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