Hedge Ratios (per 100 contracts of TY):  Maturity & Volatility Risks 3:00 PM 3-Jul
Issue Yield Chg Risk / 01 Mat VaR Lots Vol VaR 2 Vol Ratio Lots Val/ 32nd Issue
TY 4.225 (1.6) 876.00 1,413 100         0.2 1,413 1.000 100 0.357 TYZ Risk / 01 = Maturity Risk = Amount at risk per $1 million par value, per basis point
10Y 3.969 0.9 801.49 1,225 109         0.1 1,413 0.867 126 0.390 10Y
10Y  NI 4.789 1.7 833.42 1,752 105         0.2 1,413 1.240 85 0.375 10Y  NI 1 Sigma = Volatility in Basis Points = One standard deviation, last 40 closes
US 4.761 1.8 1,418.78 1,004 62         0.1 1,413 0.711 87 0.220 USZ
30Y 4.526 1.9 1,592.17 758 55         0.1 1,413 0.536 103 0.196 30Y VaR = Value-at-Risk = Gain (Loss) on a 1 sigma move
FV 3.599 (3.1) 481.64 2,026 182         0.2 1,413 1.434 127 0.649 FVZ
5Y 3.269 (2.6) 466.98 1,905 188         0.2 1,413 1.348 139 0.669 5Y Wtg 01 = Maturity Risk Hedge Ratio = Number of contracts to offset 100 TY base
5Y  NI 4.363 0.0 463.73 2,622 189         0.3 1,413 1.856 102 0.674 5Y  NI
3Y 2.632 (3.6) 373.59 1,827 234         0.2 1,413 1.293 181 0.836 3Y Vol Ratio = Sigma of Hedge Divided Sigma of TY
TU ** 2.988 (4.3) 199.61 1,130 219         0.3 1,413 1.599 137 1.566 TUZ **
2Y 2.525 (5.6) 224.62 2,012 390         0.2 1,413 1.424 274 1.391 2Y VaR 2 = Value-at-Risk = Gain (Loss) on a 1 sigma move if weighted for both maturity risk and volatility
GEU8 2.920 (1.0) 25.00 2,007 350         0.2 1,413 1.420 247 GEU8
GEZ8 3.130 (2.5) 25.00 3,011 350         0.3 1,413 2.131 164 GEZ8 w/Vol = Hedge Ratio Using Both Maturity Risk and Volatility = Number of contracts to offset 100 TY
GEH9 3.235 (4.5) 25.00 2,920 350         0.3 1,413 2.067 170 GEH9
GEM9 3.440 (5.0) 25.00 3,095 350         0.4 1,413 2.190 160 GEM9 **  Par value of TU Contract is $200,000.
GEU9 3.705 (4.0) 25.00 3,218 350         0.4 1,413 2.277 154 GEU9
GEZ9 4.010 (2.0) 25.00 3,438 350         0.4 1,413 2.433 144   GEZ9 Par value of TY, US, FV and Tsys is $100,000 per contract
GEH0 4.230 (0.5) 25.00 3,349 350         0.4 1,413 2.370 148 GEH0
FFN8 2.010 0.0 41.67 250 210         0.0 1,413 0.177 1,187 FFN8 ED par value is $1,000,000 and FF is $5,000.000.
FFQ8 2.040 (1.5) 41.67 586 210         0.1 1,413 0.414 507 FFQ8
FFU8 2.095 (1.5) 41.67 939 210         0.1 1,413 0.664 316   FFU8 Val/32nd = Yield change (basis points) per 1/32nd change in price
 Hedge Ratios per Base Contract, Weighted By Risk/01 (Maturity Risk) 3:00 PM 3-Jul
  Hedge 30yr US TY 10yr NI FV 5 Swap 5Y 3Y TU 2yr ED FF
Base Risk/01 1,592.17 1,418.78 876.00 801.49 463.73 481.64 833.42 466.98 373.59 199.61 224.62 25.00 41.67
30yr 1,592.17   1.12 1.82 1.99 3.43 3.31 1.91 3.41 4.26 7.98 7.09 63.69 38.21
US 1,418.78 0.89 1.62 1.77 3.06 2.95 1.70 3.04 3.80 7.11 6.32 56.75 34.05
TY 876.00 0.55 0.62   1.09 1.89 1.82 1.05 1.88 2.34 4.39 3.90 35.04 21.02
10yr 801.49 0.50 0.56 0.91 1.73 1.66 0.96 1.72 2.15 4.02 3.57 32.06 19.23
NI 463.73 0.29 0.33 0.53 0.58   0.96 0.56 0.99 1.24 2.32 2.06 18.55 11.13
FV 481.64 0.30 0.34 0.55 0.60 1.04   0.58 1.03 1.29 2.41 2.14 19.27 11.56
5 Swap 833.42 0.52 0.59 0.95 1.04 1.80 1.73 1.78 2.23 4.18 3.71 33.34 20.00
5yr 466.98 0.29 0.33 0.53 0.58 1.01 0.97 0.56   1.25 2.34 2.08 18.68 11.21
3yr 373.59 0.23 0.26 0.43 0.47 0.81 0.78 0.45 0.80 1.87 1.66 14.94 8.97
TU 199.61 0.13 0.14 0.23 0.25 0.43 0.41 0.24 0.43 0.53 0.89 7.98 4.79
2yr 224.62 0.14 0.16 0.26 0.28 0.48 0.47 0.27 0.48 0.60 1.13 8.98 5.39
ED 25.00 0.02 0.02 0.03 0.03 0.05 0.05 0.03 0.05 0.07 0.13 0.11 0.60
FF 41.67 0.03 0.03 0.05 0.05 0.09 0.09 0.05 0.09 0.11 0.21 0.19 1.67