Working Paper 286
Bob Jensen at Trinity University
Exhibit 2
MarginOOPS Bank Case Yield Rates
Hypothetical Yields for Educational Purposes
EURODOLLAR CME Interest Rate Futures
$ Million; pts. of 100%; LIBOR = 5.18% on June 17
Futures Exp. ---> | Sept 1999 Yield | Dec 1999 Yield | Mar 2000 Yield |
June 17, 1999 | 5.44 | 5.79 | 5.87 |
June 30, 1999 | 5.40 | 5.75 | 5.83 |
July 31, 1999 | 5.33 | 5.70 | 5.75 |
August 31, 1999 | 5.23 | 5.62 | 5.66 |
September 17, 1999 | 5.21 | 5.59 | 5.63 |
September 30, 1999 | 5.61 | 5.68 | |
October 31, 1999 | 5.75 | 5.81 | |
November 30, 1999 | 5.85 | 5.94 | |
December 17, 1999 | 5.95 | 5.99 | |
December 31, 1999 | 5.97 | ||
January 31, 2000 | 5.94 | ||
February 29, 2000 | 5.81 | ||
March 17, 2000 | 5.73 | ||
March 31, 2000 | |||
April 30, 2000 | |||
May 31, 2000 | |||
June 17, 2000 |
Est. vol. 512,755 Tuesday (June 16, 1999) 376.319
open int 3,343,614 -- 13,683
Exhibit 3
MarginOOPS Bank Case Loan Rates
Hypothetical Loan Rates for Notes Payable
Notes Payable Loan Period |
Annualized Rate |
Quarterly Rate |
June 18, 1999 to September 17, 1999 | 6.00% | 1.5000% |
September 18, 1999 to December 17,1999 | 5.95% | 1.4875% |
December 18, 1999 to March 17, 2000 |
6.35% | 1.5875% |
March 18, 2000 to June 17, 2000 | 6.26% | 1.5650% |