CME Group » Interest Rates » Interest Rate Swap Futures Final Se
Interest Rate Swap Futures Final Settlements

CBOT Interest Rate Swap futures expiring in December 2011 were cash settled at the following final settlement prices:

5-Year: 113-9.75/32nds or 113-097
7-Year: 115-17.75/32nds or 115-177
10-Year: 117-28/32nds or 117-28
30-Year: 129-19.25/32nds or 129-192

These final settlement prices are based on the following International Swaps and Derivatives Association (ISDA) Benchmark rates, as published on Reuters and Bloomberg at approximately 11:30 am New York time on Monday, 19 December 2011:

5-Year: 1.247%
7-Year: 1.639%
10-Year: 2.017%
30-Year: 2.577%

Please refer to the attached workbook for more information regarding calculation of these final settlements. (ISDA(r) is a registered trademark, and ISDAFIX(sm) is a registered service mark, of the International Swaps and Derivatives Association, Inc. ISDA Benchmark mid-market par swap rates are collected at 11am New York time by Reuters Limited and ICAP plc and are published on Reuters page ISDAFIX1. Source: Reuters Limited.)

If you have questions or comments regarding this e-mail, please contact:

Peter Barker 312.930.8554 peter.barker@cmegroup.com
Daniel Grombacher 312.634.1583 daniel.grombacher@cmegroup.com
Jonathan Kronstein 312.648.3817 jonathan.kronstein@cmegroup.com
Frederick Sturm 312.930.1282 frederick.sturm@cmegroup.com

December Swap Futures Final Settlements