<?xml version="1.0"?>
<products_group bdate="Thursday, May 24th 2012" mdate="2012-05-23"><products><product id="L"><pfcc>LFF:L</pfcc><cc>L</cc><pfcc>LFF:L</pfcc><cc>L</cc><exch>LIFFE</exch><etype>C</etype><ccname>Short Sterling</ccname><class>FI</class><to_char>     500,000</to_char><unit>GBP</unit><months>HMUZ</months><priced>pts of par</priced><pt>0.01000000</pt><pt_str>0</pt_str><pt_val>          12.500</pt_val><coacro>LCH</coacro><exchacro>LFF</exchacro><pfcode>L</pfcode><type>11</type><cvm>1250</cvm><cvm_val>       1,250.00</cvm_val><settledecloc>0</settledecloc><settlealigncode/><settlecurrencycode>GBP</settlecurrencycode><scode>FI</scode><so>1</so><ccname_desc_fut>short-sterling-futures-l</ccname_desc_fut></product><product id="R"><pfcc>LFF:R</pfcc><cc>R</cc><pfcc>LFF:R</pfcc><cc>R</cc><exch>LIFFE</exch><etype>C</etype><ccname>Long Gilt</ccname><class>FI</class><to_char>     100,000</to_char><unit>GBP</unit><months>HMUZ</months><priced>pts of par</priced><pt>0.01000000</pt><pt_str>0</pt_str><pt_val>          10.000</pt_val><coacro>LCH</coacro><exchacro>LFF</exchacro><pfcode>R</pfcode><type>11</type><cvm>1000</cvm><cvm_val>       1,000.00</cvm_val><settledecloc>0</settledecloc><settlealigncode/><settlecurrencycode>GBP</settlecurrencycode><scode>FI</scode><so>2</so><ccname_desc_fut>long-gilt-futures-r</ccname_desc_fut></product><product id="I"><pfcc>LFF:I</pfcc><cc>I</cc><pfcc>LFF:I</pfcc><cc>I</cc><exch>LIFFE</exch><etype>C</etype><ccname>Euribor</ccname><class>FI</class><to_char>   1,000,000</to_char><unit>EUR</unit><months>HMUZ</months><priced>pts of par</priced><pt>0.00500000</pt><pt_str>0</pt_str><pt_val>          12.500</pt_val><coacro>LCH</coacro><exchacro>LFF</exchacro><pfcode>I</pfcode><type>11</type><cvm>2500</cvm><cvm_val>       2,500.00</cvm_val><settledecloc>0</settledecloc><settlealigncode/><settlecurrencycode>EUR</settlecurrencycode><scode>FI</scode><so>3</so><ccname_desc_fut>euribor-futures-i</ccname_desc_fut></product><product id="LS"><pfcc>LFF:S</pfcc><cc>LS</cc><pfcc>LFF:S</pfcc><cc>LS</cc><exch>LIFFE</exch><etype>C</etype><ccname>Euroswiss</ccname><class>FI</class><to_char>   1,000,000</to_char><unit>CHF</unit><months>HMUZ</months><priced>pts of par</priced><pt>0.01000000</pt><pt_str>0</pt_str><pt_val>          25.000</pt_val><coacro>LCH</coacro><exchacro>LFF</exchacro><pfcode>S</pfcode><type>11</type><cvm>2500</cvm><cvm_val>       2,500.00</cvm_val><settledecloc>0</settledecloc><settlealigncode/><settlecurrencycode>CHF</settlecurrencycode><scode>FI</scode><so>4</so><ccname_desc_fut>euroswiss-futures-ls</ccname_desc_fut></product><product id="P"><pfcc>LFF:P</pfcc><cc>P</cc><pfcc>LFF:P</pfcc><cc>P</cc><exch>LIFFE</exch><etype>C</etype><ccname>10 Yr. Swapnote</ccname><class>FI</class><to_char>     100,000</to_char><unit>EUR</unit><months>HMUZ</months><priced>pts of par</priced><pt>0.01000000</pt><pt_str>0</pt_str><pt_val>          10.000</pt_val><coacro>LCH</coacro><exchacro>LFF</exchacro><pfcode>P</pfcode><type>11</type><cvm>1000</cvm><cvm_val>       1,000.00</cvm_val><settledecloc>0</settledecloc><settlealigncode/><settlecurrencycode>EUR</settlecurrencycode><scode>FI</scode><so>5</so><ccname_desc_fut>10-yr--swapnote-futures-p</ccname_desc_fut></product><product id="LO"><pfcc>LFF:O</pfcc><cc>LO</cc><pfcc>LFF:O</pfcc><cc>LO</cc><exch>LIFFE</exch><etype>C</etype><ccname>5 