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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 | ||||||
| T1UH0 2Y |
CTPH0 | 100'140 | 1.750% | $19.60 | $437.50 | 1.5273% | 3:30:04 AM CT 1/18/2020 |
100'140 | 1.5273% | |||
| F1UH0 5Y |
CFPH0 | 100'165 | 1.750% | $48.00 | $515.62 | 1.6429% | 3:30:04 AM CT 1/18/2020 |
100'165 | 1.6429% | |||
| S1UH0 7Y |
CHPH0 | 102'250 | 2.000% | $66.24 | $2,781.25 | 1.5812% | 3:30:04 AM CT 1/18/2020 |
102'250 | 1.5812% | |||
| N1UH0 10Y |
CNPH0 | 101'255 | 2.000% | $92.44 | $1,796.88 | 1.8061% | 3:30:04 AM CT 1/18/2020 |
101'255 | 1.8061% | |||
| E1UH0 20Y |
CIPH0 | 106'290 | 2.250% | $169.78 | $6,906.25 | 1.8443% | 3:30:04 AM CT 1/18/2020 |
106'290 | 1.8443% | |||
| B1UH0 30Y |
CBPH0 | 108'270 | 2.250% | $233.85 | $8,843.75 | 1.8728% | 3:30:04 AM CT 1/18/2020 |
108'270 | 1.8728% | |||
| T1UM0 2Y |
CTPM0 | 100'140 | 1.000% | $19.53 | $437.50 | 0.7774% | 3:30:04 AM CT 1/18/2020 |
100'140 | 0.7774% | |||
| F1UM0 5Y |
CFPM0 | 100'165 | 1.250% | $47.84 | $515.62 | 1.1429% | 3:30:04 AM CT 1/18/2020 |
100'165 | 1.1429% | |||
| S1UM0 7Y |
CHPM0 | 102'250 | 1.250% | $66.00 | $2,781.25 | 0.8314% | 3:30:04 AM CT 1/18/2020 |
102'250 | 0.8314% | |||
| N1UM0 10Y |
CNPM0 | 101'255 | 1.250% | $92.08 | $1,796.88 | 1.0561% | 3:30:04 AM CT 1/18/2020 |
101'255 | 1.0561% | |||
| E1UM0 20Y |
CIPM0 | 106'290 | 1.500% | $169.06 | $6,906.25 | 1.0941% | 3:30:04 AM CT 1/18/2020 |
106'290 | 1.0941% | |||
| B1UM0 30Y |
CBPM0 | 108'270 | 1.500% | $232.85 | $8,843.75 | 1.1227% | 3:30:04 AM CT 1/18/2020 |
108'270 | 1.1227% | |||
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