Interest Rate Swap Futures Final Settlements

CBOT Interest Rate Swap futures expiring in September 2013 were cash settled at the following final settlement prices:

5-Year: 110-26.25/32nds or 110-262
7-Year: 110-16.25/32nds or 110-162
10-Year: 108-31.75/32nds or 108-317
30-Year: 103-22.75/32nds or 103-227

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, 16 September 2013:

5-Year: 1.732%
7-Year: 2.362%
10-Year: 2.955%
30-Year: 3.792%

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:

David Reif +1 312 648 3839 david.reif@cmegroup.com
Daniel Grombacher +1 312 634 1583 daniel.grombacher@cmegroup.com
Jonathan Kronstein +1 312 930 3472 jonathan.kronstein@cmegroup.com
Frederick Sturm +1 312 930 1282 frederick.sturm@cmegroup.com