RULE 1002. Market Agreed Coupon (MAC) Interest Rate Swap Contracts

(a) Contract Description. This Contract is a forward starting Fixed for Floating Interest Rate 

Swap that exchanges periodic fixed interest payments at a rate equal to the market agreed coupon 

recommended by the Securities Industry and Financial Markets Association Asset Management Group 

(SIFMA AMG) for the relevant Tenors and Currencies. This Rule 1002 contains general information about 

the Contract terms and conditions. Contracts eligible for trading on the DCM Trading System and SEF 

Trading System, as well as the attributes related to each Currency can be found on Schedule 1002 on the 

Web Site (www.trueex.com). 

(b) Trading Hours. 

(i) DCM Trading Hours. The Trading Hours of the DCM Trading System that are 

applicable to the Contract described in this Rule 1002 will commence each Business Day at 7:30 

a.m. New York time and end each Business Day at 5:00 p.m. New York time. 

(ii) SEF Trading Hours. The Trading Hours of the SEF Trading System that are 

applicable to the Contract described in this Rule 1002 will be as follows:

• The RFQ Trading Hours will commence each Business Day at 7:30 a.m. New

York time and end each Business Day at 5:00 p.m. New York time.

• The PTC Trading Hours will commence each Business Day at 7:30 a.m. New York

time and end each Business Day at 6:00 p.m. New York time

(c) Currency. US Dollar, British Pound, Euro, Japanese Yen 

(d) Listing/Trading Conventions. The terms of a MAC Swap are based on the criteria below. 

(i) Series. The Exchange will list four MAC Swap Series each year on a quarterly 

cycle, in connection with quarterly International Monetary Market (IMM) dates, in March, June, 

September and December. Each Series will be identified by the month and year of their applicable 

IMM start date. 

Prior to December 2014: 

(A) On-the-Run. The two most current Series will be listed concurrently for 

trading at any one time. 

(B) Off-the-Run. After the Last Trading Day of an On-the-Run MAC Swap 

Series, the Series will be listed as Off-the-Run for one year after its Last Trading Day as an 

On-the-Run Swap. Transactions in Other Tenors, (with the exception of Block Trades) are 

executed through the System’s Off-the-Run trading functionality. All such trades will be 

subject to the requirements of Exchange Rule 524(c).

From December 2014: Two Series will be available at any point in time, with a 

third Series being added in the month of the most current IMM date, as follows:

(C) Nearby and Second Series. The two most immediate (Nearby and Second) 

Series will be available concurrently for trading at any one time. Provided these swaps meet 

other made available to trade criteria, transactions in the Nearby and Second Series will 

represent Required Transactions. 

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(D) Third Series. The Exchange will list a Third Series in the month of the most 

current IMM date (for example, in October and November, the December and March Series 

will be available as the Nearby and Second Series, respectively. In December, the June 

Series will be listed as the Third Series concurrently with the December and March Series). 

(ii) Tenor. The duration of time from the Effective Date of the MAC Swap to the 

Maturity Date. The Exchange may list Tenors of 1, 2, 3, 4, 5, 7, 10, 15, 20 and 30 years for each 

Series.

(iii) Holiday Calendar. New York and London 

(iv) Business Day Convention. Modified Following with adjustment to period end 

dates. Business days in this convention must be valid business days on both the New York and 

London calendar. If not, it will be the next day that is a business day on both the New York and 

London calendar. 

(v) First Trading Day. 

Prior to December 2014: 

(A) On-the-Run. Six months and two business days prior to the IMM date for 

the Series. IMM dates are the third Wednesday in March, June, September and December. 

For example, the first trading day for the September Series will be two business days prior 

to the March IMM date.

(B) Off-the-Run. One business day after the Last Trading Day as an On-theRun MAC Swap. 

From December 2014:

(C) Nearby and Second Series are listed concurrently.

(C)(D) Third Series. The First Trading Day of the Third Series is the first 

Business Day of the current IMM month. At its discretion, the Exchange reserves the 

right to make the Third Series available earlier or later than the First Business Day of the 

current IMM Month, provided SIFMA AMG’s MAC Sub-Committee has published 

recommended MAC coupons for the Third Series.

