SOFR Futures Explained: 3-Month & 1-Month Pricing in Excel

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  • čas pƙidĂĄn 31. 05. 2024
  • Join Ryan O'Connell, CFA, FRM, as he demystifies SOFR Futures Contracts in this comprehensive tutorial. Learn how to effortlessly price both 3-Month and 1-Month SOFR Futures using Excel, perfect for finance professionals and students alike. Dive into the world of futures contracts with expert insights and practical, easy-to-follow Excel demonstrations
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    Chapters:
    0:00 - SOFR Futures Contract Definition
    3:14 - Pricing a 3-Month SOFR Futures Contract
    8:29 - Pricing a 1-Month SOFR Futures Contract
    *Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC. Some of the links above are affiliate links, meaning, at no additional cost to you, I will earn a commission if you click through and make a purchase.

Komentáƙe • 17

  • @RyanOConnellCFA
    @RyanOConnellCFA  Pƙed 5 měsĂ­ci +3

    🎓 Tutor With Me: 1-On-1 Video Call Sessions Available
    â–ș Join me for personalized finance tutoring tailored to your goals: ryanoconnellfinance.com/finance-tutoring/
    đŸ’Ÿ Download Free Excel File:
    â–ș Grab the file from this video here: ryanoconnellfinance.com/product/sofr-futures-excel-toolkit/

  • @pizzaandmeth4538
    @pizzaandmeth4538 Pƙed 5 měsĂ­ci +1

    Hey Ryan,Just wanted to let you know your videos on fixed income topics helped me out a lit for the CFA level 1 and 2,i recently moved from an audit role to a structured finance role (CLO,CMBS,ABS etc)...Love a lot of the stuff you put out as it feels more practical and hand on in excel.....Cheers.

    • @RyanOConnellCFA
      @RyanOConnellCFA  Pƙed 4 měsĂ­ci +1

      That feedback means a lot to me as you have been one of the people comment on my channel and videos for the longest time! I appreciate you coming back to let me know that the videos helped you out and that is awesome to hear that you landed such a desirable job. Good luck with the role and please come back to let me know how the new job is going

    • @pizzaandmeth4538
      @pizzaandmeth4538 Pƙed 4 měsĂ­ci +1

      Haha ofcourse,began my level 3 prep lately and will be sure to rewatch some of your videos to brush up lol.

    • @pizzaandmeth4538
      @pizzaandmeth4538 Pƙed 4 měsĂ­ci +1

      ​@@RyanOConnellCFAAlso since you seem to have been in the industry for a while now I'm curious what your opinion is about the structured finance/securitization space..Have you worked in this area or seen anyone you know work there?.I'm loving the field so far but would love to hear your take.

    • @RyanOConnellCFA
      @RyanOConnellCFA  Pƙed 4 měsĂ­ci +1

      @@pizzaandmeth4538 Awesome, I hope you get some value out of the videos for Level 3! I have never worked in a role that solely dedicated to securitization but I've got some exposure to it. For example, I managed the risk of an asset backed commercial paper program for the last company I worked for and found it to be very interesting. There was a lot of work that went into setting it up and making sure that everything is reported and measured properly. In my opinion, it is a cool space with lots of meaningful puzzles to solve

    • @pizzaandmeth4538
      @pizzaandmeth4538 Pƙed 4 měsĂ­ci +1

      ​@@RyanOConnellCFAThat's pretty cool,it's a bit of a niche area,but 5 months in and I find it interesting..let's see where it goes haha.

  • @user-il2bq6mk3c
    @user-il2bq6mk3c Pƙed 5 měsĂ­ci +1

    amazing channel!!!

  • @jainsiddhant99
    @jainsiddhant99 Pƙed 3 měsĂ­ci +1

    Hi Ryan just wanted to ask you do you trade 3m sofr or fed fund futures regularly like the spreads and flys etc?

    • @RyanOConnellCFA
      @RyanOConnellCFA  Pƙed 3 měsĂ­ci

      Hello, I do not but I got more intimately familiar with the 3 month SOFR futures math when I built out a complex model for a client that trades them

    • @jainsiddhant99
      @jainsiddhant99 Pƙed 3 měsĂ­ci

      @@RyanOConnellCFA I understand can you by any chance get me in touch with that client as I would like to learn more about sofr spread trading and beyond

  • @sidewalker6003
    @sidewalker6003 Pƙed 4 měsĂ­ci +1

    where do you get the SOFR percent values from?

    • @RyanOConnellCFA
      @RyanOConnellCFA  Pƙed 4 měsĂ­ci

      I got these from CME Groups website. You can get SOFR rates and export them to XLSX for a historical time range that you define using Market Watch

  • @timsonparks
    @timsonparks Pƙed 3 měsĂ­ci +1

    What futures brokerage trades “SOFR”?