At expiration the holder of a long futures position will become the fixed rate receiver
and floating rate payer in an OTC interest rate swap cleared by CME Clearing.
They include a high sampling rate receiver
to capture in a nonsynchronous (homodyne) fashion all the signal energy in a minimum number of sampling bins, summing across all the contemporaneous signal bandwidth, which implies a receiver front-end open to that instantaneous ultra widebandwidth and thus also open to noise, or signal averaging or matched filtering (which lowers the data rate), or counteracting the low power per frequency by increasing to high signal transmit power, which implies interference to other receiv ers, synchronous or otherwise.
Still, I am confident the CBR will deliver and, hence retain conviction in both front end rate receivers
(outright 1y NDF/IRS receivers performed well so far and there is still some juice left, but 1y1y forwards in both XCCY and IRS also look fairly attractive) and bullish stance on local cash bonds.
Apart from rate receivers
, cheaper medium-term funding should also support XCCY basis and local bonds.