August 2016 Rates Recap

DSFs to be Renamed MAC Swap Futures

To more closely reflect the underlying MAC Swap exposure that Deliverable Swap Futures (DSFs) provide, CME Group’s DSFs will have a new name beginning 29 August:
MAC Swap Futures.


All the Benefits of a Futures Contract with Interest Rate Swap Exposure

MAC Swap Futures offer interest rate swap exposure with the capital efficiency and benefits of a standardized futures contract:

  • Lower margin levels of standardized futures
  • Automatic risk offsets versus Treasury and Eurodollar products
  • Anonymous CLOB trading and bilateral execution through Blocks and Committed Cross (C-Cross)
  • Portfolio Margining with potential savings of up to 85%
  • Automatic netting and compression
  • Choice of maturities and USD- and EUR-denominations

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Evolution of MAC Swap Trading and Swap Futures

Clearing mandates, execution guidelines and capital constraints have led to a move toward standardized products and growth in MAC Swaps trading.

With a robust community of market participants and over 75% share of the USD-denominated swap futures market, MAC Swap Futures are the most vibrant central limit order book for trading standardized swap exposure and are on their way to successfully completing the typical multi-year adoption cycle for new listed products.

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Data as of close of business on 2 August 2016.

MAC Swap Futures Stats

  • 5,400+ contracts YTD ADV
  • 61,000+ contracts OI
  • 38+ LOIH
  • 77% share of the USD-denominated swap futures market YTD

Committed Cross (C-Cross)

The new C-Cross protocol offers a 40% Better Price Match for MAC Swap futures, as an alternative means for sourcing liquidity using existing counterparty relationships.

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Spreading Treasury Futures and MAC Swap Futures

When used with Treasury Note or Bond futures, MAC Swap Futures provide an off-balance sheet, capital-efficient means to acquire or hedge swap spread exposures.

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Tools and Resources

Explore our tools that highlight the cost of trading and relationship between futures prices and rates as well as risks to the corresponding OTC Spot and Forward Swap markets.

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View Rates Recap for previous months over the last year.

See archived reports.