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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% | $19.99 | $375.00 | 1.3124% | 8:17:11 AM CT 8/14/2020 |
100'120 | 1.3124% | |||
| F1UU0 5Y |
CFPU0 | 100'225 | 1.500% | $49.89 | $703.12 | 1.3591% | 8:17:11 AM CT 8/14/2020 |
100'220 | 1.3622% | |||
| S1UU0 7Y |
CHPU0 | 100'050 | 1.750% | $69.60 | $156.25 | 1.7276% | 8:17:16 AM CT 8/14/2020 |
100'050 | 1.7275% | |||
| N1UU0 10Y |
CNPU0 | 100'165 | 1.750% | $98.56 | $515.62 | 1.6977% | 8:17:11 AM CT 8/14/2020 |
100'140 | 1.7056% | |||
| E1UU0 20Y |
CIPU0 | 92'210 | 2.000% | $188.91 | -$7,343.75 | 2.3887% | 8:17:16 AM CT 8/14/2020 |
92'210 | 2.3892% | |||
| B1UU0 30Y |
CBPU0 | 99'030 | 2.000% | $270.68 | -$906.25 | 2.0335% | 8:17:11 AM CT 8/14/2020 |
99'030 | 2.0335% | |||
| T1UZ0 2Y |
CTPZ0 | 100'120 | 0.750% | $19.99 | $375.00 | 0.5624% | 8:17:11 AM CT 8/14/2020 |
100'120 | 0.5624% | |||
| F1UZ0 5Y |
CFPZ0 | 100'220 | 1.000% | $49.86 | $687.50 | 0.8622% | 8:17:11 AM CT 8/14/2020 |
100'220 | 0.8621% | |||
| S1UZ0 7Y |
CHPZ0 | 100'050 | 1.000% | $69.54 | $156.25 | 0.9775% | 8:17:16 AM CT 8/14/2020 |
100'050 | 0.9775% | |||
| N1UZ0 10Y |
CNPZ0 | 100'140 | 1.000% | $98.43 | $437.50 | 0.9556% | 8:17:11 AM CT 8/14/2020 |
100'140 | 0.9555% | |||
| E1UZ0 20Y |
CIPZ0 | 92'210 | 1.250% | $188.55 | -$7,343.75 | 1.6394% | 8:17:16 AM CT 8/14/2020 |
92'210 | 1.6398% | |||
| B1UZ0 30Y |
CBPZ0 | 99'030 | 1.250% | $270.14 | -$906.25 | 1.2835% | 8:17:11 AM CT 8/14/2020 |
99'030 | 1.2836% | |||
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