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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 | ||||||
| T1UZ0 2Y |
CTPZ0 | 101'020 | 0.750% | $19.98 | $1,062.50 | 0.2182% | 10:02:00 AM CT 12/03/2020 |
101'020 | 0.2182% | |||
| F1UZ0 5Y |
CFPZ0 | 102'200 | 1.000% | $49.75 | $2,625.00 | 0.4724% | 10:02:00 AM CT 12/03/2020 |
102'187 | 0.4802% | |||
| S1UZ0 7Y |
CHPZ0 | 103'110 | 1.000% | $69.22 | $3,343.75 | 0.5170% | 10:02:02 AM CT 12/03/2020 |
103'110 | 0.5170% | |||
| N1UZ0 10Y |
CNPZ0 | 100'195 | 1.000% | $97.53 | $609.38 | 0.9375% | 10:02:00 AM CT 12/03/2020 |
100'155 | 0.9503% | |||
| E1UZ0 20Y |
CIPZ0 | 103'230 | 1.250% | $183.21 | $3,718.75 | 1.0470% | 10:02:02 AM CT 12/03/2020 |
103'230 | 1.0471% | |||
| B1UZ0 30Y |
CBPZ0 | 103'250 | 1.250% | $257.09 | $3,781.25 | 1.1029% | 10:02:01 AM CT 12/03/2020 |
103'250 | 1.1030% | |||
| T1UH1 2Y |
CTPH1 | 100'010 | 0.250% | $19.97 | $31.25 | 0.2344% | 10:02:00 AM CT 12/03/2020 |
100'010 | 0.2344% | |||
| F1UH1 5Y |
CFPH1 | 99'307 | 0.500% | $49.70 | -$39.06 | 0.5079% | 10:02:00 AM CT 12/03/2020 |
99'292 | 0.5173% | |||
| S1UH1 7Y |
CHPH1 | 99'225 | 0.500% | $69.12 | -$296.88 | 0.5429% | 10:02:02 AM CT 12/03/2020 |
99'225 | 0.5429% | |||
| N1UH1 10Y |
CNPH1 | 97'285 | 0.750% | $97.34 | -$2,109.38 | 0.9667% | 10:02:00 AM CT 12/03/2020 |
97'230 | 0.9843% | |||
| E1UH1 20Y |
CIPH1 | 98'310 | 1.000% | $182.68 | -$1,031.25 | 1.0564% | 10:02:02 AM CT 12/03/2020 |
98'310 | 1.0564% | |||
| B1UH1 30Y |
CBPH1 | 97'060 | 1.000% | $256.31 | -$2,812.50 | 1.1097% | 10:02:01 AM CT 12/03/2020 |
97'060 | 1.1096% | |||
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