CBOT Interest Rate Swap futures expiring in September 2009 were cash settled at the following final settlement prices:

5-Year: 115-12/32nds or 115-120
7-Year: 117-19.25/32nds or 117-192
10-Year: 120-9.5/32nds or 120-095
30-Year: 133-5.75/32nds or 133-057

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, 14 September 2009:

5-Year: 2.693%
7-Year: 3.176%
10-Year: 3.569%
30-Year: 4.074%

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.)

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September Swap Futures Final Settlements