Tod last took a look at MAC swaps in 2016. Has anything changed since? (Spoiler: not much!). But there is certainly some activity over at ERIS. What are MAC Swaps? A brief reminder that a MAC swap is a particular flavour of forward starting interest rate swap, starting on an IMM date (third Wednesday of […]
I was pulling some data recently out of SDRView and stumbled across some interesting metrics in EUR and GBP swaps. It would seem there has been a proliferation of standardized swaps, traded amongst the US-named business and reported to SDRs. GET OUR BEARINGS To begin, let’s get our bearings and terminology straight. To do so, […]
Please join us and CME on Wednesday, September 9th at 11:00am EST, for a discussion and Q&A on MAC swaps and swap futures. Registration here.
We get asked often about the most recent MAC swap activity. So lets look at some data. DATA We are assisted by the Clarus SDRView Researcher service, which enriches all the swap data to mark-up the subtypes (eg MAC, IMM, Spot start, etc) and packages (curve, butterfly, compression, etc). Below is a snapshot of the […]
Roughly 3 months ago I wrote an article on MAC contracts where I gave a brief history of these standardized derivatives, preached all of the wonderful benefits of them, and discussed why the buyside should be flocking to them. I then proceeded to present data that concluded that these products just haven’t taken off. So, has anything […]
Earlier this month, I predicted that just like the CDS market moved to standardized contracts a few years ago, the day would come when the interest rate market would move to a standardized world, namely in the form of Market Agreed Coupon contracts (MAC). The logic being: Managing line items in a cleared world is easier because they naturally compress […]
In my recent blog, USD MAC Swaps: A Closer Look, I noted that once the September roll into the December contract was complete, the cumulative volume of this would provide an interesting in-sight into how large the USD MAC Swap market really is. In this article, I will look to establish this. Charts of […]
Market Agreed Coupon (MAC) Swaps were created by SIFMA & ISDA as contracts with pre-defined standard terms. They start on IMM dates and the fixed rate is pre-determined in 0.25 increments (e.g. 5Y in USD is 2.25%). For further details see SIFMA. USD MAC Swaps are MAT (first two IMM dates) and so are required to be […]