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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% | $19.98 | $31.25 | 0.2344% | 9:47:06 AM CT 1/20/2021 |
100'010 | 0.2344% | |||
| F1UH1 5Y |
CFPH1 | 99'212 | 0.500% | $49.70 | -$335.94 | 0.5676% | 9:47:06 AM CT 1/20/2021 |
99'230 | 0.5566% | |||
| S1UH1 7Y |
CHPH1 | 99'225 | 0.500% | $69.03 | -$296.88 | 0.5430% | 9:47:07 AM CT 1/20/2021 |
99'225 | 0.5430% | |||
| N1UH1 10Y |
CNPH1 | 96'095 | 0.750% | $96.93 | -$3,703.12 | 1.1320% | 9:47:06 AM CT 1/20/2021 |
96'105 | 1.1288% | |||
| E1UH1 20Y |
CIPH1 | 98'310 | 1.000% | $180.05 | -$1,031.25 | 1.0573% | 9:47:07 AM CT 1/20/2021 |
98'310 | 1.0573% | |||
| B1UH1 30Y |
CBPH1 | 84'210 | 1.000% | $250.27 | -$15,343.75 | 1.6130% | 9:47:06 AM CT 1/20/2021 |
84'290 | 1.6028% | |||
| T1UM1 2Y |
CTPM1 | 100'010 | 0.250% | $19.97 | $31.25 | 0.2344% | 9:47:06 AM CT 1/20/2021 |
100'010 | 0.2344% | |||
| F1UM1 5Y |
CFPM1 | 99'230 | 0.500% | $49.64 | -$281.25 | 0.5566% | 9:47:06 AM CT 1/20/2021 |
99'230 | 0.5566% | |||
| S1UM1 7Y |
CHPM1 | 99'225 | 0.500% | $68.91 | -$296.88 | 0.5431% | 9:47:07 AM CT 1/20/2021 |
99'225 | 0.5431% | |||
| N1UM1 10Y |
CNPM1 | 96'105 | 0.750% | $96.70 | -$3,671.88 | 1.1296% | 9:47:06 AM CT 1/20/2021 |
96'105 | 1.1296% | |||
| E1UM1 20Y |
CIPM1 | 98'310 | 1.000% | $179.46 | -$1,031.25 | 1.0574% | 9:47:07 AM CT 1/20/2021 |
98'310 | 1.0574% | |||
| B1UM1 30Y |
CBPM1 | 84'290 | 1.250% | $249.40 | -$15,093.75 | 1.8550% | 9:47:06 AM CT 1/20/2021 |
84'290 | 1.8548% | |||
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