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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 | ||||||
| T1UU9 2Y |
CTPU9 | 99'112 | 3.000% | $19.58 | -$648.44 | 3.3296% | 4:00:06 PM CT 6/26/2019 |
99'112 | 3.3293% | |||
| F1UU9 5Y |
CFPU9 | 105'317 | 3.000% | $47.77 | $5,992.19 | 1.7517% | 4:00:06 PM CT 6/26/2019 |
106'110 | 1.6811% | |||
| S1UU9 7Y |
CHPU9 | 106'235 | 3.000% | $65.81 | $6,734.38 | 1.9817% | 4:00:07 PM CT 6/26/2019 |
106'235 | 1.9845% | |||
| N1UU9 10Y |
CNPU9 | 109'080 | 3.000% | $91.55 | $9,250.00 | 1.9946% | 4:00:06 PM CT 6/26/2019 |
109'285 | 1.9290% | |||
| E1UU9 20Y |
CIPU9 | 101'290 | 3.250% | $166.19 | $1,906.25 | 3.1359% | 4:00:07 PM CT 6/26/2019 |
101'290 | 3.1366% | |||
| B1UU9 30Y |
CBPU9 | 122'200 | 3.250% | $226.52 | $22,625.00 | 2.2561% | 4:00:06 PM CT 6/26/2019 |
123'290 | 2.2095% | |||
| T1UZ9 2Y |
CTPZ9 | 99'112 | 2.500% | $19.51 | -$648.44 | 2.8292% | 4:00:06 PM CT 6/26/2019 |
99'112 | 2.8289% | |||
| F1UZ9 5Y |
CFPZ9 | 106'110 | 2.500% | $47.59 | $6,343.75 | 1.1797% | 4:00:06 PM CT 6/26/2019 |
106'110 | 1.1824% | |||
| S1UZ9 7Y |
CHPZ9 | 106'235 | 2.750% | $65.55 | $6,734.38 | 1.7324% | 4:00:07 PM CT 6/26/2019 |
106'235 | 1.7352% | |||
| N1UZ9 10Y |
CNPZ9 | 109'285 | 2.750% | $91.15 | $9,890.62 | 1.6752% | 4:00:06 PM CT 6/26/2019 |
109'285 | 1.6793% | |||
| E1UZ9 20Y |
CIPZ9 | 101'290 | 3.000% | $165.38 | $1,906.25 | 2.8858% | 4:00:07 PM CT 6/26/2019 |
101'290 | 2.8866% | |||
| B1UZ9 30Y |
CBPZ9 | 123'290 | 3.000% | $225.40 | $23,906.25 | 1.9495% | 4:00:06 PM CT 6/26/2019 |
123'290 | 1.9593% | |||
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