MAC Swap Futures Analytics

The MAC Swap Futures Analytics tool allows clients to view the relationship between the MAC Swap Futures contract prices, rates, and risks to their respective corresponding OTC Spot and Forward Swap. The table calculates the implied swap rates by converting the net present value of the futures market quote (Futures Price – 100) into an equivalent rate (NPV/PV01) and subtracting this rate from the coupon. The simple method provides an excellent approximation of the implied forward rate of the MAC Swap Futures contracts.