Should you have any questions concerning the above, please contact the undersigned at (212) 299-2200 or 

CMEGSubmissionInquiry@cmegroup.com. 

 

 Sincerely,

 /s/ Christopher Bowen

 Managing Director and Chief Regulatory Counsel

 

Attachments: Appendix A CME Rulebook Chapter 457

Appendix B Position Limit, Position Accountability, and Reportable Level Table (attached 

under separate cover)

Appendix C CME Rule 588.H. – (“Globex Non-Reviewable Trading Ranges”) Table

Appendix D CME Rule 589. Special Price Fluctuation Limits and Daily Price Limits Table

Appendix E Exchange Fees 

Appendix F Daily Settlement Procedure Document
15

Appendix A

CME Rulebook

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 and regulations of the 

Exchange insofar as applicable.

Unless otherwise specified, times referenced herein shall indicate Central Prevailing Time (CPT).

45701. CONTRACT SPECIFICATIONS

Each 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 such months 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 the 13-

Week U.S. Department of Treasury Bill, for settlement in the same week as the contract’s expiry, 

expressed as an interest rate per annum such that each basis point per annum of interest 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 yield rate 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 per contract, for any 

contract month with one month or less until its termination of trading (Rule 45702.G.), where the 

applicable one-month interval shall be defined so as to begin on the Business Day following the 

Friday prior to the third Wednesday of the month preceding the month 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 the Interpretations 

& Special Notices Section of Chapter 5.

A Person seeking an exemption from position limits for bona fide commercial purposes shall apply 

to the Market Regulation Department on forms provided by the Exchange, and the Market 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 price fluctuation 

limits as set forth in Rule 589 and in the Special Price Fluctuation Limits and Daily Price 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 shall terminate at 

2:00 p.m. on the Tuesday of the same week as the contract’s expiry.

45702.H. [Reserved]
16

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 the contract’s 

last trade date/time or canceled, then the final settlement price shall be sourced from the 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-Week U.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 is unavailable, 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 in such 

contract shall make payment to or receive payment from the Clearing House in accordance with 

normal variation performance bond procedures based on a settlement price equal to the final 

settlement price.

45704.-35. [RESERVED]

(End Chapter 457)
17

Appendix B

CME Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

Position Limit, Position Accountability, and Reportable Level Table

(additions underscored)

(attached under separate cover)

Appendix C

CME Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

CME Rule 588.H. (“Globex Non-Reviewable Trading Ranges”) Table

(additions underscored)

Outrights Spreads

Instrument Globex Symbol

Globex 

NonReviewable 

Ranges 

(NRR)

NRR: 

Globex 

Format

NRR:Minimum 

Ticks

NRR: 

Globex 

Format

NRR: 

Outright 

Minimum 

Ticks

13-Week U.S. Treasury Bill 

Futures TBF3 2.5 basis 

points 2.5 10

Each leg evaluated as an 

outright

Appendix D

CME Rulebook

Chapter 5

(“Trading Qualifications and Practices”)

CME Rule 589. – Special Price Fluctuation Limits and Daily Price Limits Table

Product RULEBOOK 

CHAPTER Commodity Code PRIMARY / ASSOCIATED

ASSOCIATED 

WITH

Dynamically 

Calculated Variant -

All Hours

13-Week U.S. Treasury Bill 

Futures

457

TBF3

Primary Primary 50 basis points
18

Appendix E

Exchange Fees

Membership Type Venue/Transaction 

Type

Interest Rate Futures

Front Months Back 

Months1

Individual Members

Clearing Members

Rule 106.J Equity Member Firms & Rule 106.J Qualified 

Subsidiaries

Rule 106.I Members & Rule 106.I Qualified Affiliates

Rule 106.S Member Approved Funds

CME Globex $0.19 $0.14 

EFP|EFR|Block $0.29 $0.24 

Delivery $0.09

Rule 106.D Lessees

Rule 106.F Employees 

CME Globex $0.37 $0.32 

EFP|EFR|Block $0.50 $0.45 

Delivery $0.30

Rule 106.R Electronic Corporate Members 

(For other than CME Globex - Non-Member rates apply)

CME Globex $0.49 $0.44 

EFP|EFR|Block $0.90 $0.85 

Rule 106.H and 106.N Firms 

CME Globex $0.49 $0.44 

EFP|EFR|Block $0.69 $0.64 

Delivery $0.49

International Incentive Program (IIP) Participants

International Volume Incentive Program (IVIP) Participants 

(For other than CME Globex - Non-Member rates apply)

CME Globex $0.50

EFP|EFR|Block $1.35 $1.05 

Delivery $0.50

Central Bank Incentive Program (CBIP) Participants

(For other than CME Globex - Non-Member rates apply)

CME Globex $1.00 $0.85

EFP|EFR|Block $1.35 $1.05

Delivery $0.70

Latin American Fund Manager Incentive Program (FMIP) 

Participants 

(For other than CME Globex - Non-Member rates apply)

CME Globex $0.83 $0.78

EFP|EFR|Block $1.35 $1.05

Delivery $0.70

Members Trading Outside of Division 

(For other than CME Globex During ETH - Non-Member rates apply)

CME Globex

During ETH Only $0.80 $0.75 

Non-Members

(Including: CTA/Hedge Fund Incentive Program Participants, Emerging 

Markets Bank Incentive Program (EMBIP) Participants & CBOE Members)

CME Globex $1.25 $0.95 

EFP|EFR|Block $1.35 $1.05 

Delivery $0.70

1 The discounted Exchange Fee for Back Months applies to Interest Rate Futures contracts with longer than 4-year expirations 

(Gold through Copper)

Processing Fees Fee

Position Adjustment/Position Transfer $0.10 

Give-Up Surcharge $0.05 

Facilitation Fee $0.00 
19

Appendix F

CME 13-Week U.S. Treasury Bill Futures Daily Settlement 

Procedure

Normal Daily Settlement Procedure

CME Group staff determines the daily settlement of 13-Week U.S. Treasury Bill Futures based on the 

market activity on CME Globex.

13-Week U.S. Treasury Bill Futures 

All 13-Week U.S. Treasury Bill Futures contracts will be settled based upon the bid/ask activity of both 

outright and spread markets on CME Globex between 13:59:00 and 14:00:00 CT. Spreads to be 

considered in this manner are 3 month calendars, 6 month calendars, 9 month calendars, 12 month 

calendars, 3 month butterflies, 12 month butterflies and the inter-commodity Three-Month SOFR vs 13-

Week Treasury Bill futures spreads. Bids and asks in calendar spreads, butterfly instruments and intercommodity Three-Month SOFR vs 13-Week Treasury Bill spreads will be used in conjunction with 

settlements from any month where a settlement price has been determined to form an implied market in 

the contract to be settled. These implied markets, along with the outright bid/ask market for the contract, 

will be used to derive the best possible bid and the best possible ask. If there are multiple prices that are 

eligible between this best possible bid and the best possible ask, the price will be chosen that sets the net 

change as close to the net change of the contract that precedes it in the settlement order. 

Final Settlement

Please see CME Chapter 457.

If you have any questions, please call the CME Global Command Center at 800.438.8616, in Europe at 

44.800.898.013, or in Asia at 65.6532.5010.

Note: In the event the aforementioned calculations cannot be made or if CME Group staff, in its sole 

discretion, determines that anomalous activity produces results that are not representative of the fair 

value of the contract, staff may determine an alternative settlement price.