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%; Assume LIBOR = 5.38% on June 17
| Spot Yield | Date | Sept 1999 Yield | Dec 1999 Yield | Mar 2000 Yield |
| 5.38 | June 17, 1999 | 5.44 | 5.79 | 5.87 |
| 5.36 | June 30, 1999 | 5.40 | 5.75 | 5.83 |
| 5.30 | July 31, 1999 | 5.33 | 5.70 | 5.78 |
| 5.22 | August 31, 1999 | 5.23 | 5.62 | 5.66 |
| 5.21 | Sept. 17, 1999 | 5.21 | 5.59 | 5.63 |
| 5.49 | Sept. 30, 1999 | 5.61 | 5.68 | |
| 5.60 | Oct. 31, 1999 | 5.75 | 5.81 | |
| 5.76 | Nov. 30, 1999 | 5.85 | 5.94 | |
| 5.95 | Dec. 17, 1999 | 5.95 | 5.99 | |
| 5.84 | Dec. 31, 1999 | 5.97 | ||
| 5.88 | Jan. 31, 2000 | 5.94 | ||
| 5.76 | Feb. 29, 2000 | 5.81 | ||
| 5.65 | March 17, 2000 | 5.65 | ||
| 5.61 | March 31, 2000 | |||
| 5.59 | April 30, 2000 | |||
| 5.48 | May 31, 2000 | |||
| 5.39 | 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 |
Quarterly Rate |
| June 18, 1999 to September 17, 1999 | 1.3599% |
| September 18, 1999 to December 17,1999 | 1.3170% |
December 18, 1999 to March 17, 2000 |
1.5040% |
| March 18, 2000 to June 17, 2000 | 1.3625% |
The quarterly rates are adjusted from annual APR rates by 91/360 factors rather than 90/360 factors.