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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% | $19.65 | -$648.44 | 2.0796% | 6:00:06 PM CT 8/16/2017 |
99'112 | 2.0796% | |||
| F1UU7 5Y |
CFPU7 | 100'000 | 2.000% | $47.97 | $0.00 | 2.0000% | 6:00:06 PM CT 8/16/2017 |
100'175 | 1.8861% | |||
| S1UU7 7Y |
CHPU7 | 103'260 | 2.250% | $65.98 | $3,812.50 | 1.6728% | 6:00:09 PM CT 8/16/2017 |
103'260 | 1.6728% | |||
| N1UU7 10Y |
CNPU7 | 102'192 | 2.500% | $91.53 | $2,601.56 | 2.2161% | 6:00:06 PM CT 8/16/2017 |
102'195 | 2.2152% | |||
| E1UU7 20Y |
CIPU7 | 101'290 | 2.500% | $164.98 | $1,906.25 | 2.3846% | 6:00:09 PM CT 8/16/2017 |
101'290 | 2.3846% | |||
| B1UU7 30Y |
CBPU7 | 102'160 | 2.500% | $223.80 | $2,500.00 | 2.3884% | 6:00:06 PM CT 8/16/2017 |
99'240 | 2.5112% | |||
| T1UZ7 2Y |
CTPZ7 | - | - | - | - | - | - | - | - | |||
| F1UZ7 5Y |
CFPZ7 | - | - | - | - | - | - | - | - | |||
| S1UZ7 7Y |
CHPZ7 | - | - | - | - | - | - | - | - | |||
| N1UZ7 10Y |
CNPZ7 | - | - | - | - | - | - | - | - | |||
| E1UZ7 20Y |
CIPZ7 | - | - | - | - | - | - | - | - | |||
| B1UZ7 30Y |
CBPZ7 | - | - | - | - | - | - | - | - | |||
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