Hedge Ratios (per 100 contracts of TY):  Maturity & Volatility Risks 3:00 PM 13-Aug
Issue Yield Chg Risk / 01 Mat VaR Lots Vol VaR 2 Vol Ratio Lots Val/ 32nd Issue
TY 3.930 (9.0) 894.36 2,070 100         0.2 2,070 1.000 100 0.349 TY Risk / 01 = Maturity Risk = Amount at risk per $1 million par value, per basis point
10Y 3.589 (12.2) 822.82 2,535 109         0.3 2,070 1.225 89 0.380 10Y
10Y  NI 3.852 (14.2) 896.56 2,887 100         0.3 2,070 1.395 72 0.349 10Y  NI 1 Sigma = Volatility in Basis Points = One standard deviation, last 40 closes
US 4.599 (9.2) 1,430.96 2,371 63         0.3 2,070 1.146 55 0.218 US
30Y 4.429 (9.6) 1,570.31 2,870 57         0.3 2,070 1.387 41 0.199 30Y VaR = Value-at-Risk = Gain (Loss) on a 1 sigma move
FV 2.699 (9.1) 503.08 2,135 178         0.2 2,070 1.032 172 0.621 FV
5Y 2.554 (12.2) 460.28 2,047 194         0.2 2,070 0.989 196 0.679 5Y
5Y  NI 2.992 (12.6) 494.59 2,343 181         0.3 2,070 1.132 160 0.632 5Y  NI Wtg 01 = Maturity Risk Hedge Ratio = Number of contracts to offset 100 TY base
3Y 1.664 (8.0) 291.22 1,380 307         0.2 2,070 0.667 460 1.073 3Y
TU ** 1.718 (4.6) 411.74 665 109         0.1 2,070 0.642 169 1.518 TU ** **  Par value of TU Contract is $200,000.
2Y 1.081 (6.4) 189.32 946 472         0.1 2,070 0.457 1,034 1.651 2Y
GEU9 0.595 (1.5) 25.00 1,890 358         0.2 2,070 0.913 392 GEU9 Vol Ratio = Sigma of Hedge Divided Sigma of TY
GEZ9 0.880 (3.0) 25.00 1,946 358         0.2 2,070 0.940 380 GEZ9 VaR 2 = Value-at-Risk = Gain (Loss) on a 1 sigma move if weighted for both maturity risk and volatility
GEH0 1.290 (6.5) 25.00 1,530 358         0.2 2,070 0.739 484 GEH0
GEM0 3.140 (14.0) 25.00 2,671 358         0.3 2,070 1.290 277 GEM0 w/Vol = Hedge Ratio Using Both Maturity Risk and Volatility = Number of contracts to offset 100 TY
GEU0 3.410 (15.5) 25.00 5,082 358         0.6 2,070 2.455 146 GEU0
GEZ0 3.610 (16.0) 25.00 2,578 358         0.3 2,070 1.246 287   GEZ0 Par value of TY, US, FV and Tsys is $100,000 per contract
GEH1 3.800 (16.5) 25.00 2,723 358         0.3 2,070 1.315 272 GEH1
FFN9 0.180 0.0 41.67 385 215         0.0 2,070 0.186 1,153 FFN9 ED par value is $1,000,000 and FF is $5,000.000.
FFQ9 0.165 (0.3) 41.67 298 215         0.0 2,070 0.144 1,493 FFQ9
FFU9 0.180 (0.5) 41.67 308 215         0.0 2,070 0.149 1,441   FFU9 Val/32nd = Yield change (basis points) per 1/32nd change in price
Hedge Ratios (per 100 contracts of TY):  Maturity & Volatility Risks 16:44:58 18-Nov
Issue Yield Chg Risk / 01 Mat VaR Lots Vol VaR 2 Vol Ratio Lots Val/ 32nd Issue
TY 3.629 (0.5) 927.49 1,988 100         0.2 1,988 1.000 100 0.337 TY Risk / 01 = Maturity Risk = Amount at risk per $1 million par value, per basis point
10Y 3.323 (1.3) 846.50 2,467 110         0.3 1,988 1.241 88 0.369 10Y
10Y  NI 5.394 (1.0) 785.81 4,427 118         0.5 1,988 2.226 53 0.398 10Y  NI 1 Sigma = Volatility in Basis Points = One standard deviation, last 40 closes
US 4.407 (1.2) 1,497.24 2,360 62         0.3 1,988 1.187 52 0.209 US
30Y 4.256 (1.8) 1,701.53 2,863 55         0.3 1,988 1.440 38 0.184 30Y VaR = Value-at-Risk = Gain (Loss) on a 1 sigma move
FV 2.297 (1.1) 515.89 2,071 180         0.2 1,988 1.042 173 0.606 FV
5Y 2.171 (1.3) 474.05 1,879 196         0.2 1,988 0.945 207 0.659 5Y
5Y  NI 4.434 (1.4) 461.72 3,674 201         0.4 1,988 1.848 109 0.677 5Y  NI Wtg 01 = Maturity Risk Hedge Ratio = Number of contracts to offset 100 TY base
3Y 1.274 (1.1) 295.51 1,316 314         0.1 1,988 0.662 474 1.057 3Y
TU ** 1.356 (0.8) 415.79 685 112         0.1 1,988 0.689 162 1.503 TU ** **  Par value of TU Contract is $200,000.
