MAC Swap Futures Correlation to OTC Swap Rates

CME Group's MAC Swap futures provide interest rate swap exposure with the added capital efficiencies and operational benefits of standardized futures contracts. At expiration, all open positions physically deliver into CME Group Cleared Interest Rate Swaps.

This study evaluates the correlative relationship between MAC Swap futures prices and the corresponding par spotstarting interest rate swap (“IRS”) rates. 

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