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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 | ||||||
| T1UU0 2Y |
CTPU0 | 100'120 | 1.500% | $20.00 | $375.00 | 1.3125% | 11:46:50 PM CT 7/02/2020 |
100'120 | 1.3125% | |||
| F1UU0 5Y |
CFPU0 | 100'185 | 1.500% | $49.93 | $578.12 | 1.3842% | 11:46:50 PM CT 7/02/2020 |
100'257 | 1.3389% | |||
| S1UU0 7Y |
CHPU0 | 100'050 | 1.750% | $69.67 | $156.25 | 1.7276% | 11:46:52 PM CT 7/02/2020 |
100'050 | 1.7276% | |||
| N1UU0 10Y |
CNPU0 | 100'240 | 1.750% | $98.73 | $750.00 | 1.6740% | 11:46:50 PM CT 7/02/2020 |
100'305 | 1.6535% | |||
| E1UU0 20Y |
CIPU0 | 92'210 | 2.000% | $190.02 | -$7,343.75 | 2.3864% | 11:46:52 PM CT 7/02/2020 |
92'210 | 2.3858% | |||
| B1UU0 30Y |
CBPU0 | 94'190 | 2.000% | $273.71 | -$5,406.25 | 2.1975% | 11:46:50 PM CT 7/02/2020 |
95'040 | 2.1776% | |||
| T1UZ0 2Y |
CTPZ0 | 100'120 | 0.750% | $20.00 | $375.00 | 0.5625% | 11:46:50 PM CT 7/02/2020 |
100'120 | 0.5625% | |||
| F1UZ0 5Y |
CFPZ0 | 100'242 | 1.000% | $49.91 | $757.81 | 0.8482% | 11:46:50 PM CT 7/02/2020 |
100'257 | 0.8389% | |||
| S1UZ0 7Y |
CHPZ0 | 100'050 | 1.000% | $69.62 | $156.25 | 0.9776% | 11:46:52 PM CT 7/02/2020 |
100'050 | 0.9776% | |||
| N1UZ0 10Y |
CNPZ0 | 100'280 | 1.000% | $98.61 | $875.00 | 0.9113% | 11:46:50 PM CT 7/02/2020 |
100'305 | 0.9034% | |||
| E1UZ0 20Y |
CIPZ0 | 92'210 | 1.250% | $189.69 | -$7,343.75 | 1.6370% | 11:46:52 PM CT 7/02/2020 |
92'210 | 1.6364% | |||
| B1UZ0 30Y |
CBPZ0 | 94'190 | 1.250% | $273.22 | -$5,406.25 | 1.4478% | 11:46:50 PM CT 7/02/2020 |
95'040 | 1.4279% | |||
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