2Y 0.757 (0.8) 200.16 972 463         0.1 1,988 0.489 947 1.561 2Y
GEZ9 0.277 (9.3) 25.00 2,220 371         0.2 1,988 1.117 332 GEZ9 Vol Ratio = Sigma of Hedge Divided Sigma of TY
GEH0 0.355 (23.0) 25.00 2,387 371         0.3 1,988 1.201 309 GEH0 VaR 2 = Value-at-Risk = Gain (Loss) on a 1 sigma move if weighted for both maturity risk and volatility
GEM0 0.540 (187.0) 25.00 2,082 371         0.2 1,988 1.047 354 GEM0
GEU0 0.850 (184.5) 25.00 2,033 371         0.2 1,988 1.023 363 GEU0 w/Vol = Hedge Ratio Using Both Maturity Risk and Volatility = Number of contracts to offset 100 TY
GEZ0 1.230 (171.5) 25.00 5,105 371         0.6 1,988 2.568 144 GEZ0
GEH1 1.590 (159.0) 25.00 3,035 371         0.3 1,988 1.526 243   GEH1 Par value of TY, US, FV and Tsys is $100,000 per contract
GEM1 1.940 (144.5) 25.00 2,965 371         0.3 1,988 1.492 249 GEM1
FFV9 0.120 0.0 41.67 410 223         0.0 1,988 0.206 1,079 FFV9 ED par value is $1,000,000 and FF is $5,000.000.
FFX9 0.125 (0.3) 41.67 332 223         0.0 1,988 0.167 1,334 FFX9
FFZ9 0.130 0.0 41.67 351 223         0.0 1,988 0.176 1,262   FFZ9 Val/32nd = Yield change (basis points) per 1/32nd change in price
 Hedge Ratios per Base Contract, Weighted By Risk/01 (Maturity Risk) 16:44:58 18-Nov
  Hedge 30yr US TY 10yr NI FV 5 Swap 5Y 3Y TU 2yr ED FF
Base Risk/01 1,701.53 1,497.24 927.49 846.50 461.72 515.89 785.81 474.05 295.51 207.89 200.16 25.00 41.67
30yr 1,701.53   1.14 1.83 2.01 3.69 3.30 2.17 3.59 5.76 8.18 8.50 68.06 40.83
US 1,497.24 0.88 1.61 1.77 3.24 2.90 1.91 3.16 5.07 7.20 7.48 59.89 35.93
TY 927.49 0.55 0.62   1.10 2.01 1.80 1.18 1.96 3.14 4.46 4.63 37.10 22.26
10yr 846.50 0.50 0.57 0.91 1.83 1.64 1.08 1.79 2.86 4.07 4.23 33.86 20.31
NI 461.72 0.27 0.31 0.50 0.55   0.89 0.59 0.97 1.56 2.22 2.31 18.47 11.08
FV 515.89 0.30 0.34 0.56 0.61 1.12   0.66 1.09 1.75 2.48 2.58 20.64 12.38
5 Swap 785.81 0.46 0.52 0.85 0.93 1.70 1.52 1.66 2.66 3.78 3.93 31.43 18.86
5yr 474.05 0.28 0.32 0.51 0.56 1.03 0.92 0.60   1.60 2.28 2.37 18.96 11.38
3yr 295.51 0.17 0.20 0.32 0.35 0.64 0.57 0.38 0.62 1.42 1.48 11.82 7.09
TU 207.89 0.12 0.14 0.22 0.25 0.45 0.40 0.26 0.44 0.70 1.04 8.32 4.99
2yr 200.16 0.12 0.13 0.22 0.24 0.43 0.39 0.25 0.42 0.68 0.96 8.01 4.80
ED 25.00 0.01 0.02 0.03 0.03 0.05 0.05 0.03 0.05 0.08 0.12 0.12 0.60
FF 41.67 0.02 0.03 0.04 0.05 0.09 0.08 0.05 0.09 0.14 0.20 0.21 1.67