SOFR Futures and Options

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.