Euro MAC Swap Futures

  • Economic exposure to IRS with the margin and liquidity benefits of a futures contract
  • 2-Year, 5-Year and 10-Year contracts
  • Notional value per contract: €100,000
  • Flexible execution with lower block thresholds and longer reporting times of 15 minutes
  • Risk offsets with liquid CME Eurodollar and CBOT Treasury futures and options
  • Reporting simplicity
  • Leverages the success of the USD MAC Swap Futures contract
  • #1 clearing house in global client IRS open interest, with EUR open interest exceeding €2.25 trillion

Vendor Codes, Block Minimums and Coupon Rates

Product Tenor Vendor Codes Block Threshold Notional Coupon Rates
Bloomberg TT (Trading Technologies) Esignal CQG ThomsonReuters DTN
Sep 2016 Dec 2016
2-Year PTEA T1E T1E T1E 0#T1E @T1E 1500 0.00% 0.00%
5-Year PFEA F1E F1E F1E 0#F1E @F1E 750 0.50% 0.25%
10-Year PNEA N1E N1E N1E 0#N1E @N1E 500 1.00% 0.75%

Webcast: In-Depth Review of Euro MAC Swap Futures Features and Benefits

Product Resources