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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 | ||||||
| T1UM0 2Y |
CTPM0 | 100'140 | 1.000% | $19.98 | $437.50 | 0.7810% | 1:30:04 AM CT 4/03/2020 |
100'140 | 0.7810% | |||
| F1UM0 5Y |
CFPM0 | 103'280 | 1.250% | $49.78 | $3,875.00 | 0.4716% | 1:30:04 AM CT 4/03/2020 |
103'277 | 0.4729% | |||
| S1UM0 7Y |
CHPM0 | 102'250 | 1.250% | $69.43 | $2,781.25 | 0.8495% | 1:30:06 AM CT 4/03/2020 |
102'250 | 0.8491% | |||
| N1UM0 10Y |
CNPM0 | 105'185 | 1.250% | $98.45 | $5,578.12 | 0.6835% | 1:30:04 AM CT 4/03/2020 |
105'075 | 0.7172% | |||
| E1UM0 20Y |
CIPM0 | 106'290 | 1.500% | $190.89 | $6,906.25 | 1.1383% | 1:30:06 AM CT 4/03/2020 |
106'290 | 1.1363% | |||
| B1UM0 30Y |
CBPM0 | 108'270 | 1.500% | $277.23 | $8,843.75 | 1.1810% | 1:30:04 AM CT 4/03/2020 |
108'270 | 1.1784% | |||
| T1UU0 2Y |
CTPU0 | 100'140 | 1.500% | $19.97 | $437.50 | 1.2810% | 1:30:04 AM CT 4/03/2020 |
100'140 | 1.2810% | |||
| F1UU0 5Y |
CFPU0 | 103'280 | 1.500% | $49.75 | $3,875.00 | 0.7213% | 1:30:04 AM CT 4/03/2020 |
103'277 | 0.7225% | |||
| S1UU0 7Y |
CHPU0 | 102'250 | 1.750% | $69.37 | $2,781.25 | 1.3492% | 1:30:06 AM CT 4/03/2020 |
102'250 | 1.3488% | |||
| N1UU0 10Y |
CNPU0 | 105'185 | 1.750% | $98.34 | $5,578.12 | 1.1830% | 1:30:04 AM CT 4/03/2020 |
105'075 | 1.2167% | |||
| E1UU0 20Y |
CIPU0 | 106'290 | 2.000% | $190.63 | $6,906.25 | 1.6378% | 1:30:06 AM CT 4/03/2020 |
106'290 | 1.6358% | |||
| B1UU0 30Y |
CBPU0 | 108'270 | 2.000% | $276.83 | $8,843.75 | 1.6806% | 1:30:04 AM CT 4/03/2020 |
108'270 | 1.6780% | |||
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