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