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

5-Year: 113-0.5/32nds or 113-005
10-Year: 116-6.25/32nds or 116-062
30-Year: 122-1.75/32nds or 122-017

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 March 2008 --

5-Year:   3.165
10-Year: 4.017
30-Year: 4.632

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:

Daniel Grombacher     312.634.1583    daniel.grombacher@cmegroup.com
Jonathan Kronstein     312.930.3472     jonathan.kronstein@cmegroup.com
Frederick Sturm            312.930.1282     mailto:frederick.sturm@cmegroup.com

 - March 2008 Interest Rate Swap Futures - 03.17.2008