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which instruments are used to strip the SOFR curve for the short term of the curve(below 1 y) ? there are no swaps with maturity under 1 year, right?

thanks

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1 Answer 1

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The trading is being more and more active on 1-month and 3-month SOFR Futures. These quotes should help bridging with liquid swap quotes on mid-term maturities and stripping the appropriate curve.

https://www.cmegroup.com/trading/interest-rates/secured-overnight-financing-rate-futures.html

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