Interest Rates: Trading the Swap Spread

Before the introduction of CBOT MAC Swap futures, it was difficult to construct a credit spread using interest rate futures contracts. This article examines the “swap spread” between interest rate swap and Treasury rates with the use of MAC Swap futures and CBOT Treasury futures.

Read Full Report

About CME Group

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. Comprised of four exchanges - CME, CBOT, NYMEX and COMEX - we offer the widest range of global benchmark products across all major asset classes, helping businesses everywhere mitigate the myriad of risks they face in today's uncertain global economy.

Follow us for global economic and financial news.

CME Group on Twitter

CME Group on Facebook

CME Group on LinkedIn