20-Year USD MAC Swap Margins

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Exchange	Asset Class	Spread Products	Type	Ratio	Side	Start Period	End Period	Credit
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CBT	INTEREST RATES	17 - 30 YR U.S. TREASURY BOND FUTURES	Delta	3	B	All dates		70%
		E1U - 20-YEAR USD MAC SWAP FUTURES		2	A	All dates
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	1	A	All dates		90%
		LIO - 20-YEAR ERIS SWAP FUTURES		1	B	03/2016	12/2018
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	1	B	All dates		70%
		LIY - 10-YEAR ERIS SWAP FUTURES		2	A	All dates
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	1	A	All dates		70%
		LIY - 10-YEAR ERIS SWAP FUTURES		2	B	All dates
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	2	A	All dates		65%
		UBE - LONG TERM U.S. TREASURY BOND FUTURE		3	B	All dates
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	5	B	All dates		65%
		TN - ULTRA 10-YEAR U S TREASURY NOTE FUT		4	A	All dates
CBT	INTEREST RATES	21 - 10Y TREASURY NOTE FUTURES	Delta	5	B	All dates		65%
		E1U - 20-YEAR USD MAC SWAP FUTURES		4	A	All dates
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	3	A	All dates		60%
		LIB - 7-YEAR ERIS SWAP FUTURES		2	B	All dates
CBT	INTEREST RATES	25 - 5 YR TREASURY NOTE FUTURES	Delta	6	B	All dates		55%
		E1U - 20-YEAR USD MAC SWAP FUTURES		5	A	All dates
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	2	B	All dates		55%
		LIW - 5-YEAR ERIS SWAP FUTURES		3	A	All dates
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	1	B	All dates		50%
		F1U - 5-YEAR USD MAC SWAP FUTURES		2	A	All dates
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	2	A	All dates		50%
CME		ED - EURODOLLAR FUTURES		5	B	09/2027	06/2028
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	2	A	All dates		50%
CME		ED - EURODOLLAR FUTURES		5	B	09/2026	06/2027
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	2	A	All dates		50%
CME		ED - EURODOLLAR FUTURES		5	B	09/2029	06/2030
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	2	A	All dates		50%
CME		ED - EURODOLLAR FUTURES		5	A	09/2028	06/2029
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	2	A	All dates		50%
CME		ED - EURODOLLAR FUTURES		5	B	09/2025	06/2026
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	2	A	All dates		50%
CME		ED - EURODOLLAR FUTURES		5	B	09/2024	06/2025
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	2	A	All dates		50%
CME		ED - EURODOLLAR FUTURES		5	B	09/2023	06/2024
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	2	A	All dates		50%
CME		ED - EURODOLLAR FUTURES		5	B	09/2022	06/2023
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	2	A	All dates		40%
CME		ED - EURODOLLAR FUTURES		5	B	09/2021	06/2022
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	1	A	All dates		25%
		T1U - 2-YEAR USD MAC SWAP FUTURES		1	B	All dates
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	2	A	All dates		20%
CME		ED - EURODOLLAR FUTURES		5	B	11/2020	06/2021
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	3	A	All dates		75%
		LIE - 30-YEAR ERIS SWAP FUTURES		2	B	All dates
CBT	INTEREST RATES	B1U - 30-YEAR USD MAC SWAP FUTURES	Delta	1	B	All dates		75%
		E1U - 20-YEAR USD MAC SWAP FUTURES		1	A	All dates
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	1	B	All dates		95%
		LIO - 20-YEAR ERIS SWAP FUTURES		1	A	03/2019	03/2021
CBT	INTEREST RATES	LIL - 15-YEAR ERIS SWAP FUTURES	Delta	1	B	All dates		75%
		E1U - 20-YEAR USD MAC SWAP FUTURES		1	A	All dates
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	1	A	All dates		75%
		LII - 12-YEAR ERIS SWAP FUTURES		2	B	All dates
CBT	INTEREST RATES	E1U - 20-YEAR USD MAC SWAP FUTURES	Delta	1	A	All dates		75%
		N1U - 10-YEAR USD MAC SWAP FUTURES		1	B	All dates

About This Report

CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs).
Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.

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20-Year USD MAC Swap Margins