SOFR Futures and Options: A Practitioner's Guide (Wiley Finance) - Hardcover

Huggins, Doug; Schaller, Christian

Hardcover

ISBN 10: 1119888948 ISBN 13: 9781119888949

Publisher: Wiley, 2022

Synopsis

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.

About this title

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.

From the Back Cover

The gold standard in guides to the new Secured Overnight Financing Rate index, sponsored by the CME Group

SOFR Futures and Options is a practical and comprehensive discussion of the successor to the Eurodollar futures and options complex, the Secured Overnight Financing Rate index. The book walks finance practitioners and students through every nuanced and essential topic of importance in the area of SOFR futures and options.

Accompanied by interactive spreadsheets accessible on the web by purchasers of the book, SOFR Futures and Options guides readers through the transitional maze leading from LIBOR to SOFR. You’ll learn about 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, as well as margin and convexity.

You’ll also find detailed, worked examples of hedging loans, bonds, swaps, and floors with SOFR futures and options.

An indispensable roadmap to trading and understanding short-term interest rate futures under the new SOFR system, the book will earn a place in the libraries of finance students and practitioners at financial institutions everywhere.

From the Inside Flap

A mainstay of global finance for over thirty years, the Eurodollar futures and options complex is widely regarded as one of the most successful products in the history of exchange-traded derivatives. But with the transition from LIBOR to SOFR (the secured overnight financing rate), Eurodollar futures and options are being replaced by SOFR futures and options.

In SOFR Futures and Options, Doug Huggins and Christian Schaller provide a comprehensive and authoritative discussion of the new SOFR complex, starting with an introduction to the secured overnight financing rate, and including a set of worked examples, illustrating the steps required to successfully make use of the SOFR futures and options contracts listed at the CME Group.

The authors also discuss a number of more advanced issues surrounding the complex, such as pricing differences between one-month and three-month futures contracts, building a SOFR yield curve from futures prices, hedging the CME Term Rate, and the challenges of hedging SOFR loan products using options on one-month and three-month contracts.

In addition to worked examples of specific trades involving SOFR futures and options, the book includes access to electronic resources, including spreadsheets, which can be accessed online. From the repo market underlying SOFR, to the effects of margin and convexity, SOFR Futures and Options covers the essential topics in this complex and nuanced subject.

An essential resource for students attending finance classes at universities or preparing for the Chartered Financial Analyst exam, SOFR Futures and Options will provide a valuable resource for anyone working in financial institutions with responsibility for short-term interest rate futures contracts.

Edition details

• Publisher: Wiley
• Publication date: 2022
• ISBN 10: 1119888948
• ISBN 13: 9781119888949
• Binding: Hardcover
• Language: English
• Edition number: 1
• Number of pages: 256