CBOT 5-Year Swaps: 106-18.5/32nds or 106-185
CBOT 10-Year Swaps: 105-5.25/32nds or 105-052
These settlement prices are based on the 5-year and 10-year International Swaps and Derivatives Association (ISDA) benchmark swap rates of 4.516 percent and 5.327 percent, respectively, as published on Reuters page ISDAFIX1 at approximately 11:30 a.m. New York time on Monday, June 14, 2004. (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.) Please refer to the attached spreadsheet for more information regarding the calculation of these settlements.
