First off, why anybody still teaches T-bill futures contracts is not known to me. I have more money in my savings account than is represented by the total open interest on CME T-bill contracts today. Nobody trades these..
But - the T-bill futures contract used to be a contract on $1M face value T-bill with 3 months to expiration and was a deliverable contract. That means that if you went long a T-bill futures contract you were locking in the price of the T-bill at contract expiry.
It's a nearly uniformly inferior contract to Eurodollar contract because of delivery issues and the irrelevance of T-bill rate to virtually any other interest rate product.
I'm having a hard time understanding the concept. So the seller sells 3-month t-bills to the buyer locked in at a certain rate? My book isn't explaining this well at all.