(vi) Last Trading Day

Prior to December 2014:

(A) On-the-Run. Three business days prior to the IMM date for the Series. 

(B) Off-the-Run. One year after the Last Trading Day as an On-the-Run MAC

Swap.

From December 2014: 

(C) Nearby Series. The Last Trading Day applies to Nearby Series Only. The 

Last Trading Day for which transactions in the Nearby Series will be deemed to be 

Required Transactions will be one Business Day prior to the current IMM date. On the 

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current IMM date, the Nearby Series will become a previous Series (known as a grey 

Series), the Second Series will become the new Nearby Series, and the Third Series will 

become the new Second Series. 

(D) Transactions in each previous Series will be available on the DCM and 

SEF Trading Systems as Permitted Transactions.

(vii) MAC Fixed Rate. The market agreed coupon rate for each Series will be equal to 

the MAC coupons recommended by SIFMA AMG’s MAC Sub-Committee and published 

periodically at www.sifma.org. 

(A) Methodology. The MAC coupon for each Tenor of a Series will be set 

close to par based on the three month or six month forward curve rounded up or down to 

the nearest 25 basis points. 

(B) Adjustments. The Exchange reserves the right to adjust MAC Fixed Rates 

in the event forward rates move more than 50 basis points from the MAC Fixed Rate for 

any Tenor in a Series. The Exchange will list the adjusted Series (referred to as Version) 

on the first business day following the rate adjustment. The original Series and any 

subsequent Versions will be available On-the-Run until the Last Trading Day for the Series, 

at which time they will become previous (or grey) Series. 

(viii) Trade Types. The Platform may support the following trade types:

(A) Outrights. 

(B) Switches. 

(1) Calendar Switches (including rolls). Calendar switches/rolls are 

simultaneous trades of two different Series of the same Tenor (for example, June 5 

year vs. September 5 year). Calendar Switch prices will be quoted as the difference 

between the later start date and the earlier start date. 

(2) Tenor Switches. Tenor switches are simultaneous trades of two 

Tenors in the same Series (e.g. June 5 year vs. June 10 year). Tenor Switch prices 

will be quoted as the difference between the longer Tenor and the shorter Tenor.

(C) Block Trades has the meaning as defined in Chapter 1 of this Rulebook.

(ix) Contract size

(A) On-the-Run and Off-the-Run. Minimum notional size of $1 Million USD

and increments of $1 Million USD. 

(B) Block Trades. Minimum notional size as indicated in Rule 1002(e) and 

increments of $1 Million USD. 

(x) Quoting convention. 

(A) Outrights. A MAC Swap will be quoted based on price , (not yield), where 

100 points equals par. , or can be quoted based on the Upfront Payment (which is a function 

of price). 

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(B) Switches.

(1) Calendar Switch prices will be quoted as the difference between 

the later start date and the earlier start date. 

(2) Tenor Switches. Tenor Switch prices will be quoted as the 

difference between the longer Tenor and the shorter Tenor.

(C) Minimum Price Increments. For Outrights and Switches, Minimum Price 

Increments are:

(1) .001 when MAC Swap is quoted in Price

(2) $1 when MAC Swap is quoted as Upfront Payment

Tenor

Minimum Price 

Increment (Outrights)

1 year .001 of a point

2 year .002 of a point

3 year .002 of a point

5 year .005 of a point

7 year .005 of a point

10 year .01 of a point

15 year .01 of a point

20 year .02 of a point

30 year .02 of a point

Minimum price increments for Switches will be the Outright minimum price 

increment of the shorter tenor of the Switch as indicated in the table above. 

(xi) Upfront Payment. An upfront payment will be exchanged between the payer and 

the receiver of an MAC Swap. The direction and amount of the payment is dependent on the price 

at which the MAC Swap was transacted on.

(A) Payment Direction. 

(1) If Price > 100, the Fixed Rate Payer receives payment from the 

Fixed Rate Receiver.

(2) If Price < 100, the Fixed Rate Payer makes payment to the Fixed 

Rate Receiver. 

