CBOT June Mortgage Futures Contract Settles At 101 - 1/32

The final settlement price for the CBOT® Mortgage futures contract for June 2001 is 101-1/32 (see attached notice).

The relevant coupons and weights for the Current Mortgage Price Index that will underlie the new October 2001 expiry that starts trading on Monday, June 11 are as follows (see attached notice):

CMPI Coupons and Weights for October 2001

• 6.0% coupon, 25% weight
• 6.5% coupon, 50% weight
• 7.0% coupon, 25% weight

Questions or comments regarding this notice should be directed to Daniel W. Grombacher (312-435-3787) or Julie M. Winkler (312-435-3463) of the Market and Product Development Department.