"Butterfly" Trades Among Several Possible Strategies
MAC Swap futures offer tools to enable swap rate curve trades in futures form. Available trading strategies include steepening and flattening views on the slope of the forward-starting swap rate curve, as well as butterfly trades to express a view on the shape of the curve.
Futures are the first futures contracts allowing for delivery of a CME-cleared over-the-counter interest rate swap. The contracts provide swap exposure and futures-style margining, which equates to margins that are approximately 50% lower than cleared Interest Rate Swaps.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
