Working Paper 285
Bob Jensen at Trinity University
Exhibit 2
MarginWHEW Bank Case Yield Rates
Hypothetical Yields for Educational Purposes
EURODOLLAR CME Interest Rate Futures
$ Million; pts. of 100%
|
Hypothetical |
Futures Exp. ------> |
Dec. 1999 |
Mar 2000 |
June 2000 |
Sept. 2000 |
| 5.75 | December 17, 1999 |
5.75 |
5.88 |
6.05 |
6.20 |
| 5.79 | December 31, 1999 |
5.90 |
6.09 |
6.23 |
|
| 5.89 | January 31, 2000 |
6.10 |
6.18 |
6.26 |
|
| 6.45 | February 29, 2000 |
6.50 |
6.59 |
6.69 |
|
| 7.02 | March 17, 2000 |
7.02 |
7.08 |
7.15 |
|
| 7.06 | March 31, 2000 |
7.10 |
7.17 |
||
| 7.09 | April 30, 2000 |
7.12 |
7.20 |
||
| 7.12 | May 31, 2000 |
7.14 |
7.23 |
||
| 7.20 | June 17, 2000 |
7.20 |
7.25 |
||
| 7.22 | June 30, 2000 |
7.28 |
|||
| 7.25 | July 31, 2000 |
7.30 |
|||
| 7.27 | August 31, 2000 |
7.33 |
|||
| 7.31 | September 17, 2000 |
7.34 |
|||
| 7.34 | September 30, 2000 |
||||
October 31, 2000 |
|||||
November 30, 2000 |
|||||
December 17, 2000 |
Exhibit 3
MarginWHEW Bank Case Loan Rates
Hypothetical Loan Rates for Notes Payable
Notes Payable Loan Period |
Annualized Spot Rate |
Quarterly Spot Rate |
| December 18, 1999 to March 17, 2000 | 5.75% | 1.4535% |
| March 18, 2000 to June 17, 2000 | 7.02% | 1.7745% |
| June 18, 2000 to September 17, 2000 | 7.20% | 1.8200% |
| September 18, 2000 to December 17, 2000 | 7.31% | 1.8478% |
The Exhibit 3 interest rates 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. The interest rates are adjusted by 91/360 factors rather than 90/360 factors in the MarginWHEW Case.