Staying Ahead of the Curve with MAC Swap Futures

  • 3 Dec 2012
  • By CME Group and James Boudreault

"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.

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