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| CME Ticker | Bloomberg Ticker | MAC Swap Future Pricing | Timestamp | Settlement-Based Pricing | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Price | Coupon | PV01 | NPV | Implied Rate | Price | Implied Rate | ||||||
| T1UZ9 2Y |
CTPZ9 | 99'112 | 2.500% | $19.68 | -$648.44 | 2.8287% | 5:30:06 PM CT 10/22/2019 |
99'112 | 2.8287% | |||
| F1UZ9 5Y |
CFPZ9 | 99'280 | 2.500% | $48.15 | -$128.91 | 2.5267% | 5:30:06 PM CT 10/22/2019 |
99'212 | 2.5696% | |||
| S1UZ9 7Y |
CHPZ9 | 109'280 | 2.750% | $66.52 | $9,875.00 | 1.2691% | 5:30:07 PM CT 10/22/2019 |
109'280 | 1.2689% | |||
| N1UZ9 10Y |
CNPZ9 | 100'002 | 2.750% | $92.98 | $7.81 | 2.7492% | 5:30:06 PM CT 10/22/2019 |
98'030 | 2.9545% | |||
| E1UZ9 20Y |
CIPZ9 | 101'290 | 3.000% | $171.70 | $1,906.25 | 2.8893% | 5:30:07 PM CT 10/22/2019 |
101'290 | 2.8892% | |||
| B1UZ9 30Y |
CBPZ9 | 135'250 | 3.000% | $237.65 | $35,781.25 | 1.4981% | 5:30:06 PM CT 10/22/2019 |
135'250 | 1.4980% | |||
| T1UH0 2Y |
CTPH0 | 99'112 | 1.750% | $19.56 | -$648.44 | 2.0794% | 5:30:06 PM CT 10/22/2019 |
99'112 | 2.0795% | |||
| F1UH0 5Y |
CFPH0 | 99'212 | 1.750% | $48.00 | -$335.94 | 1.8196% | 5:30:06 PM CT 10/22/2019 |
99'212 | 1.8196% | |||
| S1UH0 7Y |
CHPH0 | 109'280 | 2.000% | $66.30 | $9,875.00 | 0.5197% | 5:30:07 PM CT 10/22/2019 |
109'280 | 0.5194% | |||
| N1UH0 10Y |
CNPH0 | 98'030 | 2.000% | $92.65 | -$1,906.25 | 2.2045% | 5:30:06 PM CT 10/22/2019 |
98'030 | 2.2045% | |||
| E1UH0 20Y |
CIPH0 | 101'290 | 2.250% | $171.01 | $1,906.25 | 2.1392% | 5:30:07 PM CT 10/22/2019 |
101'290 | 2.1392% | |||
| B1UH0 30Y |
CBPH0 | 135'250 | 2.250% | $236.65 | $35,781.25 | 0.7474% | 5:30:06 PM CT 10/22/2019 |
135'250 | 0.7473% | |||
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