5/10-year MAC swap futures rolling issue (F1U/N1U)

Discussion in 'Fixed Income' started by Phoenix_colossal, Nov 28, 2021.

  1. For these MAC swap futures, IBKR seems to be forcing an aggressive rolling schedule. From the data the roll typically starts at 2nd week of the new quarter, roughly around 1st position day (settlement at mid month). But IBKR usually sends me notice of forced liquidation 10~14 days before that. But the volume in the back month is very thin at that point, huge spread or even no bid/ask on some days.

    I get it IBKR doesn't want to get stuck with some retails without an ISDA holding on to the front month for too long, since it is not financially settled. So far I just close the front month contract when they force me to, and be out of the market for a week or more until new front month picks up volume. Am I missing anything here? Is IBKR actually helping me avoid some nasty liquidity issues on something I can't deliver? Thanks.

    Gambit and MrMuppet like this.
  2. Repoguy


    Interesting choice as a market to trade. I've traded Mac also but because I could not hold into delivery I moved into other FI futures. I felt I was at a disadvantage vs the swap dealers. I was always rolling early, closing positions early, or missing entry points. Guess liquidity comes at a price.
    Gambit likes this.
  3. MrMuppet


    Well look at that. This is the kind of stuff you can make money with :)
    Without going into details here I would strongly suggest you leave IB for a proper futures broker.
    I know IB is convenient, but that's all there is. It will be more difficult for you if you trade MACs or SOFRs in conjunction with EUREX products or FX because you will need different brokers/clearers

    In case you focus on CME stuff, please do yourself a favour and leave for Dorman, Marex Spectron or the likes. You need a guy who you can talk to via phone or person if you trade products close to expiration, who understands what you are doing, and who can change things in your favour once he learns that you are careful.

    I can do so much more stuff because of this and I can trade many more exotic products. You already are on the right track because you trade niche products so set yourself free and leave IB
  4. bone

    bone ET Sponsor

    Yep. Nailed it.
    Gambit likes this.
  5. Gambit


    @bone Can you help a client structure a spread trade using niche products like this?
  6. bone

    bone ET Sponsor

    If we had the data - sure. The real issue is margin requirements and access (ISDA)