Hedge Ratios (per 100 contracts of TY):  Maturity & Volatility Risks										3:00 PM	1-Jul
Issue	Yield	Chg	Risk / 01	Mat VaR	Lots	Vol	VaR 2	Vol Ratio	Lots	Val/ 32nd	Issue
TY	4.010	0.0	895.24	2,125	100	0.2	2,125	1.000	100	0.349	TY	Risk / 01 = Maturity Risk = Amount at risk per $1 million par value, per basis point
10Y	3.546	1.9	803.77	2,509	111	0.3	2,125	1.181	94	0.389	10Y
10Y  NI	3.883	0.7	906.57	2,908	99	0.3	2,125	1.369	72	0.345	10Y  NI	1 Sigma = Volatility in Basis Points = One standard deviation, last 40 closes
US	4.596	0.9	1,455.87	2,371	61	0.3	2,125	1.116	55	0.215	US
30Y	4.339	2.5	1,655.70	2,813	54	0.3	2,125	1.324	41	0.189	30Y	VaR = Value-at-Risk = Gain (Loss) on a 1 sigma move
FV	#NUM!	#NUM!	502.22	#NUM!	178	#NUM!	#NUM!	#NUM!	#NUM!	0.622	FV
5Y	2.514	(5.4)	468.34	2,019	191	0.2	2,125	0.950	201	0.667	5Y
5Y  NI	3.108	(4.7)	493.62	2,400	181	0.3	2,125	1.130	161	0.633	5Y  NI	Wtg 01 = Maturity Risk Hedge Ratio = Number of contracts to offset 100 TY base
3Y	1.554	(8.1)	294.71	1,328	304	0.1	2,125	0.625	486	1.060	3Y
TU **	1.794	(5.7)	410.86	679	109	0.2	2,125	0.639	171	1.521	TU **	**  Par value of TU Contract is $200,000.
2Y	1.054	(7.1)	196.75	937	455	0.1	2,125	0.441	1,031	1.588	2Y
GEU9	0.860	(4.5)	25.00	1,745	358	0.2	2,125	0.821	436		GEU9	Vol Ratio = Sigma of Hedge Divided Sigma of TY
GEZ9	1.110	(6.5)	25.00	1,865	358	0.2	2,125	0.878	408		GEZ9	VaR 2 = Value-at-Risk = Gain (Loss) on a 1 sigma move if weighted for both maturity risk and volatility
GEH0	1.480	(6.5)	25.00	1,508	358	0.2	2,125	0.710	505		GEH0
GEM0	3.215	(6.5)	25.00	2,759	358	0.3	2,125	1.298	276		GEM0	w/Vol = Hedge Ratio Using Both Maturity Risk and Volatility = Number of contracts to offset 100 TY
GEU0	3.500	(6.0)	25.00	5,133	358	0.6	2,125	2.416	148		GEU0
GEZ0	3.700	(5.5)	25.00	2,637	358	0.3	2,125	1.241	289		GEZ0	Par value of TY, US, FV and Tsys is $100,000 per contract
GEH1	3.890	(5.0)	25.00	2,782	358	0.3	2,125	1.309	273		GEH1
FFN9	100.000	9979.5	41.67	141,291	215	15.8	2,125	66.496	3		FFN9	ED par value is $1,000,000 and FF is $5,000.000.
FFQ9	100.000	9978.5	41.67	141,223	215	15.8	2,125	66.464	3		FFQ9
FFU9	100.000	9975.5	41.67	141,195	215	15.8	2,125	66.451	3		FFU9	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	1-Jul
	Hedge	30yr	US	TY	10yr	NI	FV	5 Swap	5Y	3Y	TU	2yr	ED	FF
Base	Risk/01	1,655.70	1,455.87	895.24	803.77	493.62	502.22	906.57	468.34	294.71	205.43	196.75	25.00	41.67
30yr	1,655.70		1.14	1.85	2.06	3.35	3.30	1.83	3.54	5.62	8.06	8.42	66.23	39.73
US	1,455.87	0.88		1.63	1.81	2.95	2.90	1.61	3.11	4.94	7.09	7.40	58.23	34.94
TY	895.24	0.54	0.61		1.11	1.81	1.78	0.99	1.91	3.04	4.36	4.55	35.81	21.48
10yr	803.77	0.49	0.55	0.90		1.63	1.60	0.89	1.72	2.73	3.91	4.09	32.15	19.29
NI	493.62	0.30	0.34	0.55	0.61		0.98	0.54	1.05	1.67	2.40	2.51	19.74	11.85
FV	502.22	0.30	0.34	0.56	0.62	1.02		0.55	1.07	1.70	2.44	2.55	20.09	12.05
5 Swap	906.57	0.55	0.62	1.01	1.13	1.84	1.81		1.94	3.08	4.41	4.61	36.26	21.76
5yr	468.34	0.28	0.32	0.52	0.58	0.95	0.93	0.52		1.59	2.28	2.38	18.73	11.24
3yr	294.71	0.18	0.20	0.33	0.37	0.60	0.59	0.33	0.63		1.43	1.50	11.79	7.07
TU	205.43	0.12	0.14	0.23	0.26	0.42	0.41	0.23	0.44	0.70		1.04	8.22	4.93
2yr	196.75	0.12	0.14	0.22	0.24	0.40	0.39	0.22	0.42	0.67	0.96		7.87	4.72
ED	25.00	0.02	0.02	0.03	0.03	0.05	0.05	0.03	0.05	0.08	0.12	0.13		0.60
FF	41.67	0.03	0.03	0.05	0.05	0.08	0.08	0.05	0.09	0.14	0.20	0.21	1.67