The synthetic price history for 13-Week U.S. Treasury Bill futures (U.S. T-Bill futures) compares the Daily Treasury Bill Rates↗ published by the U.S. Department of the Treasury with the CME 3-Month Term SOFR rate converted into a discount yield. The hypothetical final settlement price for U.S. T-Bill futures, represented by the 13-Week Treasury Bill high discount rate at auction, is also included.
The visual representation below underscores the synchronization between the 13-Week T-Bill rate and the CME 3-Month Term SOFR rate when converted into a discount yield. Their close alignment is exemplified by a high correlation coefficient of 0.99.
Image and article originally from www.cmegroup.com. Read the original article here.