Working Paper 285
Bob Jensen at Trinity University
Exhibit 1
MarginWHEW Bank
Hypothetical Settlements and Yields
EURODOLLAR CME Interest Rate Futures
| Month | Open | High | Low | Settle | Yield |
| December | 94.35 | 94.42 | 94.18 | 94.25 | 5.75 |
| March | 94.15 | 94.19 | 94.09 | 94.12 | 5.88 |
| June | 94.01 | 94.04 | 93.89 | 93.95 | 6.05 |
| September | 93.82 | 93.88 | 93.77 | 93.80 | 6.20 |
The yield rates in the last column are taken from an illustration from the Chicago
Mercantile Exchange as shown in the following web site: http://www.cme.com/market/interest/howto/hedging.html