SOFR Futures and Options

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