New Proxy for Interest Rate Swaps
Both Eurodollar bundles and MAC Swap Futures generally speak to the same types of interest rate risk exposure, so it follows that both contracts should follow parallel pricing tracks.
The intent of this study is to provide a straightforward and empirical assessment of the degree to which these instruments have been tracking one with the other. To the degree that this tracking is "true," it follows that one may trade one instrument off against the other as a form of spread or arbitrage if one deviates from the other, thus providing a source of trading opportunity.
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.
