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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 | ||||||
| T1UU8 2Y |
CTPU8 | 99'112 | 2.250% | $19.39 | -$648.44 | 2.5833% | 2:45:08 PM CT 7/22/2018 |
99'112 | 2.5833% | |||
| F1UU8 5Y |
CFPU8 | 96'240 | 2.250% | $46.53 | -$3,250.00 | 2.9462% | 2:45:08 PM CT 7/22/2018 |
96'240 | 2.9462% | |||
| S1UU8 7Y |
CHPU8 | 103'260 | 2.250% | $63.52 | $3,812.50 | 1.6517% | 2:45:11 PM CT 7/22/2018 |
103'260 | 1.6517% | |||
| N1UU8 10Y |
CNPU8 | 95'195 | 2.500% | $87.39 | -$4,390.62 | 3.0008% | 2:45:08 PM CT 7/22/2018 |
95'195 | 3.0008% | |||
| E1UU8 20Y |
CIPU8 | 101'290 | 2.500% | $154.88 | $1,906.25 | 2.3773% | 2:45:11 PM CT 7/22/2018 |
101'290 | 2.3773% | |||
| B1UU8 30Y |
CBPU8 | 89'090 | 2.500% | $207.75 | -$10,718.75 | 3.0142% | 2:45:08 PM CT 7/22/2018 |
89'090 | 3.0142% | |||
| T1UZ8 2Y |
CTPZ8 | 99'112 | 2.750% | $19.27 | -$648.44 | 3.0837% | 2:45:08 PM CT 7/22/2018 |
99'112 | 3.0837% | |||
| F1UZ8 5Y |
CFPZ8 | 96'240 | 2.750% | $46.23 | -$3,250.00 | 3.4471% | 2:45:08 PM CT 7/22/2018 |
96'240 | 3.4471% | |||
| S1UZ8 7Y |
CHPZ8 | 103'260 | 2.750% | $63.11 | $3,812.50 | 2.1509% | 2:45:11 PM CT 7/22/2018 |
103'260 | 2.1509% | |||
| N1UZ8 10Y |
CNPZ8 | 95'195 | 3.000% | $86.82 | -$4,390.62 | 3.5014% | 2:45:08 PM CT 7/22/2018 |
95'195 | 3.5014% | |||
| E1UZ8 20Y |
CIPZ8 | 101'290 | 3.000% | $153.89 | $1,906.25 | 2.8772% | 2:45:11 PM CT 7/22/2018 |
101'290 | 2.8772% | |||
| B1UZ8 30Y |
CBPZ8 | 89'090 | 3.000% | $206.45 | -$10,718.75 | 3.5148% | 2:45:08 PM CT 7/22/2018 |
89'090 | 3.5148% | |||
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