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.
Explore T-Bill futures
Directly hedge T-bill positions with cash-settled futures based on the 13-week T-Bill auction discount yield.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.