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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% | $19.66 | $437.50 | 1.5277% | 6:15:03 AM CT 2/18/2020 |
100'140 | 1.5277% | |||
| F1UH0 5Y |
CFPH0 | 101'252 | 1.750% | $48.34 | $1,789.06 | 1.3804% | 6:15:04 AM CT 2/18/2020 |
101'210 | 1.4075% | |||
| S1UH0 7Y |
CHPH0 | 102'250 | 2.000% | $66.88 | $2,781.25 | 1.5847% | 6:15:08 AM CT 2/18/2020 |
102'250 | 1.5842% | |||
| N1UH0 10Y |
CNPH0 | 104'205 | 2.000% | $93.73 | $4,640.62 | 1.5055% | 6:15:04 AM CT 2/18/2020 |
104'080 | 1.5463% | |||
| E1UH0 20Y |
CIPH0 | 106'290 | 2.250% | $174.58 | $6,906.25 | 1.8549% | 6:15:08 AM CT 2/18/2020 |
106'290 | 1.8533% | |||
| B1UH0 30Y |
CBPH0 | 108'270 | 2.250% | $243.64 | $8,843.75 | 1.8875% | 6:15:04 AM CT 2/18/2020 |
108'270 | 1.8853% | |||
| T1UM0 2Y |
CTPM0 | 100'140 | 1.000% | $19.60 | $437.50 | 0.7779% | 6:15:04 AM CT 2/18/2020 |
100'140 | 0.7779% | |||
| F1UM0 5Y |
CFPM0 | 101'210 | 1.250% | $48.20 | $1,656.25 | 0.9081% | 6:15:04 AM CT 2/18/2020 |
101'210 | 0.9078% | |||
| S1UM0 7Y |
CHPM0 | 102'250 | 1.250% | $66.68 | $2,781.25 | 0.8350% | 6:15:08 AM CT 2/18/2020 |
102'250 | 0.8345% | |||
| N1UM0 10Y |
CNPM0 | 104'080 | 1.250% | $93.44 | $4,250.00 | 0.7975% | 6:15:04 AM CT 2/18/2020 |
104'080 | 0.7966% | |||
| E1UM0 20Y |
CIPM0 | 106'290 | 1.500% | $173.96 | $6,906.25 | 1.1050% | 6:15:08 AM CT 2/18/2020 |
106'290 | 1.1034% | |||
| B1UM0 30Y |
CBPM0 | 108'270 | 1.500% | $242.77 | $8,843.75 | 1.1376% | 6:15:04 AM CT 2/18/2020 |
108'270 | 1.1354% | |||
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