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.
MAC Swap Futures offer interest rate swap exposure with the capital efficiency and benefits of a standardized futures contract:
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.
Data as of close of business on 2 August 2016.
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.
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.
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.
View Rates Recap for previous months over the last year.