T-Bill Yield Perpetuals (US3M)

This perpetual contract tracks the annualized 3-Month U.S. Treasury Bill yield, allowing traders to speculate on or hedge against short-term interest rates.

Characteristic	Description
What it Tracks	The annualized 3-Month U.S. Treasury Bill yield.
Index Definition	A cumulative coupon index It = ∫(rs / Dhr)ds where rt is the live T-Bill yield.
Oracle Type	A Session-Selected Oracle with distinct on-hours, off-hours, and weekend policies.
Market Type	Rate Perpetual.
Use Cases	Long or short the T-Bill yields.
Users	• Stablecoin Treasuries & DAOs • Money Market Funds & Carry Desks • Macro Speculators • Sophisticated Retail Traders
Vol-stat (σ)	Very low: approximately 45 bp/yr. This is one of the lowest volatility products offered.
Margin Numbers	Derived from the Max Leverage tiers. For the initial 3x leverage tier, the Initial Margin (IM) is ~33.3% of the notional position value.

OraclePx

Canonical Output

• Meaning: 13-week bill investment (bond-equivalent) yield, annualized on ACT/365 (or 366) add-on basis

• Units: percent (e.g., 5.24810)

Inputs that arrive as discount yields (bank-discount, 360-day basis) are converted to investment basis using the usual formula:

$$P = 100\left(1 - d\frac{D}{360}\right),\quad y_{\text{inv}} = \frac{100 - P}{P}\cdot\frac{Y}{D}\cdot 100$$

where d is discount yield (in decimal), D days to maturity, Y∈(365,366).

Blended rate

We maintain two conceptual pieces:

• Session signal: y_session(t)

• Reference anchor: y_ref(t^★), the last official close / composite taken during Weekday On-Hours (see anchors below)

The oracle publishes a session-weighted blend:

$$y_t = W_s(t)\cdot y_{\text{session}}(t) + \big(1-W_s(t)\big)\cdot y_{\text{ref}}(t^\star), \quad W_s(t)\in[0,1].$$

Times: Off- & On-Hours

The TBY-PERP operates 24/7, but its oracle methodology adapts based on the underlying U.S. Treasury market hours (US/Eastern Time). During weekday on-hours, the oracle uses a composite of live, multi-vendor cash T-Bill quotes, providing a direct market price.

Weekday Off-Hours, Weekend, & Holiday Logic

Off-market drift bound: On any off-market interval [a,b] where W_s(t)=ε (e.g., 0.05), the composite satisfies:

$$\displaystyle \sup_{u,v\in[a,b]} |y_u - y_v| \le \varepsilon \cdot \sup_{u,v\in[a,b]} |y_{\text{session}}(u)-y_{\text{session}}(v)|$$

So even if on-chain or derivatives prices move aggressively, weekend drift in the published rate is proportionally shrunken.

Weekend and holidays are just another Off-Market session in the session-aware oracle framework:

• The oracle and mark continue to update at HIP-style cadence (~3 s, ≥ 2.5 s spacing, 1% per-update clamp).

Weekends: From Fri 17:00 ET to Mon 08:00 ET:

• Session: WEEKEND_OFF_MARKET

• Weight:

  • W_s = 0.05 (weekend session nowcast)

• Session signal:

  • While Globex derivatives trade (e.g., Sunday evening onwards), use the same SR3/ZQ-based nowcast as any other off-hours.

  • During maintenance gaps or if all drivers are stale, hold the nowcast flat; the blend still yields a stable oracle via the 95% anchor.

Holidays:

US holidays follow the same logic as weekends:

• The holiday closure is mapped to to WEEKEND_OFF_MARKET.

• The weight is kept as W_s=0.05 until the next Weekday On-Hours open.

MarkPx

Cumulative index

The CFI and PerpPx continue to run using the blended y_t. At each hourly boundary (even on weekends), we finalize the hour using the realized weekend rate (which is just the blended yt on that hour) and update I_t exactly. Large discrete jumps at Monday open (e.g., after macro news) are smoothed by the 1% per-update clamp and rapid 3 s cadence.

Let y_t be the blended investment-basis US3M rate. Define a cumulative coupon index

$$I_t = \int_0^t \frac{y_s}{8760},ds$$

(8760 = 365×24 hours/year). Operationally, this is integrated with the same hourly finalization logic as HIP-3: intra-hour projection + exact hour-end true-up.

MarkPx variants:

1. MarkPx0 = PerpPx_t (pure oracle mark)

2. MarkPx1 = PerpPx_t + EMA_150s(PerpPx_t - midPx_t)

3. MarkPx2 = Venue local mark

Final MarkPx:

median(MarkPx0, MarkPx1, MarkPx2) with the same clamp and precision rules as the oracle.

All of this runs continuously (including weekends). The index I_t and mark are updated every ~3 s; the hourly true-up occurs at each UTC hour boundary even if it falls on a weekend.

ExternalPerpPx

PerpPx:

$$\text{PerpPx}_t = B_t + S, (I_t - A_t)$$

Here, S is a fixed scale, B_t is a positive baseline, and A_t is a piecewise-constant anchor chosen so the mark stays in a wide positive band (e.g. 15–25k). Re-anchoring is atomic to keep price continuous.

• On-Hours: externalPerpPx = current PerpPx from the oracle.

• Off-Hours / Weekend: externalPerpPx = EMA of PerpPx over 5–15 min (slow anchor), mirroring the HIP-3 suggestion for external anchors.

Auctions & Daily Anchors

• Reference anchor y_ref is set from the first fresh On-Hours composite each business day; during weekends it remains the Friday anchor until Monday 08:00 ET.

• Daily bill close is captured and logged to support reconciliation, but does not overwrite existing on-chain values; it only updates y_ref.

• Auction days:

  • Enter auction mode Δ T minutes before results.

  • Widen outlier filters; optionally slow cadence.

  • When results print, apply a bounded true-up (still respecting 1% per-update clamp).

Worked Example

This example demonstrates the hourly cashflow for a position in the interest-rate perpetual.

With S = $10⁶ and a long position q = 20 (Notional N = $20mm), suppose the realized hourly T-bill yield y_h is 5.25%.

The change in the cumulative coupon index over this hour is:

ΔI = y_h / D_hr ≈ 0.0525 / 8760 ≈ 6.005 × 10⁻⁶

The corresponding change in the perpetual's price is:

ΔP = S * ΔI ≈ $1,000,000 * (6.005 × 10⁻⁶) ≈ $6.005

The resulting PnL for the position over this hour is:

ΔPnL = q * ΔP ≈ 20 * $6.005 ≈ $120.10