THE 3 MONTH LIBOR MONEY MARKET FUTURES CURVE

UNITED KINGDOM 3 MONTH CURVE STRATEGIES 6 MONTH CURVE STRATEGIES 9 MONTH CURVE STRATEGIES 12 MONTH CURVE STRATEGIES
CONTRACT

UK 3 MTH 3 MTH 3 MTH FLY 3 MTH 6 MTH 6 MTH 6 MTH FLY 6 MTH 9 MTH 9 MTH 9 MTH FLY 9 MTH 12 MTH 12 MTH 12 MTH FLY 12 MTH
MONTH CLOSE SPREAD FLY DIFF CNDR MONTH SPREAD FLY DIFF CNDR MONTH SPREAD FLY DIFF CNDR MONTH SPREAD FLY DIFF CNDR MONTH
1 Mar-11 99.19 0.14 -0.04 0.01 -0.09 Mar-11 0.32 -0.14 -0.06 -0.09 Mar-11 0.55 -0.19 -0.05 -0.09 Mar-11 0.78 -0.22 -0.16 -0.12 Mar-11
2 Jun-11 99.05 0.18 -0.05 -0.05 -0.05 Jun-11 0.41 -0.08 -0.03 -0.05 Jun-11 0.64 -0.14 -0.12 -0.08 Jun-11 0.90 -0.06 -0.12 -0.07 Jun-11
3 Sep-11 98.87 0.23 0.00 0.03 -0.03 Sep-11 0.46 -0.05 -0.02 -0.03 Sep-11 0.72 -0.02 -0.05 -0.02 Sep-11 0.97 0.06 -0.10 -0.04 Sep-11
4 Dec-11 98.64 0.23 -0.03 -0.04 -0.02 Dec-11 0.49 -0.03 -0.05 -0.02 Dec-11 0.74 0.03 -0.11 -0.04 Dec-11 1.01 0.16 0.01 Dec-11
5 Mar-12 98.41 0.26 0.01 0.03 -0.01 Mar-12 0.51 0.02 -0.06 -0.01 Mar-12 0.78 0.14 0.03 0.04 Mar-12 1.00 0.04 Mar-12
6 Jun-12 98.15 0.25 -0.02 -0.07 0.03 Jun-12 0.52 0.08 0.01 0.03 Jun-12 0.74 0.11 0.03 Jun-12 0.96 0.05 Jun-12
7 Sep-12 97.90 0.27 0.05 0.05 0.05 Sep-12 0.49 0.07 0.04 0.05 Sep-12 0.71 0.07 Sep-12 0.91 0.06 Sep-12
8 Dec-12 97.63 0.22 0.00 -0.02 0.02 Dec-12 0.44 0.03 0.02 Dec-12 0.64 0.01 Dec-12 0.85 Dec-12
9 Mar-13 97.41 0.22 0.02 0.03 0.01 Mar-13 0.42 0.01 Mar-13 0.63 Mar-13 Mar-13
10 Jun-13 97.19 0.20 -0.01 Jun-13 0.41 Jun-13 Jun-13 Jun-13
11 Sep-13 96.99 0.21 Sep-13 Sep-13 Sep-13 Sep-13
12 Dec-13 96.78 Dec-13 Dec-13 Dec-13 Dec-13

