Asset Class Navigation

5-Year USD MAC Swap Margins

Exchange Asset Class Spread Products Type Ratio Side Start Period End Period Credit
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 A All dates 80%
N1U - 10-YEAR USD MAC SWAP FUTURES 2 B All dates
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 06/2018 09/2018
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 12/2017 03/2018
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 06/2017 09/2017
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 B All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 12/2016 03/2017
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 B All dates 80%
F1U - 5-YEAR USD MAC SWAP FUTURES 3 A All dates
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 B All dates 80%
LIW - 5-YEAR ERIS SWAP FUTURES 1 A 12/2017 03/2018
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 A 12/2028 09/2029 80%
CBT F1U - 5-YEAR USD MAC SWAP FUTURES 3 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 A 12/2024 09/2025 80%
CBT F1U - 5-YEAR USD MAC SWAP FUTURES 3 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 A 12/2026 09/2027 80%
CBT F1U - 5-YEAR USD MAC SWAP FUTURES 3 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 A 12/2027 09/2028 80%
CBT F1U - 5-YEAR USD MAC SWAP FUTURES 3 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 A 12/2025 09/2026 80%
CBT F1U - 5-YEAR USD MAC SWAP FUTURES 3 B All dates
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 B All dates 93%
LIW - 5-YEAR ERIS SWAP FUTURES 1 A 06/2019 09/2019
CBT INTEREST RATES B1U - 30-YEAR USD MAC SWAP FUTURES Delta 1 B All dates 75%
F1U - 5-YEAR USD MAC SWAP FUTURES 4 A All dates
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 B All dates 75%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 06/2016 09/2016
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 B All dates 75%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 12/2015 03/2016
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 A All dates 75%
LID - 4-YEAR ERIS SWAP FUTURES 1 B 09/2019 06/2020
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 A All dates 75%
LID - 4-YEAR ERIS SWAP FUTURES 1 B 03/2019 06/2019
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 A All dates 75%
LID - 4-YEAR ERIS SWAP FUTURES 1 B 09/2018 12/2018
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 B All dates 75%
LIW - 5-YEAR ERIS SWAP FUTURES 1 A 06/2017 09/2017
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 A All dates 75%
LID - 4-YEAR ERIS SWAP FUTURES 1 B 03/2018 06/2018
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 A All dates 75%
LID - 4-YEAR ERIS SWAP FUTURES 1 B 09/2017 12/2017
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 A All dates 75%
LID - 4-YEAR ERIS SWAP FUTURES 1 B 03/2017 06/2017
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 A 11/2019 01/2020 75%
CBT F1U - 5-YEAR USD MAC SWAP FUTURES 3 B All dates
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 A All dates 75%
LID - 4-YEAR ERIS SWAP FUTURES 1 B 09/2016 12/2016
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 A All dates 75%
LID - 4-YEAR ERIS SWAP FUTURES 1 B 03/2016 06/2016
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 A All dates 70%
F1U - 5-YEAR USD MAC SWAP FUTURES 3 B All dates
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 A All dates 70%
LIB - 7-YEAR ERIS SWAP FUTURES 1 B 03/2019 06/2020
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 B All dates 70%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 06/2015 09/2015
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 B All dates 70%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 12/2014 03/2015
CBT INTEREST RATES 26 - 2 YEAR TREASURY NOTE FUTURES Delta 6 B All dates 70%
F1U - 5-YEAR USD MAC SWAP FUTURES 5 A All dates
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 B All dates 70%
LIW - 5-YEAR ERIS SWAP FUTURES 1 A 12/2016 03/2017
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 A All dates 70%
LIB - 7-YEAR ERIS SWAP FUTURES 1 B 12/2013 12/2018
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 2 B All dates 65%
TN - ULTRA 10-YEAR U S TREASURY NOTE FUT 1 A All dates
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 B All dates 65%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 06/2014 09/2014