Yr. Swapnote</ccname><class>FI</class><to_char>     100,000</to_char><unit>EUR</unit><months>HMUZ</months><priced>pts of par</priced><pt>0.01000000</pt><pt_str>0</pt_str><pt_val>          10.000</pt_val><coacro>LCH</coacro><exchacro>LFF</exchacro><pfcode>O</pfcode><type>11</type><cvm>1000</cvm><cvm_val>       1,000.00</cvm_val><settledecloc>0</settledecloc><settlealigncode/><settlecurrencycode>EUR</settlecurrencycode><scode>FI</scode><so>6</so><ccname_desc_fut>5-yr--swapnote-futures-lo</ccname_desc_fut></product><product id="BAX"><pfcc>CDC:BAX</pfcc><cc>BAX</cc><pfcc>CDC:BAX</pfcc><cc>BAX</cc><exch>CDC</exch><etype>C</etype><ccname>Canadian Bankers Acceptance</ccname><class>FI</class><to_char>   1,000,000</to_char><unit>CAD</unit><months>HMUZ</months><priced>pts of par</priced><pt>0.01000000</pt><pt_str>0.010</pt_str><pt_val>          25.000</pt_val><coacro>CDC</coacro><exchacro>CDC</exchacro><pfcode>BAX</pfcode><type>11</type><cvm>2500</cvm><cvm_val>       2,500.00</cvm_val><settledecloc>3</settledecloc><settlealigncode> </settlealigncode><settlecurrencycode>CAD</settlecurrencycode><scode>FI</scode><so>7</so><ccname_desc_fut>canadian-bankers-acceptance-futures-bax</ccname_desc_fut></product><product id="CGB"><pfcc>CDC:CGB</pfcc><cc>CGB</cc><pfcc>CDC:CGB</pfcc><cc>CGB</cc><exch>CDC</exch><etype>C</etype><ccname>Canadian Govt. Bonds</ccname><class>FI</class><to_char>     100,000</to_char><unit>CAD</unit><months>HMUZ</months><priced>pts of par</priced><pt>0.01000000</pt><pt_str>0.010</pt_str><pt_val>          10.000</pt_val><coacro>CDC</coacro><exchacro>CDC</exchacro><pfcode>CGB</pfcode><type>11</type><cvm>1000</cvm><cvm_val>       1,000.00</cvm_val><settledecloc>3</settledecloc><settlealigncode> </settlealigncode><settlecurrencycode>CAD</settlecurrencycode><scode>FI</scode><so>8</so><ccname_desc_fut>canadian-govt--bonds-futures-cgb</ccname_desc_fut></product><product id="YT"><pfcc>SFE:YT</pfcc><cc>YT</cc><pfcc>SFE:YT</pfcc><cc>YT</cc><exch>SFE</exch><etype>C</etype><ccname>3 Yr. Commonwealth T-Bonds</ccname><class>FI</class><to_char>     100,000</to_char><unit>AUD</unit><months>HMUZ</months><priced>pts of par</priced><pt>0.01000000</pt><pt_str>0.010</pt_str><pt_val>            .000</pt_val><coacro>SFE</coacro><exchacro>SFE</exchacro><pfcode>YT</pfcode><type>11</type><cvm>0</cvm><cvm_val>            .000</cvm_val><settledecloc>3</settledecloc><settlealigncode> </settlealigncode><settlecurrencycode>AUD</settlecurrencycode><scode>FI</scode><so>9</so><ccname_desc_fut>3-yr--commonwealth-t-bonds-futures-yt</ccname_desc_fut></product><product id="SEY"><pfcc>SMX:EY</pfcc><cc>SEY</cc><pfcc>SMX:EY</pfcc><cc>SEY</cc><exch>SMX</exch><etype>C</etype><ccname>Euroyen</ccname><class>FI</class><to_char> 100,000,000</to_char><unit>JPY</unit><months>HMUZ</months><priced>pts of par</priced><pt>0.00500000</pt><pt_str>0.005</pt_str><pt_val>       1,250.000</pt_val><coacro>SMX</coacro><exchacro>SMX</exchacro><pfcode>EY</pfcode><type>11</type><cvm>250000</cvm><cvm_val>     250,000</cvm_val><settledecloc>3</settledecloc><settlealigncode> </settlealigncode><settlecurrencycode>JPY</settlecurrencycode><scode>FI</scode><so>10</so><ccname_desc_fut>euroyen-futures-sey</ccname_desc_fut></product></products></products_group>