EUROPE 3 MONTH CURVE STRATEGIES 6 MONTH CURVE STRATEGIES 9 MONTH CURVE STRATEGIES 12 MONTH CURVE STRATEGIES
CONTRACT

EUR 3 MTH 3 MTH 3 MTH FLY 3 MTH 6 MTH 6 MTH 6 MTH FLY 6 MTH 9 MTH 9 MTH 9MTH FLY 9 MTH 12 MTH 12 MTH 12 MTH FLY 12 MTH
MONTH CLOSE SPREAD FLY DIFF CNDR MONTH SPREAD FLY DIFF CNDR MONTH SPREAD FLY DIFF CNDR MONTH SPREAD FLY DIFF CNDR MONTH
1 Mar-11 98.850 0.190 -0.005 0.015 -0.025 Mar-11 0.385 -0.015 -0.055 -0.025 Mar-11 0.600 0.065 -0.005 0.005 Mar-11 0.785 0.135 -0.050 0.005 Mar-11
2 Jun-11 98.660 0.195 -0.020 -0.050 0.010 Jun-11 0.410 0.040 -0.010 0.010 Jun-11 0.595 0.070 -0.050 0.010 Jun-11 0.780 0.185 -0.015 0.030 Jun-11
3 Sep-11 98.465 0.215 0.030 0.030 0.030 Sep-11 0.400 0.050 0.020 0.030 Sep-11 0.585 0.120 0.015 0.050 Sep-11 0.750 0.200 -0.015 0.040 Sep-11
4 Dec-11 98.250 0.185 0.000 -0.020 0.020 Dec-11 0.370 0.030 -0.020 0.020 Dec-11 0.535 0.105 -0.045 0.010 Dec-11 0.710 0.215 0.060 Dec-11
5 Mar-12 98.065 0.185 0.020 0.030 0.010 Mar-12 0.350 0.050 -0.035 0.010 Mar-12 0.525 0.150 0.055 0.060 Mar-12 0.650 0.055 Mar-12
6 Jun-12 97.880 0.165 -0.010 -0.060 0.040 Jun-12 0.340 0.085 0.035 0.040 Jun-12 0.465 0.095 0.035 Jun-12 0.595 0.045 Jun-12
7 Sep-12 97.715 0.175 0.050 0.055 0.045 Sep-12 0.300 0.050 0.035 0.045 Sep-12 0.430 0.055 Sep-12 0.550 0.055 Sep-12
8 Dec-12 97.540 0.125 -0.005 -0.015 0.005 Dec-12 0.255 0.015 0.005 Dec-12 0.375 0.005 Dec-12 0.495 Dec-12
9 Mar-13 97.415 0.130 0.010 0.010 0.010 Mar-13 0.250 0.010 Mar-13 0.370 Mar-13 Mar-13
10 Jun-13 97.285 0.120 0.000 Jun-13 0.240 Jun-13 Jun-13 Jun-13
11 Sep-13 97.165 0.120 Sep-13 Sep-13 Sep-13 Sep-13
12 Dec-13 97.045 Dec-13 Dec-13 Dec-13 Dec-13

SWITZERLAND 3 MONTH CURVE STRATEGIES 6 MONTH CURVE STRATEGIES 9 MONTH CURVE STRATEGIES 12 MONTH CURVE STRATEGIES
CONTRACT

