CME MAC Swap Futures

 

CME MAC Swap Futures are exchange-traded contracts with 2-Year, 5-Year, 7-Year, 10-Year, 20-Year or 30-Year terms used to manage interest rate risk exposure. While providing an alternative to the over-the-counter (OTC) swap, the MAC Swap Futures provide liquidity and transparency offered by the CME clearing corporation. Unlike the Eris swap contract, all open positions deliver into CME Group Cleared Interest Rate Swaps at expiration. Another difference between the two contracts is the CME MAC Swap Future is traded in 32nds, like Treasury futures, while the Eris contract trades on a net present value basis. Despite the difference, both contracts have the same economic outcome.