SOFR Futures and Options

SOFR Futures and Options is the practical guide through the maze of the transition from LIBOR. In the first section, it provides an in-depth explanation of the concepts involved:

• The repo market and the construction of SOFR
• SOFR-based lending markets and the term rate
• The secured-unsecured basis
• SOFR futures and options and their spread contracts
• Margin and convexity

Applying these insights, the second section offers detailed worked-through examples of hedging loans, swaps, bonds, and floors with SOFR futures and options, supported by interactive spreadsheets accessible on the web.

The gold standard resource for professionals working at financial institutions, SOFR Futures and Options also belongs in the libraries of students of finance and business, as well as those preparing for the Chartered Financial Analyst exam.

DOUG HUGGINS, PHD, has over thirty-two years of experience working in the fixed income markets. He has worked as a European fixed income relative value researcher at Deutsche Bank, as well as a Global Head of Fixed Income Relative Value Research and Global Head of Hedge Fund Sales at ABN AMRO, and founded a proprietary trading desk at ABN.

CHRISTIAN SCHALLER, PHD, was Global Head of Leveraged Investment Strategy at ABN AMRO and is now an independent consultant and trainer for financial institutions. He co-founded, with Doug Huggins, QMA Analytics, a London-based firm providing analytic software for financial market participants.

FOREWORD BY GALEN BURGHARDT

Introduction

SECTION 1: Concepts

Chapter 1: SOFR

Chapter 2: SOFR Futures

Chapter 3: SOFR lending markets and the term rate

Chapter 4: SOFR spread futures and the basis

Chapter 5: Options

Chapter 6: Price Biases and SOFR Curve Building

SECTION 2: Use cases

Chapter 7: Basic hedges with SOFR futures

Chapter 8: Hedging the SOFR Term Rate

Chapter 9: Hedging swaps and bonds with SOFR futures

Chapter 10: Hedging caps and floors with SOFR future options

Bibliography

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