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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 | ||||||
| T1UZ0 2Y |
CTPZ0 | 101'020 | 0.750% | $19.98 | $1,062.50 | 0.2184% | 12:46:52 AM CT 10/22/2020 |
101'020 | 0.2183% | |||
| F1UZ0 5Y |
CFPZ0 | 102'310 | 1.000% | $49.81 | $2,968.75 | 0.4040% | 12:46:52 AM CT 10/22/2020 |
102'235 | 0.4511% | |||
| S1UZ0 7Y |
CHPZ0 | 103'110 | 1.000% | $69.37 | $3,343.75 | 0.5181% | 12:46:53 AM CT 10/22/2020 |
103'110 | 0.5180% | |||
| N1UZ0 10Y |
CNPZ0 | 101'240 | 1.000% | $97.93 | $1,750.00 | 0.8213% | 12:46:52 AM CT 10/22/2020 |
101'095 | 0.8676% | |||
| E1UZ0 20Y |
CIPZ0 | 103'230 | 1.250% | $185.31 | $3,718.75 | 1.0494% | 12:46:53 AM CT 10/22/2020 |
103'230 | 1.0491% | |||
| B1UZ0 30Y |
CBPZ0 | 103'250 | 1.250% | $261.66 | $3,781.25 | 1.1055% | 12:46:52 AM CT 10/22/2020 |
103'250 | 1.1052% | |||
| T1UH1 2Y |
CTPH1 | 100'010 | 0.250% | $19.98 | $31.25 | 0.2344% | 12:46:52 AM CT 10/22/2020 |
100'010 | 0.2344% | |||
| F1UH1 5Y |
CFPH1 | 100'050 | 0.500% | $49.77 | $156.25 | 0.4686% | 12:46:52 AM CT 10/22/2020 |
100'050 | 0.4686% | |||
| S1UH1 7Y |
CHPH1 | 99'225 | 0.500% | $69.29 | -$296.88 | 0.5428% | 12:46:53 AM CT 10/22/2020 |
99'225 | 0.5428% | |||
| N1UH1 10Y |
CNPH1 | 98'225 | 0.750% | $97.76 | -$1,296.88 | 0.8826% | 12:46:52 AM CT 10/22/2020 |
98'225 | 0.8826% | |||
| E1UH1 20Y |
CIPH1 | 98'310 | 1.000% | $184.84 | -$1,031.25 | 1.0558% | 12:46:53 AM CT 10/22/2020 |
98'310 | 1.0559% | |||
| B1UH1 30Y |
CBPH1 | 97'060 | 1.000% | $260.95 | -$2,812.50 | 1.1077% | 12:46:52 AM CT 10/22/2020 |
97'060 | 1.1079% | |||
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