Market Making Euribor Packs and Bundles

Price size

Offer 0.04 100 A Bank Lifts your 0.04 offer for 100 lots

Bid 0.02 100 B Bank Gives your 0.02 Bid for 100 lots

A We hedge by buying 200 5yr bobl futures AKA 'TED' sprd B We hedge by selling 200 5yr bobl futures AKA The 'TED' spreadActual Hedges Actual hedges

,-100 Mar08 long Sell Mar07-Mar08 100 Mar08 Selling Buy Mar07-Mar08,-100 jun08 versus 200 5yr bobl Buy mar08-Mar09 100 Jun08 versus 200 5yr Bobl Sell Mar08-Mar09,-100 sep08 Buy Bobl-Bund 100 Sep08 Sell Bobl- bund,-100 dec08 Sell Shatz-Bobl 100 Dec08 Buy Shatz-Bobl

synthetic Fundamental Risks When you want this Trade synthetic Fundamental Risks When you want this tradeRoll In an aggressive Flattening cycle Roll In an aggressive steepening cycle.

20 Curve Risk strong economic data -20 Curve Risk Weak economic Date20 Legging Risk When Whites -reds is steepning -20 Legging Risk When Whites-Reds are Steepening20 Credit Spread -20 Credit Spread Extremely severe Political crisis20 Stub Risk -20 Stub Risk EG Hurrican Katrina

-80 Maturity Mismatch Overall Desciption - Flattener 80 Maturity Mismatch Overall Desciption- Steepener

-80 CTD Change 80 CTD Change

-80 80-80 Curve Exposures 80 Curve Exposures20 Reds-Blues Steepening -20 Reds-Blues Flattening20 Bobl- Bund Steepening -20 Bobl-Bund Flattening20 Whites-Reds Flattening -20 Whites-Reds Steepening20 Shatz-Bobl flattening -20 Shatz-Bobl Steepening20 -2020 -2020 -20 `20 -2020 -2020 -2020 -2020 -20RED PACK vs

BOBL

Price size

Offer 0.04 100 A Bank Lifts your 0.04 offer for 100 lots

Bid 0.02 100 B Bank Gives your 0.02 Bid for 100 lots

A We hedge by buying 200 5yr bobl futures AKA 'TED' sprd B We hedge by selling 200 5yr bobl futures AKA The 'TED' spreadActual methods of locking in profit Actual methods of locking in profit

,-100 Mar09 long Sell sep08-sep09 100 Mar09 Selling Buy sep08-sep09,-100 jun09 versus 200 5yr bobl Sell Bobl- bund 100 Jun09 versus 200 5yr Bobl buy bobl-bund,-100 sep09 100 Sep09,-100 dec09 Or hedge up 100 Dec09 Or hedge up

synthetic Fundamental Risks When you want this Trade synthetic Fundamental Risks When you want this tradeRoll When the curve is Steepening Roll

20 Curve Risk Times of Crisis IE Hurrican Katrina -20 Curve Risk20 Legging Risk International Tensions -20 Legging Risk20 Credit Spread -20 Credit Spread20 Stub Risk -20 Stub Risk

20 Maturity Mismatch Overall Desciption- Steepener -20 Maturity Mismatch Overall Description- Flattener20 CTD Change -20 CTD Change20 -2020 Curve Exposures -20 Curve Exposures-80 Reds-Blues Flattening 80 Reds-Blues Steepens

-80 Bobl-Bund Flattening 80 Bobl-Bund Steepens

-80 80-80 8020 -2020 -2020 -20 `20 -2020 -2020 -2020 -2020 -20GREEN PACK vs

BOBL

Market Making Euribor Packs and Bundles

Price size

Offer 0.04 100 A Bank Lifts your 0.04 offer for 100 lots

Bid 0.02 100 B Bank Gives your 0.02 Bid for 100 lots

A We hedge by buying 200 5yr bobl futures AKA 'TED' sprd B We hedge by selling 200 5yr bobl futures AKA The 'TED' spreadActual methods of locking in profit Actual methods of locking in profit

