Swaps



Swaps

Follow the links below to view the documents in SIFMA's Swaps Standard Forms and Documentation Library.

SIFMA AMG EMIR Classification Guide

SIFMA's Asset Management Group (AMG) prepared the following client classification outreach letter in order to assist asset managers helping their clients navigate clearing requirements in Europe pursuant to the European Market Infrastructure Regulation (EMIR). 

Market Agreed Coupon (MAC) Contract 

SIFMA’s Asset Management Group (AMG), working in collaboration with the International Swaps and Derivatives Association (ISDA), has helped to develop a new interest rate swap (IRS) contract structure with pre-defined, market-agreed terms. These Market Agreed Coupon (MAC) contracts should promote liquidity and enhance transparency in IRS trading. The MAC Contract is voluntary and is meant to compliment bespoke IRS and deliverable interest rate futures.

The establishment of CUSIP numbers, a standardized method for identifying MAC contracts, will also serve to facilitate trading and transparency in the IRS marketplace. 

MAC Coupons and CUSIPs

The latest set of MAC coupons has been recommended by SIFMA AMG’s MAC Sub-Committee. The coupons are set close to par, based on the three- or six-month forward curve, and rounded to the nearest 25 basis point increment.  Any changes to these coupons or future coupons will be published periodically in accordance with the MAC Term Sheet.  Please refer to the "MAC Term Sheet" for important information regarding these coupon rates. For any MAC related questions, contact: Elisa Nuottajarvi.

Current MAC Coupons and CUSIPs

 

Historical Archive of MAC Recommendations


MAC Contract Specifications

Currency USD CAD EUR GBP JPY AUD
(for tenors less than 3 years)
AUD (for tenors over 3 years)
Floating Rate Indexes 3M LIBOR 3M CDOR 6M EURIBOR 6M LIBOR 6M LIBOR 3M BBR 6M BBR
Payment Frequency Semi-
Annual
Semi-
Annual
Annual Semi-
Annual
Semi-
Annual
Quarterly Semi-
Annual
Day Count Convention 30/360 Actual/
365F
30/360 Actual/
365F
Actual/
365F
Actual/
365F
Actual/
365F

 

 

 






Market Data