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 Yield Curve [This yield curve provides the interest rates used to calculate index arbitrage program trading values.]
 Updated: Thursday, June-30-2022 6:45pm ET

 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.

 Yield Curve Data Used to Construct the Above Graph Yield Curve Origin Date is 07-01-2022
Date Number
of Days
from Origin
Interest Rate
(%)
07-01-20220.000000
07-02-20221.537572
08-01-202231 1.897548
10-19-2022110 2.402302
11-16-2022138 2.552949
12-21-2022173 2.763882

 Table of the active index futures and the interest rates (derived from the above yield curve) that are used to calculate their index arbitrage program trading values.
Index Futures Index Futures
Expiration Date
Number
of Days
from Origin
Interest Rate
(%)
S&P 500
SEP 2022 09-16-2022   76   2.185066
DEC 2022 12-16-2022   167   2.727722
Nasdaq 100
SEP 2022 09-16-2022   77   2.191456
DEC 2022 12-16-2022   168   2.733749
Dow Jones
SEP 2022 09-16-2022   76   2.185066
DEC 2022 12-16-2022   167   2.727722

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