### 5.44% 0.25277778 0.25 1.0137511 1.

0136
### 5.79% 0.25277778 0.25 1.0146358 1.01448
### 5.87% 0.25277778 0.25 1.0148381 1.01468
### 6.08% 0.25277778 0.25 1.0153689 1.0152
cc rate = 0.0586871 0.05867

June Options
Sept 1999 Dec 1999 Mar 2000 2000 Contract Change
Futures Exp. ------> Yield Yield Yield Yield Futures Exp. ------> Value in Value
June 17, 1999 5.44 5.79 5.87 6.08 June 17, 1999 $0 $0 0
June 30, 1999 5.4 5.75 5.83 6.03 June 30, 1999 $10,625 $10,625 $10,625
July 31, 1999 5.33 5.7 5.78 5.98 July 31, 1999 $24,375 $13,750 $24,375
August 31, 1999 5.23 5.62 5.66 5.74 August 31, 1999 $58,125 $33,750 $58,125
September 17, 1999 5.21 5.59 5.63 5.7 September 17, 1999 $65,625 $7,500 $65,625
September 30, 1999 5.44 5.61 5.68 5.72 30-Sep-99 $45,625 ### $45,625
October 31, 1999 5.44 5.75 5.81 5.85 October 31, 1999 $20,625 ### $20,625
November 30, 1999 5.44 5.85 5.94 6.01 November 30, 1999 -$3,750 ### -$3,750
December 17, 1999 5.44 5.95 5.99 6.05 December 17, 1999 ### ### ###
December 31, 1999 5.44 5.79 6.03 6.08 December 31, 1999 ### $5,625 ###
January 31, 2000 5.44 5.79 6.06 6.1 January 31, 2000 ### -$3,125 ###
February 29, 2000 5.44 5.79 6.04 6.09 February 29, 2000 ### $1,875 ###
March 17, 2000 5.44 5.79 6.01 6.11 March 17, 2000 ### $625 ###
March 31, 2000 5.44 5.79 5.87 6.16 March 31, 2000 -$5,000 $5,625 -$5,000
April 30, 2000 5.44 5.79 5.87 6.21 April 30, 2000 -$8,125 -$3,125 -$8,125
May 31, 2000 5.44 5.79 5.87 6.27 May 31, 2000 ### -$3,750 ###
June 17, 2000 5.44 5.79 5.87 6.34 June 17, 2000 ### -$4,375 ###
###

1999
17-Jun Cash 25,000,000 25,000,000
Notes payable ### ###
-To record borrowing of $25 million at LIBOR

Cash ### 0
Notes receivable 25,000,000 0
-To record lending of $25 million at LIBOR

Cash 0 0
 Futures contracts 0 0
-To record acquisition of 100 futures contracts

30-Jun Cash 0 0
Futures contracts 10,625 10,625 $10,625
Interest expense (revenue) (10,625) (10,625)
Other comprehensive income (OCI)
-To record futures contracts mark-to-market

31-Jul Cash 0 0
Futures contracts 13,750 24,375 $24,375
Interest expense (revenue) (13,750) (24,375)
Other comprehensive income (OCI)
-To record futures contracts mark-to-market

31-Aug Cash 0 0
Futures contracts 33,750 58,125 $58,125
Interest expense (revenue) (33,750) (58,125)
Other comprehensive income (OCI)
-To record futures contracts mark-to-market

17-Sep Cash 0 0
Futures contracts 7,500 65,625 $65,625
Interest expense (revenue) (7,500) (65,625)
Other comprehensive income (OCI)
-To record futures contracts mark-to-market

17-Sep Cash 500,000 500,000

Interest expense (revenue) (500,000) (565,625)
Other comprehensive income (OCI)
-To record interest on note receivable

17-Sep Cash (325,625) 174,375 -340000 14,375

Interest expense (revenue) 325,625 (240,000)
Other comprehensive income (OCI)
-To record interest on note payable

30-Sep Cash 174,375

 Futures contracts (20,000) 45,625 $45,625
Interest expense (revenue) 20,000 (220,000)
Other comprehensive income (OCI)
-To record futures contracts mark-to-market

31-Oct Cash 174,375

Futures contracts (25,000) 20,625 $20,625
Interest expense (revenue) 25,000 (195,000)
Other comprehensive income (OCI)
-To record futures contracts mark-to-market

30-Nov Cash (4,250) 170,125

Futures contracts (20,125) 500 -$3,750
Interest expense (revenue) 24,375 (170,625)
Other comprehensive income (OCI)
-To record futures contracts mark-to-market

17-Dec Cash (11,875) 158,250

Futures contracts 0 500 -$15,625
Interest expense (revenue) 11,875 (158,750)
Other comprehensive income (OCI)
-To record futures contracts mark-to-market

