Legs vs CBT Futures, By Sector					3:00 PM	30-Dec										3:00 PM						30-Dec
Issue	Yield	Chg	Leg - TU	Chg	29-Dec	26-Dec	24-Dec	23-Dec	22-Dec	Min	Max	Avg	Normal	Vol	Sigma	Issue	30-Dec	29-Dec	26-Dec	24-Dec	23-Dec	22-Dec
GEH0	1.700	(2.5)	30.3	1.3	29.0	28.8	31.2	25.9	27.2	15.9	115.4	48.1	14	24.0	(0.7)	GEH0	1.700	1.725	1.840	1.875	1.815	1.850
2yr Bundle	1.797	(1.0)	40.0	2.8	37.2	35.9	37.1	32.7	34.5	25.4	114.8	68.4	16	28.2	(1.0)	2yr Bundle	1.797	1.807	1.911	1.934	1.883	1.923
2yr Swap	1.126	(4.7)	(27.1)	(1.0)	(26.1)	(26.8)	(26.4)	(26.4)	(30.6)	(61.9)	2.5	(29.9)	54	19.2	0.1	2yr Swap	1.126	1.173	1.284	1.299	1.291	1.272
2Y Tsys	0.733	(4.7)	(66.4)	(1.0)	(65.4)	(66.1)	(65.7)	(65.7)	(69.9)	(101.2)	(36.8)	(69.2)	54	19.2	0.1	2Y Tsys	0.733	0.780	0.891	0.906	0.898	0.879
FF Strip	0.162	(0.7)	(123.6)	3.0	(126.6)	(136.3)	(136.9)	(136.1)	(138.6)	(158.0)	(90.9)	(132.1)	51	15.2	0.6	FF Strip	0.162	0.169	0.188	0.194	0.195	0.192
TU	1.397	(3.8)	Leg - FV	Chg	29-Dec	26-Dec	24-Dec	23-Dec	22-Dec	Min	Max	Avg	Normal	Vol	Sigma	TU	1.397	1.435	1.552	1.563	1.556	1.578
5yr Bundle	2.800	0.3	92.2	(3.4)	95.6	95.7	92.1	90.5	91.4	88.0	144.7	112.5	8	18.9	(1.1)	5yr Bundle	2.800	2.797	2.855	2.870	2.823	2.845
Swap CBT	2.511	(1.8)	63.3	(5.5)	68.8	68.5	64.9	62.2	56.3	54.5	171.9	102.3	7	39.1	(1.0)	Swap CBT	2.511	2.529	2.584	2.597	2.540	2.494
5yr Swap	1.923	(0.0)	4.5	(3.7)	8.2	9.3	6.8	5.7	(6.4)	(15.0)	45.9	12.8	32	20.0	(0.4)	5yr Swap	1.923	1.923	1.991	2.017	1.975	1.867
GEU0	2.550	1.0	67.2	(2.7)	69.9	69.7	66.1	61.7	63.9	58.3	189.1	118.2	7	47.2	(1.1)	GEU0	2.550	2.540	2.595	2.610	2.535	2.570
5Y Tsys	1.448	(0.0)	(43.0)	(3.7)	(39.3)	(38.2)	(40.7)	(41.8)	(53.9)	(62.5)	(1.6)	(34.7)	32	20.0	(0.4)	5Y Tsys	1.448	1.448	1.516	1.542	1.500	1.392
FV	1.878	3.7	Leg - TY	Chg	29-Dec	26-Dec	24-Dec	23-Dec	22-Dec	Min	Max	Avg	Normal	Vol	Sigma	FV	1.878	1.841	1.898	1.949	1.918	1.931
Swap CBT	2.136	0.9	(70.9)	(3.6)	(67.3)	(60.3)	(66.2)	(66.7)	(70.4)	(81.8)	1.6	(57.7)	13	16.2	(0.8)	Swap CBT	2.136	2.127	2.238	2.241	2.193	2.178
10yr Swap	2.604	(2.8)	(24.0)	(7.3)	(16.7)	(15.3)	(19.0)	(17.5)	(20.7)	(24.0)	34.7	3.6	0	17.4	(1.6)	10yr Swap	2.604	2.632	2.688	2.712	2.685	2.676
10Y Tsys	2.074	(2.8)	(77.0)	(7.3)	(69.7)	(68.3)	(72.0)	(70.5)	(73.7)	(77.0)	(18.3)	(49.4)	0	17.4	(1.6)	10Y Tsys	2.074	2.102	2.158	2.182	2.155	2.146
TY	2.844	4.5	Leg - US	Chg	29-Dec	26-Dec	24-Dec	23-Dec	22-Dec	Min	Max	Avg	Normal	Vol	Sigma	TY	2.844	2.799	2.841	2.902	2.860	2.882
30yr Swap	2.884	(5.7)	(30.0)	0.0	(27.1)	(28.4)	(29.4)	(27.2)	(31.9)	(34.8)	2.5	(17.6)	13	10.4	(1.2)	30yr Swap	2.884	2.941	2.914	2.942	2.935	2.905
30Y Tsys	2.574	(5.7)	(61.0)	(2.8)	(58.1)	(59.4)	(60.4)	(58.2)	(62.9)	(65.8)	(28.5)	(48.6)	13	10.4	(1.2)	30Y Tsys	2.574	2.631	2.604	2.632	2.625	2.595
US	3.184	(2.9)														US	3.184	3.213	3.198	3.236	3.207	3.224