MAC Swap Futures Correlation to OTC Swap Rates
CME Group's MAC Swap futures provide interest rate swap exposure with the added capital efficiencies and operational benefits of standardized futures contracts. At expiration, all open positions physically deliver into CME Group Cleared Interest Rate Swaps.
This study evaluates the correlative relationship between MAC Swap futures prices and the corresponding par spotstarting interest rate swap (“IRS”) rates.
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.
