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.
Table of Content
Foreword by Galen Burghardt vii
Introduction 1
Section One Concepts 15
Chapter 1 SOFR 17
Chapter 2 SOFR Futures 35
Chapter 3 SOFR Lending Markets and the Term Rate 73
Chapter 4 SOFR Spread Futures and the Basis 93
Chapter 5 SOFR Future Options 115
Chapter 6 Pricing Biases and SOFR Curve Building 143
Section Two Use Cases 163
Chapter 7 Simple Examples of Hedging with SOFR Futures 165
Chapter 8 Hedging the CME Term SOFR Rate 177
Chapter 9 Hedging Swaps and Bonds with SOFR Futures 191
Chapter 10 Hedging Caps and Floors with SOFR Futures Options 211
Bibliography 227
Index 229
About the author
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.
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