Tracking MAC Swap Futures with Eurodollar Bundles

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.

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