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November 22, 2013

First SEF MAC swap | Bloomberg

Bloomberg is reporting the first MAC IRS traded on a SEF in this article.

Direct competition with swapfutures

It will be interesting to see whether these take off or whether on the run spot starting swaps continue to be the most liquid IRS as today and historically.

In particular, they will line up in direct competition (and closely similar economics) with SwapFutures like CME's deliverable swap futures and ERIS standards – both of which have an IM advantage (2-day vs 5-day VAR – i.e. about 40% less IM) but only if their liquidity and depth is adequate for major participants needs.

In the article the buy side firm on the other side of the trade remained anonymous which suggests ambivalence on their part to promote this product.

Question: does anyone know if there are non-SEF MAC swaps in any volume yet?

 


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