The CBOT® 5-Year and 10-Year Interest Rate Swap futures contracts for December 2002 were cash settled December 16th at the following final settlement prices:
- CBOT 5-Year Swaps: 111-9.5/32nds or 111-095
- CBOT 10-Year Swaps: 111-20.25/32nds or 111-202
These settlement prices are based on the 5-year and 10-year International Swaps and Derivatives Association (ISDA) benchmark swap rates of 3.516 percent and 4.540 percent, respectively, as published on Reuters page ISDAFIX1 at approximately 10:30 a.m. Chicago time on Monday, December 16, 2002. (ISDA Benchmark mid-market par swap rates are collected at 11:00 am New York time by Reuters Limited and Garban Intercapital plc and published on Reuters page ISDAFIX1. Source: Reuters Limited.)