US Treasury Yield Indices

US 3M TBill Yield Index (US3M‑USDYP)

What it is: a perp that tracks the annualized 3‑month U.S. Treasury Bill yield, enabling directional rates trading and rate hedging in perp form.

Key Parameters	Details
Collateral	USDyp
Initial Oracle Price	3.500
Open Interest Cap	$10,000,000
Funding Multiplier	1

Oracle & marking

• Open (9:30–16:00 ET): 100% weight to the Pyth US3M rate feed

• Off‑hours: a conservative blend anchored to the last known yield, with a small nowcast component

This approach is designed to avoid erratic off‑hours moves while still allowing minor proxy‑driven adjustments.

Funding setup

Configured with a fixed‑leg component:

• setFundingInterestRates: -0.00046 per 8hr (≈ 5% APY magnitude)

Mechanically (in economic terms):

• Longs receive a “risk‑free” streaming leg representative of the index,

• Shorts pay the leg and benefit if short‑rates fall below the fixed component.

Note: sign conventions are engine‑specific. The important property is the fixed leg magnitude and which side receives/pays it.

Strategies

• Go long: earn short‑rate exposure without holding bills; express “rates up”.

• Go short: hedge rate‑sensitive portfolios; express “rates down”.

Notes & risks

Rates can gap around macro events. Off‑hours logic reduces noise, not risk.

See additional market mechanics and parameters