CBOT Interest Rate Swap futures expiring in September 2008 were cash settled at the following final settlement prices --

5-Year: 110-14/32nds or 110-140 
10-Year: 114-6/32nds or 114-060
30-Year: 122-17.5/32nds or 122-175

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, 15 September 2008 --

5-Year: 3.694 
10-Year: 4.244 
30-Year: 4.606

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   312.930.3472     jonathan.kronstein@cmegroup.com 
Frederick Sturm          312.930.1282    frederick.sturm@cmegroup.com

 - September 2008 Interest Rate Swap Futures - 09.15.2008