2.2.1.2. Settlement and Delivery
When a T-bill futures contract matures, it requires the delivery of a U.S. Treasury bill with a $1 million face value. The only deliverable contract at expiration is a T-bill with 13 weeks remaining to maturity (90 to 92 days). Besides a newly issued 13-week T-bill, delivery may be made with any already issued, or “seasoned,” 26-week T-bill and 52-week T-bills that have 13 weeks left to maturity. Contracts taken to delivery were never settled on a cash basis.
To ensure that enough T-bills are available for delivery, the delivery dates for the futures contract are timed to correspond with the issuance of the new 13-week Treasury bill. Treasury bills are auctioned weekly. Delivery of a T-bill futures contract is required on the three successive business days, b