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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 | ||||||
| T1UM8 2Y |
CTPM8 | 99'112 | 1.750% | $19.48 | -$648.44 | 2.0824% | 8:15:06 PM CT 5/26/2018 |
99'112 | 2.0824% | |||
| F1UM8 5Y |
CFPM8 | 95'265 | 2.000% | $46.77 | -$4,171.88 | 2.8908% | 8:15:07 PM CT 5/26/2018 |
95'265 | 2.8908% | |||
| S1UM8 7Y |
CHPM8 | 103'260 | 2.000% | $63.84 | $3,812.50 | 1.4036% | 8:15:10 PM CT 5/26/2018 |
103'260 | 1.4036% | |||
| N1UM8 10Y |
CNPM8 | 93'115 | 2.250% | $87.81 | -$6,640.62 | 3.0052% | 8:15:07 PM CT 5/26/2018 |
93'115 | 3.0052% | |||
| E1UM8 20Y |
CIPM8 | 101'290 | 2.500% | $155.34 | $1,906.25 | 2.3774% | 8:15:10 PM CT 5/26/2018 |
101'290 | 2.3774% | |||
| B1UM8 30Y |
CBPM8 | 88'170 | 2.500% | $208.01 | -$11,468.75 | 3.0506% | 8:15:07 PM CT 5/26/2018 |
88'170 | 3.0506% | |||
| T1UU8 2Y |
CTPU8 | 99'112 | 2.250% | $19.36 | -$648.44 | 2.5829% | 8:15:07 PM CT 5/26/2018 |
99'112 | 2.5829% | |||
| F1UU8 5Y |
CFPU8 | 95'265 | 2.250% | $46.48 | -$4,171.88 | 3.1422% | 8:15:07 PM CT 5/26/2018 |
95'265 | 3.1422% | |||
| S1UU8 7Y |
CHPU8 | 103'260 | 2.250% | $63.44 | $3,812.50 | 1.6527% | 8:15:10 PM CT 5/26/2018 |
103'260 | 1.6527% | |||
| N1UU8 10Y |
CNPU8 | 93'115 | 2.500% | $87.25 | -$6,640.62 | 3.2565% | 8:15:07 PM CT 5/26/2018 |
93'115 | 3.2565% | |||
| E1UU8 20Y |
CIPU8 | 101'290 | 2.500% | $154.35 | $1,906.25 | 2.3772% | 8:15:10 PM CT 5/26/2018 |
101'290 | 2.3772% | |||
| B1UU8 30Y |
CBPU8 | 88'170 | 2.500% | $206.71 | -$11,468.75 | 3.0515% | 8:15:07 PM CT 5/26/2018 |
88'170 | 3.0515% | |||
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