CBOT Swaps March 2004 Settlement

CBOT® 5-Year and 10-Year Interest Rate Swap futures for March 2004 were cash settled on March 15, 2004 at the following final settlement prices:

CBOT 5-Year Swaps: 113-14.75/32nds or 113-147
CBOT 10-Year Swaps: 115-11.5/32nds or 115-115

These settlement prices are based on the 5-year and 10-year International Swaps and Derivatives Association (ISDA) benchmark swap rates of 3.075 percent and 4.111 percent, respectively, as published on Reuters page ISDAFIX1 at approximately 11:30 a.m. New York time on Monday, March 15, 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.