If Price > 100, the Fixed Rate Payer receives payment from the Fixed Rate 

Receiver.

(B) Payment Calculation. Upfront Payment is calculated using the following 

formula: 

Notional Amount * (100-Price)/100

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(1) If P > 100 (implying that the current market fixed rate is less than 

the MAC Fixed Rate), the payment will be calculated as follows:

P = 100 + (Upfront Payment * 100) OR Upfront Payment = Notional * (P-100)

Notional 100

(2) If P < 100 (implying that the current market fixed rate is greater

than the MAC Fixed Rate), the payment will be calculated as follows:

P = 100 - (Upfront Payment * 100) OR Upfront Payment = Notional * (100-P)

Notional 100

(C) Final Settlement Date and Price. Settlement of the upfront payment will 

occur on T+2 1 and is calculated as described in (B) above. 

(e) Block Trades. 

(i) Minimum Notional Sizes. A Block Trade in a MAC Swap, as a forward starting 

Fixed for Floating Interest Rate Swap, is deemed to be Off-the-Run as that term is defined in Rule 

1001(i)(ii)(B). As such, each Tenor within a Series or Version will be subject to the same minimum 

block size for Off-the-Run Fixed for Floating Interest Rate Swaps as indicated in Rule 1001(t)(i). 

(ii) Reporting. All Block Trades must be reported to the Exchange as soon as 

technologically practicable. 

(f) Clearing House. CME or LCH. Choice of Clearing House is determined at the time of 

order entry. See Schedule 1002 for Clearing House availability on the Platform 

(g) Terms of the Forward Starting Swap 

(i) Buyer of the MAC Swap receives fixed interest rate and pays floating interest rate. 

(ii) Seller of the MAC Swap pays fixed interest rate and receives floating interest rate.

(iii) Fixed Leg 

(A) Payment Frequency. Semi-Annually, Annually 

(B) Day Count Convention. 30/360, actual/365 

(C) Holiday Calendar. New York and London 

(D) Business Day Convention. Modified Following with adjustment to period 

end dates. Business days in this convention must be valid business days on both the New 

York and London calendar. If not, it will be the next day that is a business day on both the 

New York and London calendar. 

(E) Fixed Rate. The MAC Fixed Rate as described in (d)(vii) above.

(iv) Floating Leg

(A) Reset Frequency. Quarterly, Semi-Annually 

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(B) Day Count Convention. actual/360, actual/365 

(C) Holiday Calendar. New York and London 

(D) Business Day Convention. Modified Following with adjustment to period 

end dates. Business days in this convention must be valid business days on both the New 

York and London calendar. If not, it will be the next day that is a business day on both the 

New York and London calendar. 

(E) Interest Rate Benchmark. LIBOR, Euribor, TIBOR 

(v) Effective Date (also referred to as Start Date). The Effective date is the IMM date 

of the Series (i.e. the effective date of a June 2013 MAC Swap is the June 2013 IMM date). This is 

the first date from which fixed and floating interest amounts accrue. 

(vi) Maturity Date. The final date until which Fixed and Floating amounts accrue. The 

Maturity Date may also be referred to as the Termination Date or End Date. For a MAC Swap, the 

Maturity Date will be the same calendar month and date as the Effective Date. 

(vii) Roll Day Convention. The date used for determining all fixed and floating Reset 

Dates for the life of the swap after its Effective Date. Roll Days define the beginning and end of 

Fixed and Floating interest accrual periods. Roll Day marks the start of a new interest accrual period, 

and is the day on which a Reset Rate takes effect. For a MAC Swap, Roll Day is the same date of 

the month as the Effective Date.

(viii) Floating Reset Dates. Dates utilized to determine the Floating Rate amounts for 

each interest accrual period during the life of the swap after its Effective Date. The Reset Date is 2 

London business days prior to the Roll Date that begin each interest accrual period. 

(ix) First Period Fixing Date. The Fixed Rate is the MAC Fixed Rate as described in 

(d)(vii) above. The Floating Rate for the first interest period is fixed 2 business days prior to the 

Effective Date. 

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