CBOT 5-Year Swaps: 109-28.25/32nds or 109-282
CBOT 10-Year Swaps: 111-3.5/32nds or 111-035
These settlement prices are based on the 5-year and 10-year International Swaps and Derivatives Association (ISDA) benchmark swap rates of 3.811 percent and 4.601 percent, respectively, as published on Reuters page ISDAFIX1 at approximately 11:30 a.m. New York time on Monday, September 13, 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.
For more information about CBOT interest rate swap futures, email swaps@cbot.com or call 312-341-7955.
