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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 | ||||||
| T1UU7 2Y |
CTPU7 | 99'112 | 1.750% | $19.61 | -$648.44 | 2.0798% | 1:30:07 PM CT 6/27/2017 |
99'112 | 2.0797% | |||
| F1UU7 5Y |
CFPU7 | 100'110 | 2.000% | $47.80 | $343.75 | 1.9283% | 1:30:07 PM CT 6/27/2017 |
100'185 | 1.8795% | |||
| S1UU7 7Y |
CHPU7 | 103'260 | 2.250% | $65.69 | $3,812.50 | 1.6712% | 1:30:19 PM CT 6/27/2017 |
103'260 | 1.6722% | |||
| N1UU7 10Y |
CNPU7 | 102'140 | 2.500% | $91.09 | $2,437.50 | 2.2331% | 1:30:07 PM CT 6/27/2017 |
102'315 | 2.1742% | |||
| E1UU7 20Y |
CIPU7 | 101'290 | 2.500% | $164.17 | $1,906.25 | 2.3842% | 1:30:19 PM CT 6/27/2017 |
101'290 | 2.3849% | |||
| B1UU7 30Y |
CBPU7 | 100'150 | 2.500% | $222.62 | $468.75 | 2.4790% | 1:30:07 PM CT 6/27/2017 |
101'200 | 2.4278% | |||
| T1UZ7 2Y |
CTPZ7 | - | - | - | - | - | - | - | - | |||
| F1UZ7 5Y |
CFPZ7 | - | - | - | - | - | - | - | - | |||
| S1UZ7 7Y |
CHPZ7 | - | - | - | - | - | - | - | - | |||
| N1UZ7 10Y |
CNPZ7 | - | - | - | - | - | - | - | - | |||
| E1UZ7 20Y |
CIPZ7 | - | - | - | - | - | - | - | - | |||
| B1UZ7 30Y |
CBPZ7 | - | - | - | - | - | - | - | - | |||
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