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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 | ||||||
| T1UH1 2Y |
CTPH1 | 100'010 | 0.250% | $19.97 | $31.25 | 0.2344% | 5:46:51 PM CT 3/02/2021 |
100'010 | 0.2344% | |||
| F1UH1 5Y |
CFPH1 | 98'147 | 0.500% | $49.50 | -$1,539.06 | 0.8109% | 5:46:51 PM CT 3/02/2021 |
98'140 | 0.8156% | |||
| S1UH1 7Y |
CHPH1 | 99'225 | 0.500% | $68.49 | -$296.88 | 0.5433% | 5:46:52 PM CT 3/02/2021 |
99'225 | 0.5433% | |||
| N1UH1 10Y |
CNPH1 | 97'240 | 0.750% | $95.57 | -$2,250.00 | 0.9854% | 5:46:51 PM CT 3/02/2021 |
92'220 | 1.5151% | |||
| E1UH1 20Y |
CIPH1 | 98'310 | 1.000% | $174.19 | -$1,031.25 | 1.0592% | 5:46:52 PM CT 3/02/2021 |
98'310 | 1.0592% | |||
| B1UH1 30Y |
CBPH1 | 76'180 | 1.000% | $238.45 | -$23,437.50 | 1.9829% | 5:46:51 PM CT 3/02/2021 |
76'180 | 1.9829% | |||
| T1UM1 2Y |
CTPM1 | 100'007 | 0.250% | $19.96 | $23.44 | 0.2383% | 5:46:51 PM CT 3/02/2021 |
100'007 | 0.2383% | |||
| F1UM1 5Y |
CFPM1 | 98'007 | 0.500% | $49.42 | -$1,976.56 | 0.8999% | 5:46:51 PM CT 3/02/2021 |
98'007 | 0.8999% | |||
| S1UM1 7Y |
CHPM1 | 99'225 | 0.500% | $68.31 | -$296.88 | 0.5434% | 5:46:52 PM CT 3/02/2021 |
99'225 | 0.5435% | |||
| N1UM1 10Y |
CNPM1 | 91'265 | 0.750% | $95.26 | -$8,171.88 | 1.6077% | 5:46:51 PM CT 3/02/2021 |
92'055 | 1.5716% | |||
| E1UM1 20Y |
CIPM1 | 98'310 | 1.000% | $173.46 | -$1,031.25 | 1.0594% | 5:46:52 PM CT 3/02/2021 |
98'310 | 1.0594% | |||
| B1UM1 30Y |
CBPM1 | 76'180 | 1.250% | $237.42 | -$23,437.50 | 2.2369% | 5:46:51 PM CT 3/02/2021 |
76'180 | 2.2370% | |||
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