,-100 Mar09 long Sell Mar08-Mar10 100 Mar09 Selling buy Mar08-Mar10,-100 jun09 versus 200 5yr bobl Sell Bobl- bund 100 Jun09 versus 200 5yr Bobl buy bobl-bund,-100 sep09 sell Shatz-Bund 100 Sep09 buy Shatz-bund,-100 dec09 Or hedge up 100 Dec09 Or hedge up

synthetic Fundamental Risks When you want this Trade synthetic Fundamental Risks When you want this tradeRoll When the curve is Steepening Roll When the curve is Steepening

20 Curve Risk Times of Crisis IE Hurrican Katrina -20 Curve Risk20 Legging Risk International Tensions -20 Legging Risk20 Credit Spread -20 Credit Spread20 Stub Risk -20 Stub Risk

20 Maturity Mismatch Overall Desciption- Steepener -20 Maturity Mismatch Overall Description- Flattener20 CTD Change -20 CTD Change20 -2020 Curve Exposures -20 Curve Exposures20 Reds-Blues Flattening -20 Reds-Blues Steepens20 Bobl-Bund Flattening -20 Bobl-Bund Steepens20 Shatz-Bund flattening -20 Shatz-Bund steepens20 -20-80 80-80 80-80 80 `-80 8020 -2020 -2020 -2020 -20

BLUE PACK vsBOBL

Market maker Euribor Packs Vs 2-year ShatzPrice Size

Offer 0.04 100 A Bank Lifts your 0.04 offer for 100 lots

Bid 0.02 100 B Bank Gives your 0.02 Bid for 100 lots

Actual Hedges Actual Hedges-100 long Sell m7-m8 100 short Buy m7-m8-100 versus 500 shatz Sell Shatz-Bobl 100 versus 500 shatz Buy Shatz- Bobl-100 Buy some outright z7 100 sell some outright z7-100 100

synthetic we hedge by buying 500 2 yr Shatz futures AKA 'TED' sprd synthetic we hedge by selling 500 2 yr shatz futures AKA 'TED' sprd

50 Risks when you want this trade -50 Risks When you want this trade

50 Roll In a bear Market -50 Roll In a bull Market

50 Curve Risk -50 Curve Risk

50 Legging Risk -50 Legging Risk

-50 Credit Spread 50 Credit Spread

-50 Stub Risk 50 Stub Risk

-50 Maturity MismatchMarket Bearish 50 Maturity Mismatch Market Bullish

-50CTD Change 50 CTD Change

Curve Exposure Curve Exposure

Whites-Reds Flattening Whites Red-Steepening

Shatz-Bobl Flattening Shatz-Bobl SteepeningUpward moving market Downward moving Market Reds Blues Steepens Reds Blues flattening

RED PACK vsSHATZ

Market maker Euribor Packs Vs 2-year ShatzPrice Size

Offer 0.04 100 A Bank Lifts your 0.04 offer for 100 lots

Bid 0.02 100 B Bank Gives your 0.02 Bid for 100 lots

Actual Hedges Actual Hedges-100 long Buy m7-m8 100 short Sell m7-m8-100 versus 500 shatz Buy Shatz- Bobl 100 versus 500 shatz Sell Shatz-Bobl-100 sell some outright z7 100 Buy some outright z7-100 100

synthetic we hedge by buying 500 2 yr Shatz futures AKA 'TED' sprd synthetic we hedge by selling 500 2 yr shatz futures AKA 'TED' sprd-50 Risks when you want this trade 50 Risks When you want this trade

-50 Roll In a Bull Market 50 Roll In a Bear Market

-50 Curve Risk 50 Curve Risk

-50 Legging Risk 50 Legging Risk

50 Credit Spread -50 Credit Spread

50 Stub Risk -50 Stub Risk

50 Maturity MismatchMarket Bullish -50 Maturity Mismatch Market Bearish

50CTD Change -50 CTD Change

Curve Exposure Curve Exposure

Whites Red-Steepening Whites-Reds Flattening

Shatz-Bobl Steepening Shatz-Bobl SteepeningDownward moving Market Upward Moving Market

Reds Blues flattening Reds-Blues Steepening

WHITE PACK vsSHATZ