Table 5
U.S. Treasury Note 7.530% U.S. Treasury Money Fund 4.970%
01/01/94 N/A N/A
01/31/94 (41,245,085) (8,032,681)
02/01/94 2,966,230 33,770
05/01/94 4,938,996 61,004
07/01/94 1,543,650 (1,544,437) 787
01/01/95 1,780,000 1,543,650 1,635,279 41,071
07/01/95 1,476,633 (1,476,730) 97
09/01/95 18,275,000 231,844 1,480,655 12,500
01/01/96 788,579 (788,579) 0
03/01/96 20,945,000 259,971 788,586 6,443
Date
Value
Payment (-)
Sell
Receipt (+)
Interest
Receipt (+)
Value/Buy
Payment (-)
Sell
Receipt (+)
Interest
Receipt (+)
(41,245,085) 41,000,000 5,844,328 (11,842,427) 11,809,746 155,672
Table 6 summarizes the payments and receipts from Table 5 included in the computation of
yield on investment. The total payments column represents the sum of payments from the value
of investments (as of January 31, 1994) and purchases of the fund. The total receipts column
represents the sum of receipts from investment earnings on and sales of the note and the fund.
Under the yield restriction requirements, the yield on investments cannot be materially higher
than the yield on the bonds. The yield on an investment allocated to an issue is the discount rate
that, when used in computing the present value as of the date the investment is first allocated
to the issue of all unconditionally payable receipts from the investment, produces an amount
equal to the present value of all unconditionally payable payments for the investment. When the
net receipts and payments in Table 6 are present valued to January 31, 1994, that discount rate
(which is the yield on investment) is 7.451%, exceeds the materially higher yield limit of 7.125%.
Table 6
Date
Total
Payments (-)
Total
Receipts (+)
Net Payments
and Receipts
01/01/94 0
01/31/94 (49,277,766) 0 (49,277,766)
02/01/94 0 3,000,000 3,000,000
05/01/94 0 5,000,000 5,000,000
07/01/94 (1,544,437) 1,544,437 0
01/01/95 0 5,000,000 5,000,000
07/01/95 (1,476,730) 1,476,730 0
09/01/95 0 20,000,000 20,000,000
01/01/96 (788,579) 788,579 0
03/01/96 0 22,000,000 22,000,000
(53,087,512) 58,809,746 5,722,234
Table 7 illustrates a method of calculating the excess arbitrage earnings equaling the amount
23