CME 13-Week U.S. Treasury Bill Futures

Normal Daily Settlement Procedure

CME Group staff determines the daily settlement of CME 13-Week U.S. Treasury Bill futures (TBF3) based on the market activity on CME Globex.

CME 13-Week U.S. Treasury Bill Futures  

All CME 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 3-Month SOFR vs 13-Week T-Bill futures spreads.  Bids and asks in calendar spreads, butterfly instruments and inter-commodity 3-Month SOFR vs 13-Week T-Bill spreads will be used in conjunction with settlements from any months 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

https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/V/450/457.pdf