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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% | $19.63 | -$648.44 | 2.0797% | 7:00:17 PM CT 7/23/2017 |
99'112 | 2.0797% | |||
| F1UU7 5Y |
CFPU7 | 100'120 | 2.000% | $47.88 | $375.00 | 1.9218% | 7:00:17 PM CT 7/23/2017 |
100'120 | 1.9218% | |||
| S1UU7 7Y |
CHPU7 | 103'260 | 2.250% | $65.82 | $3,812.50 | 1.6719% | 7:00:25 PM CT 7/23/2017 |
103'260 | 1.6717% | |||
| N1UU7 10Y |
CNPU7 | 102'165 | 2.500% | $91.31 | $2,515.62 | 2.2250% | 7:00:18 PM CT 7/23/2017 |
102'090 | 2.2505% | |||
| E1UU7 20Y |
CIPU7 | 101'290 | 2.500% | $164.47 | $1,906.25 | 2.3843% | 7:00:25 PM CT 7/23/2017 |
101'290 | 2.3842% | |||
| B1UU7 30Y |
CBPU7 | 102'160 | 2.500% | $222.59 | $2,500.00 | 2.3879% | 7:00:19 PM CT 7/23/2017 |
99'050 | 2.5379% | |||
| T1UZ7 2Y |
CTPZ7 | - | - | - | - | - | - | - | - | |||
| F1UZ7 5Y |
CFPZ7 | - | - | - | - | - | - | - | - | |||
| S1UZ7 7Y |
CHPZ7 | - | - | - | - | - | - | - | - | |||
| N1UZ7 10Y |
CNPZ7 | - | - | - | - | - | - | - | - | |||
| E1UZ7 20Y |
CIPZ7 | - | - | - | - | - | - | - | - | |||
| B1UZ7 30Y |
CBPZ7 | - | - | - | - | - | - | - | - | |||
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