CHF 3 MTH 3 MTH 3 MTH FLY 3 MTH 6 MTH 6 MTH 6 MTH FLY 6 MTH 9 MTH 9 MTH 9MTH FLY 9 MTH 12 MTH 12 MTH 12 MTH FLY 12 MTH
MONTH CLOSE SPREAD FLY DIFF CNDR MONTH SPREAD FLY DIFF CNDR MONTH SPREAD FLY DIFF CNDR MONTH SPREAD FLY DIFF CNDR MONTH
1 Mar-11 99.81 0.04 -0.07 -0.01 -0.13 Mar-11 0.15 -0.18 -0.13 -0.13 Mar-11 0.32 -0.17 -0.12 -0.12 Mar-11 0.48 -0.17 -0.14 -0.13 Mar-11
2 Jun-11 99.77 0.11 -0.06 -0.07 -0.05 Jun-11 0.28 -0.05 -0.05 -0.05 Jun-11 0.44 -0.05 -0.07 -0.06 Jun-11 0.61 -0.03 -0.05 -0.05 Jun-11
3 Sep-11 99.66 0.17 0.01 0.02 0.00 Sep-11 0.33 0.00 -0.01 0.00 Sep-11 0.50 0.02 0.01 0.01 Sep-11 0.66 0.02 0.01 0.01 Sep-11
4 Dec-11 99.49 0.16 -0.01 -0.02 0.00 Dec-11 0.33 0.01 0.00 0.00 Dec-11 0.49 0.01 0.00 0.00 Dec-11 0.65 0.01 0.00 Dec-11
5 Mar-12 99.33 0.17 0.01 0.01 0.01 Mar-12 0.33 0.01 0.01 0.01 Mar-12 0.49 0.01 0.01 0.01 Mar-12 0.65 0.01 Mar-12
6 Jun-12 99.16 0.16 0.00 0.00 0.00 Jun-12 0.32 0.00 0.00 0.00 Jun-12 0.48 0 0.00 Jun-12 0.64 0.00 Jun-12
7 Sep-12 99.00 0.16 0.00 0.00 0.00 Sep-12 0.32 0.00 0.00 0.00 Sep-12 0.48 0.00 Sep-12 0.64 0.00 Sep-12
8 Dec-12 98.84 0.16 0.00 0.00 0.00 Dec-12 0.32 0.00 0.00 Dec-12 0.48 0.00 Dec-12 0.64 Dec-12
9 Mar-13 98.68 0.16 0.00 0.00 0.00 Mar-13 0.32 0.00 Mar-13 0.48 Mar-13 Mar-13
10 Jun-13 98.52 0.16 0.00 Jun-13 0.32 Jun-13 Jun-13 Jun-13
11 Sep-13 98.36 0.16 Sep-13 Sep-13 Sep-13 Sep-13
12 Dec-13 98.20 Dec-13 Dec-13 Dec-13 Dec-13

USA 3 MONTH CURVE STRATEGIES 6 MONTH CURVE STRATEGIES 9 MONTH CURVE STRATEGIES 12 MONTH CURVE STRATEGIES
CONTRACT

USD 3 MTH 3 MTH 3 MTH FLY 3 MTH 6 MTH 6 MTH 6 MTH FLY 6 MTH 9 MTH 9 MTH 9MTH FLY 9 MTH 12 MTH 12 MTH 12 MTH FLY 12 MTH
MONTH CLOSE SPREAD FLY DIFF CNDR MONTH SPREAD FLY DIFF CNDR MONTH SPREAD FLY DIFF CNDR MONTH SPREAD FLY DIFF CNDR MONTH
1 Mar-11 99.665 0.080 -0.045 0.010 -0.100 Mar-11 0.205 -0.210 -0.010 -0.100 Mar-11 0.385 -0.400 -0.115 -0.155 Mar-11 0.620 -0.475 -0.195 -0.190 Mar-11
2 Jun-11 99.585 0.125 -0.055 0.000 -0.110 Jun-11 0.305 -0.200 -0.065 -0.110 Jun-11 0.540 -0.285 -0.145 -0.145 Jun-11 0.810 -0.280 -0.170 -0.155 Jun-11
3 Sep-11 99.460 0.180 -0.055 -0.020 -0.090 Sep-11 0.415 -0.135 -0.085 -0.090 Sep-11 0.685 -0.140 -0.115 -0.100 Sep-11 0.965 -0.110 -0.110 -0.095 Sep-11
4 Dec-11 99.280 0.235 -0.035 -0.025 -0.045 Dec-11 0.505 -0.050 -0.055 -0.045 Dec-11 0.785 -0.025 -0.050 -0.040 Dec-11 1.060 0.000 -0.035 Dec-11
5 Mar-12 99.045 0.270 -0.010 -0.015 -0.005 Mar-12 0.550 0.005 -0.015 -0.005 Mar-12 0.825 0.025 -0.010 0.000 Mar-12 1.095 0.005 Mar-12
6 Jun-12 98.775 0.280 0.005 0.000 0.010 Jun-12 0.555 0.020 0.005 0.010 Jun-12 0.825 0.035 0.015 Jun-12 1.090 0.015 Jun-12
7 Sep-12 98.495 0.275 0.005 0.000 0.010 Sep-12 0.545 0.015 0.005 0.010 Sep-12 0.810 0.010 Sep-12 1.075 0.015 Sep-12
8 Dec-12 98.220 0.270 0.005 0.005 0.005 Dec-12 0.535 0.010 0.005 Dec-12 0.800 0.010 Dec-12 1.060 Dec-12
9 Mar-13 97.950 0.265 0.000 -0.005 0.005 Mar-13 0.530 0.005 Mar-13 0.790 Mar-13 Mar-13
10 Jun-13 97.685 0.265 0.005 Jun-13 0.525 Jun-13 Jun-13 Jun-13
11 Sep-13 97.420 0.260 Sep-13 Sep-13 Sep-13 Sep-13
12 Dec-13 97.160 Dec-13 Dec-13 Dec-13 Dec-13

