Mastering the Transition to SOFR

In this course delegates are guided through the maze of the transition from LIBOR to SOFR, highlighting the key implications for both cash and future markets. Each session consists of a presentation of the theoretical concepts, followed by practical exercises. Familiarity with Excel will help getting maximal benefit out of these exercises. There will also be plenty of opportunity to consult the trainer about firm-specific issues. The defining goal of this course is to enable the participants to master the challenges, which SOFR has introduced to their individual tasks.

Who should attend: traders, investment managers, brokers and analysts.

Schedule: The course takes place over the following days, comprising three hours teaching n each day from 10:00 to 13:30 (UK time).

Monday, 17 April 2023
Wednesday, 19 April 2023
Friday, 21 April 2023
Monday, 24 April 2023

Please note all sessions are recorded so any that cannot be attended can be taken at a later time.

Session 1: SOFR and Cash Lending Markets


  • From LIBOR to SOFR: background and history
  • Summary of the repo market
  • Calculation of SOFR from the repo market
  • Impact of the Standing Repo Facility
  • Implementation of SOFR in cash lending markets: conventions and challenges
  • CME’s SOFR Term Rate
  • Some scenarios for the further evolution of SOFR cash lending markets

Practical Exercises

  • Calculating SOFR term rates
  • Assessing the impact of different conventions
  • Assessing the impact of yield curve changes

Session 2: SOFR and Derivatives Markets

  • SOFR 3M and 1M futures: conventions
  • Comparison with eurodollar futures: different situation in the front month
  • Rolling SOFR futures
  • Overview over the STIR future universe
  • Basis between SOFR futures and ED/FF futures: driving forces and modelling
  • SOFR future options: conventions
  • Approaching Asian options

Practical Exercises

  • Calculating SOFR future settlement prices and fair values
  • Calculating strip rates from SOFR futures

Session 3: Modelling and Curve Building

  • Process selection for SOFR
  • The impact of FOMC meetings
  • Financing bias
  • Convexity
  • Curve building from SOFR futures

Practical Exercises

  • Immunising SOFR future positions against Fed policy changes

Session 4: Hedging

  • The link between bonds, swaps and futures as basis for hedging
  • Disappearance of dual curves and of the basis in government bond asset swaps
  • Hedging cash loans with SOFR futures
  • Hedging swaps with SOFR futures
  • Hedging government bonds with SOFR futures
  • „Hedging“ caps/floors with SOFR future options in the absence of a pricing model

Practical Exercises

  • Calculating hedge ratios for hedging a swap with SOFR futures
  • Adjusting the hedge ratios over time