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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% | $19.60 | -$648.44 | 3.3298% | 8:00:06 PM CT 7/20/2019 |
99'112 | 3.3298% | |||
| F1UU9 5Y |
CFPU9 | 105'277 | 3.000% | $47.81 | $5,867.19 | 1.7771% | 8:00:06 PM CT 7/20/2019 |
105'277 | 1.7771% | |||
| S1UU9 7Y |
CHPU9 | 107'180 | 3.000% | $65.89 | $7,562.50 | 1.8561% | 8:00:10 PM CT 7/20/2019 |
107'180 | 1.8561% | |||
| N1UU9 10Y |
CNPU9 | 109'100 | 3.000% | $91.69 | $9,312.50 | 1.9878% | 8:00:07 PM CT 7/20/2019 |
109'100 | 1.9878% | |||
| E1UU9 20Y |
CIPU9 | 101'290 | 3.250% | $166.67 | $1,906.25 | 3.1360% | 8:00:10 PM CT 7/20/2019 |
101'290 | 3.1360% | |||
| B1UU9 30Y |
CBPU9 | 123'000 | 3.250% | $227.41 | $23,000.00 | 2.2421% | 8:00:07 PM CT 7/20/2019 |
123'000 | 2.2420% | |||
| T1UZ9 2Y |
CTPZ9 | 99'112 | 2.500% | $19.53 | -$648.44 | 2.8294% | 8:00:06 PM CT 7/20/2019 |
99'112 | 2.8294% | |||
| F1UZ9 5Y |
CFPZ9 | 105'277 | 2.500% | $47.64 | $5,867.19 | 1.2783% | 8:00:07 PM CT 7/20/2019 |
105'277 | 1.2783% | |||
| S1UZ9 7Y |
CHPZ9 | 107'190 | 2.750% | $65.62 | $7,593.75 | 1.6022% | 5:45:07 PM CT 7/19/2019 |
107'190 | 1.6022% | |||
| N1UZ9 10Y |
CNPZ9 | 109'100 | 2.750% | $91.30 | $9,312.50 | 1.7382% | 8:00:07 PM CT 7/20/2019 |
109'100 | 1.7382% | |||
| E1UZ9 20Y |
CIPZ9 | 101'290 | 3.000% | $165.87 | $1,906.25 | 2.8860% | 8:00:10 PM CT 7/20/2019 |
101'290 | 2.8860% | |||
| B1UZ9 30Y |
CBPZ9 | 123'000 | 3.000% | $226.30 | $23,000.00 | 1.9919% | 8:00:07 PM CT 7/20/2019 |
123'000 | 1.9919% | |||
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