| Notes: |
| • |
The yield curve is constructed daily as piecewise linear segments. |
| • |
Individual segments are constructed as zero coupon yields from current quotations for deposit rates and Eurodollar futures. The
segments are consecutively linked mathematically, according to conventional yield curve construction techniques. |
| • |
Quotations for deposit rates and Eurodollar futures are used to construct the yield curve because they are
actively traded and, therefore, have good price (and yield) discovery. |
| • |
The interest rate for a given index future is determined by selecting the yield that corresponds to its
settlement (expiration) date on the yield curve. Internally, this is accomplished by interpolation,
using the two yields at the nodes of the relevant line segment; viz., the line segment defined by the
date coordinates that surround the futures' expiration date. |
| • |
The interest rates in the following tables are rounded to six decimal places; internal precision is
maintained to at least twelve decimal places. |
