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

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.