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 B All dates 65%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 12/2013 03/2014
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 5 A All dates 65%
LIC - 3-YEAR ERIS SWAP FUTURES 6 B 06/2020 06/2020
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 5 A All dates 65%
LIC - 3-YEAR ERIS SWAP FUTURES 6 B 12/2019 03/2020
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 5 A All dates 65%
LIC - 3-YEAR ERIS SWAP FUTURES 6 B 06/2019 09/2019
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 5 A All dates 65%
LIC - 3-YEAR ERIS SWAP FUTURES 6 B 12/2018 03/2019
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 5 A All dates 65%
LIC - 3-YEAR ERIS SWAP FUTURES 6 B 06/2018 09/2018
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 B All dates 65%
LIW - 5-YEAR ERIS SWAP FUTURES 1 A 06/2016 09/2016
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 5 A All dates 65%
LIC - 3-YEAR ERIS SWAP FUTURES 6 B 12/2017 03/2018
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 5 A All dates 65%
LIC - 3-YEAR ERIS SWAP FUTURES 6 B 06/2017 09/2017
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 5 A All dates 65%
LIC - 3-YEAR ERIS SWAP FUTURES 6 B 12/2016 03/2017
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 5 A All dates 60%
UBE - LONG TERM U.S. TREASURY BOND FUTURE 1 B All dates
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 A All dates 60%
LII - 12-YEAR ERIS SWAP FUTURES 2 B All dates
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 B All dates 60%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 06/2013 09/2013
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 A All dates 60%
LIY - 10-YEAR ERIS SWAP FUTURES 2 B 12/2012 03/2013
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 A All dates 60%
LIW - 5-YEAR ERIS SWAP FUTURES 1 B 12/2015 03/2016
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 A All dates 90%
LIY - 10-YEAR ERIS SWAP FUTURES 2 B 12/2019 06/2020
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 B All dates 90%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 06/2019 09/2019
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 B All dates 90%
LIY - 10-YEAR ERIS SWAP FUTURES 2 A 12/2018 03/2019
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 B All dates 90%
LIW - 5-YEAR ERIS SWAP FUTURES 1 A 12/2018 03/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 90%
F1U - 5-YEAR USD MAC SWAP FUTURES 1 A All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 A 12/2020 09/2021 90%
CBT F1U - 5-YEAR USD MAC SWAP FUTURES 3 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 A 12/2021 09/2022 90%
CBT F1U - 5-YEAR USD MAC SWAP FUTURES 3 B All dates
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 A All dates 50%
LIE - 30-YEAR ERIS SWAP FUTURES 1 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 A 12/2022 09/2023 90%
CBT F1U - 5-YEAR USD MAC SWAP FUTURES 3 B All dates
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 4 A All dates 50%
LIO - 20-YEAR ERIS SWAP FUTURES 1 B 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 F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 A All dates 50%
LIL - 15-YEAR ERIS SWAP FUTURES 1 B All dates
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 2 B All dates 50%
T1U - 2-YEAR USD MAC SWAP FUTURES 5 A All dates
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 2 B All dates 30%
LIT - 2-YEAR ERIS SWAP FUTURE 5 A 12/2019 06/2020
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 2 A All dates 25%
LIT - 2-YEAR ERIS SWAP FUTURE 5 B 06/2019 09/2019
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 2 A All dates 25%
LIT - 2-YEAR ERIS SWAP FUTURE 5 B 12/2018 03/2019
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 B All dates 85%
LIW - 5-YEAR ERIS SWAP FUTURES 1 A 06/2018 09/2018
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 A 12/2023 09/2024 85%
CBT F1U - 5-YEAR USD MAC SWAP FUTURES 3 B All dates
CME INTEREST RATES ED - EURODOLLAR FUTURES Delta 5 A 02/2020 09/2020 85%
CBT F1U - 5-YEAR USD MAC SWAP FUTURES 3 B All dates
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 B All dates 95%
LIW - 5-YEAR ERIS SWAP FUTURES 1 A 06/2020 06/2020
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 1 B All dates 95%
LIW - 5-YEAR ERIS SWAP FUTURES 1 A 12/2019 03/2020