Working Paper 285
Bob Jensen at Trinity University


CapIT Bank Exhibit 2
Hypothetical Yieldment Prices 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 2000 Yield
June 17, 1999 5.44 5.79 5.87 6.08
June 30, 1999 5.40 5.75 5.83 6.03
July 31, 1999 5.33 5.70 5.78 5.98
August 31, 1999 5.23 5.62 5.66 5.74
September 17, 1999 5.21 5.59 5.63 5.70
Septermber 30, 1999   5.61 5.68 5.72
October 31, 1999   5.53 5.60 5.66
November 30, 1999   5.39 5.45 5.54
December 17, 1999   5.32 5.38 5.43
December 31, 1999     5.31 5.38
January 31, 2000     5.22 5.31
February 29, 2000     5.17 5.26
March 17, 2000     5.08 5.16
March 31, 2000       5.11
April 30, 2000       5.03
May 31, 2000       4.95
June 17, 2000       4.84

Est. vol. 512,755       Tuesday (June 16, 1999) 376.319    open int 3,343,614 -- 13,683