17-Dec Cash 2,558 160,808

Interest expense (revenue) (2,558) (161,308)
Other comprehensive income (OCI)
-To record interest on cash balance

17-Dec Cash 500,000 660,808

Interest expense (revenue) (500,000) (661,308)
Other comprehensive income (OCI)
-To record interest on note receivable

17-Dec Cash (371,875) 288,933 -361875 (10,000)

Interest expense (revenue) 371,875 (289,433)
Other comprehensive income (OCI)
-To record interest on note payable

31-Dec Cash 288,933

 Futures contracts 5,625 6,125 -$10,000
Interest expense (revenue) (5,625) (295,058)
Other comprehensive income (OCI)
-To record futures contracts mark-to-market

31-Dec Interest expense (revenue) 295,058 0

Retained earnings (295,058) (295,058)
-To close the books

2000
31-Jan Cash 288,933
Futures contracts (3,125) 3,000 -$13,125
Interest expense (revenue) 3,125 3,125
Other comprehensive income (OCI)
Retained earnings (295,058)
-To record futures contracts mark-to-market

29-Feb Cash 288,933

Futures contracts 1,875 4,875 -$11,250
Interest expense (revenue) (1,875) 1,250
Other comprehensive income (OCI)
Retained earnings (295,058)
-To record futures contracts mark-to-market

17-Mar Cash 0 288,933

Futures contracts 625 5,500 -$10,625
Interest expense (revenue) (625) 625
Other comprehensive income (OCI)
Retained earnings (295,058)
-To record futures contracts mark-to-market

17-Mar Cash 4,238 293,171

Interest expense (revenue) (4,238) (3,613)
-To record interest on cash balance

17-Mar Cash 500,000 793,171

Interest expense (revenue) (500,000) (503,613)
-To record interest on note receivable
17-Mar Cash (375,625) 417,546 -366875 (8,750)
Interest expense (revenue) 375,625 (127,988)
-To record interest on note payable

31-Mar Cash 417,546

Futures contracts 5,625 11,125 -$5,000
Interest expense (revenue) (5,625) (133,613)
Other comprehensive income (OCI)
Retained earnings (295,058)
-To record futures contracts mark-to-market

30-Apr Cash 417,546

Futures contracts (3,125) 8,000 -$8,125
Interest expense (revenue) 3,125 (130,488)
Other comprehensive income (OCI)
Retained earnings (295,058)
-To record futures contracts mark-to-market

31-May Cash 417,546

Futures contracts (3,750) 4,250 -$11,875
Interest expense (revenue) 3,750 (126,738)
Other comprehensive income (OCI)
Retained earnings (295,058)
-To record futures contracts mark-to-market

17-Jun Cash (125) 417,421

Futures contracts (4,250) 0 -$16,250
Interest expense (revenue) 4,375 (122,363)
Other comprehensive income (OCI)
Retained earnings (295,058)
-To record futures contracts mark-to-market

17-Mar Cash 6,125 423,546

Interest expense (revenue) (6,125) (128,488)
-To record interest on cash balance

17-Jun Cash 500,000 923,546

Interest expense (revenue) (500,000) (628,488)
-To record interest on note receivable
17-Sep Cash (396,250) 527,296 533175 -380000 (16,250)
Interest expense (revenue) 396,250 (232,238) (20,625)
-To record interest on note payable

31-Dec Interest expense (revenue) 232,238 0

Retained earnings (232,238) (527,296)
-To close the books

$543,546 527,296 16,250

2,044,005 2,044,005 0
(1,500,123) ### 20,414
543,881 564,296 20,414
Actual Locked In
8.1760% 8.1760% ###
-6.0005% -5.9188% ###
2.1755% 2.2572% ###
 0 0 0 0 0 0
0 $10,625 0 $10,625 0 $10,625
0 $24,375 0 $24,375 0 $24,375
0 $58,125 0 $58,125 0 $58,125
0 $65,625 0 $65,625 0 $65,625
0 $45,625 0 $45,625 0 $45,625
0 $20,625 0 $20,625 0 $20,625
4250 $500 0 $500 0 $500
0 ### 11875 $500 0 $500
0 -$5,750 0 $6,125 0 $6,125
0 -$8,875 0 $3,000 0 $3,000
0 -$7,000 0 $4,875 0 $4,875
0 -$6,375 0 $5,500 0 $5,500
0 -$750 0 $11,125 0 $11,125
0 -$3,875 0 $8,000 0 $8,000
0 -$7,625 0 $4,250 0 $4,250
0 ### 0 -$125 $125 $0
$4,250 $11,875 $125
###