<?xml version="1.0"?>
<products_group bdate="Thursday, May 24th 2012" mdate="2012-05-23"><products><product id="US"><pfcc>CBT:17</pfcc><cc>US</cc><pfcc>CBT:17</pfcc><cc>US</cc><exch>CBOT</exch><etype>C</etype><ccname>30 Yr U.S. Treasury Bond</ccname><class>F</class><to_char>     100,000</to_char><unit>USD</unit><months>HMUZ</months><priced>pts 32nds of par</priced><pt>0.03125000</pt><pt_str>0'01.0</pt_str><pt_val>          31.250</pt_val><coacro>CME</coacro><exchacro>CBT</exchacro><pfcode>17</pfcode><type>11</type><cvm>1000</cvm><cvm_val>       1,000.00</cvm_val><settledecloc>3</settledecloc><settlealigncode>9</settlealigncode><settlecurrencycode>USD</settlecurrencycode><scode>F</scode><so>100</so><ccname_desc_fut>30-yr-u-s--treasury-bond-futures-us</ccname_desc_fut></product><product id="TY"><pfcc>CBT:21</pfcc><cc>TY</cc><pfcc>CBT:21</pfcc><cc>TY</cc><exch>CBOT</exch><etype>C</etype><ccname>10y Treasury Note</ccname><class>F</class><to_char>     100,000</to_char><unit>USD</unit><months>HMUZ</months><priced>pts 32nds of par</priced><pt>0.01562500</pt><pt_str>0'00.5</pt_str><pt_val>          15.625</pt_val><coacro>CME</coacro><exchacro>CBT</exchacro><pfcode>21</pfcode><type>11</type><cvm>1000</cvm><cvm_val>       1,000.00</cvm_val><settledecloc>3</settledecloc><settlealigncode>B</settlealigncode><settlecurrencycode>USD</settlecurrencycode><scode>F</scode><so>200</so><ccname_desc_fut>10y-treasury-note-futures-ty</ccname_desc_fut></product><product id="FV"><pfcc>CBT:25</pfcc><cc>FV</cc><pfcc>CBT:25</pfcc><cc>FV</cc><exch>CBOT</exch><etype>C</etype><ccname>5 Yr Treasury Note</ccname><class>F</class><to_char>     100,000</to_char><unit>USD</unit><months>HMUZ</months><priced>pts 32nds of par</priced><pt>0.01562500</pt><pt_str>0'00.5</pt_str><pt_val>          15.625</pt_val><coacro>CME</coacro><exchacro>CBT</exchacro><pfcode>25</pfcode><type>11</type><cvm>1000</cvm><cvm_val>       1,000.00</cvm_val><settledecloc>3</settledecloc><settlealigncode>B</settlealigncode><settlecurrencycode>USD</settlecurrencycode><scode>F</scode><so>300</so><ccname_desc_fut>5-yr-treasury-note-futures-fv</ccname_desc_fut></product><product id="TU"><pfcc>CBT:26</pfcc><cc>TU</cc><pfcc>CBT:26</pfcc><cc>TU</cc><exch>CBOT</exch><etype>C</etype><ccname>2 Yr Treasury Note</ccname><class>F</class><to_char>     200,000</to_char><unit>USD</unit><months>HMUZ</months><priced>pts of par</priced><pt>0.00781250</pt><pt_str>0'00.2</pt_str><pt_val>          15.625</pt_val><coacro>CME</coacro><exchacro>CBT</exchacro><pfcode>26</pfcode><type>11</type><cvm>2000</cvm><cvm_val>       2,000.00</cvm_val><settledecloc>3</settledecloc><settlealigncode>C</settlealigncode><settlecurrencycode>USD</settlecurrencycode><scode>F</scode><so>400</so><ccname_desc_fut>2-yr-treasury-note-futures-tu</ccname_desc_fut></product><product id="ED"><pfcc>CME:ED</pfcc><cc>ED</cc><pfcc>CME:ED</pfcc><cc>ED</cc><exch>CME</exch><etype>C</etype><ccname>Eurodollar</ccname><class>F</class><to_char>   1,000,000</to_char><unit>USD</unit><months>HMUZ</months><priced>100 - ED time dep rate</priced><pt>0.00250000</pt><pt_str>0.0025</pt_str><pt_val>           6.250</pt_val><coacro>CME</coacro><exchacro>CME</exchacro><pfcode>ED</pfcode><type>11</type><cvm>2500</cvm><cvm_val>       2,500.00</cvm_val><settledecloc>4</settledecloc><settlealigncode> </settlealigncode><settlecurrencycode>USD</settlecurrencycode><scode>F</scode><so>600</so><ccname_desc_fut>eurodollar-futures-ed</ccname_desc_fut></product><product id="EM"><pfcc>CME:EM</pfcc><cc>EM</cc><pfcc>CME:EM</pfcc><cc>EM</cc><exch>CME</exch><etype>C</etype><ccname>1-Month LIBOR Rate</ccname><class>F</class><to_char>   3,000,000</to_char><unit>USD</unit><months>FGHJKMNQUVXZ</months><priced>pts of par</priced><pt>0.00250000</pt><pt_str>0.0025</pt_str><pt_val>           6.250</pt_val><coacro>CME</coacro><exchacro>CME</exchacro><pfcode>EM</pfcode><type>11</type><cvm>2500</cvm><cvm_val>       2,500.00</cvm_val><settledecloc>4</settledecloc><settlealigncode> </settlealigncode><settlecurrencycode>USD</settlecurrencycode><scode>F</scode><so>700</so><ccname_desc_fut>1-month-libor-rate-futures-em</ccname_desc_fut></product><product id="EY"><pfcc>CME:EY</pfcc><cc>EY</cc><pfcc>CME:EY</pfcc><cc>EY</cc><exch>CME</exch><etype>C</etype><ccname>Euroyen</ccname><class>F</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>0.0050</pt_str><pt_val>       1,250.000</pt_val><coacro>CME</coacro><exchacro>CME</exchacro><pfcode>EY</pfcode><type>11</type><cvm>250000</cvm><cvm_val>     250,000</cvm_val><settledecloc>4</settledecloc><settlealigncode> </settlealigncode><settlecurrencycode>JPY</settlecurrencycode><scode>F</scode><so>800</so><ccname_desc_fut>euroyen-futures-ey</ccname_desc_fut></product></products></products_group>

