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ISDA Publishes MAC Confirmation for IRS

On 24 April 2013, ISDA issued a press release announcing the publication of “Form of Confirmation for Market Agreed Coupon (MAC) Swap”, designed to improve transparency, promote liquidity and facilitate portfolio compression in the IRS market through the use of pre-agreed terms.

The MAC Swap will feature standard start and end dates, payment dates, fixed coupons, currencies and maturities.  The press release notes that it is anticipated that coupons will be based on the three- or six-month forward curve and rounded to the nearest 25 basis points.  Effective dates are to be International Monetary Market (IMM) dates, i.e. the third Wednesday of March, June, September and December. The initial currencies covered will include the USD, EUR, GBP, JPY, CAD and AUD and maturities of 1, 2, 3, 5, 7, 10, 15, 20 and 30 years will be available.

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