CME Group
June 14, 2019
CME Group is where the world comes to manage risk.

CME SOFR Futures and SOFR Volatility

June 7, 2019

CME One-Month SOFR futures can be used to evaluate and manage day-to-day volatility in Treasury general collateral repurchase agreement (GC repo) rates, particularly around month-end dates. In what follows, we examine a couple of recent episodes to show how.

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