CBOT Interest Rate Swap futures expiring in December 2007 were cash settled today at the following final settlement prices:

5-Year Swap Futures: 106-29.75/32nds or 106-297
10-Year Swap Futures: 108-26/32nds or 108-260
30-Year Swap Futures: 111-27/32nds or 111-270

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, 17 December 2007:

4.439 percent for 5-year swaps
4.876 percent for 10-year swaps
5.215 percent for 30-year swaps

Please refer to the attached workbook for more information regarding calculation of these final settlements. (ISDA® 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:

Daniel Grombacher      312.634.1583     daniel.grombacher@cmegroup.com
Jonathan Kronstein      312.648.3817     jonathan.kronstein@cmegroup.com
Frederick Sturm            312.930.1282     mailto:frederick.sturm@cmegroup.com

December Swap Futures Final Settlements