CANADA 3 MONTH CURVE STRATEGIES 6 MONTH CURVE STRATEGIES 9 MONTH CURVE STRATEGIES 12 MONTH CURVE STRATEGIES
CONTRACT

CAD 3 MTH 3 MTH 3 MTH FLY 3 MTH 6 MTH 6 MTH 6 MTH FLY 6 MTH 9 MTH 9 MTH 9MTH FLY 9 MTH 12 MTH 12 MTH 12 MTH FLY 12 MTH
MONTH CLOSE SPREAD FLY DIFF CNDR MONTH SPREAD FLY DIFF CNDR MONTH SPREAD FLY DIFF CNDR MONTH SPREAD FLY DIFF CNDR MONTH
1 Mar-11 98.685 0.155 -0.045 -0.045 -0.045 Mar-11 0.355 -0.045 -0.105 -0.045 Mar-11 0.555 0.065 -0.065 -0.045 Mar-11 0.755 0.125 0.035 0.015 Mar-11
2 Jun-11 98.53 0.20 0.00 0.00 0.00 Jun-11 0.40 0.06 -0.05 0.00 Jun-11 0.60 0.13 0.08 0.06 Jun-11 0.74 0.09 0.06 0.05 Jun-11
3 Sep-11 98.33 0.20 0.00 -0.06 0.06 Sep-11 0.40 0.11 0.10 0.06 Sep-11 0.54 0.05 0.06 0.05 Sep-11 0.69 0.03 0.00 0.02 Sep-11
4 Dec-11 98.13 0.20 0.06 0.07 0.05 Dec-11 0.34 0.01 0.06 0.05 Dec-11 0.49 -0.01 0.00 0.02 Dec-11 0.67 0.03 0.04 Dec-11
5 Mar-12 97.93 0.14 -0.01 0.02 -0.04 Mar-12 0.29 -0.05 -0.06 -0.04 Mar-12 0.47 -0.01 -0.02 -0.02 Mar-12 0.63 -0.02 Mar-12
6 Jun-12 97.79 0.15 -0.03 -0.05 -0.01 Jun-12 0.33 0.01 -0.01 -0.01 Jun-12 0.49 0.01 -0.01 Jun-12 0.65 -0.01 Jun-12
7 Sep-12 97.64 0.18 0.02 0.02 0.02 Sep-12 0.34 0.02 0.02 0.02 Sep-12 0.50 0.02 Sep-12 0.66 0.02 Sep-12
8 Dec-12 97.46 0.16 0.00 0.00 0.00 Dec-12 0.32 0.00 0.00 Dec-12 0.48 0.00 Dec-12 0.64 Dec-12
9 Mar-13 97.30 0.16 0.00 0.00 0.00 Mar-13 0.32 0.00 Mar-13 0.48 Mar-13 Mar-13
10 Jun-13 97.14 0.16 0.00 Jun-13 0.32 Jun-13 Jun-13 Jun-13
11 Sep-13 96.98 0.16 Sep-13 Sep-13 Sep-13 Sep-13
12 Dec-13 96.82 Dec-13 Dec-13 Dec-13 Dec-13

AUSTRALIA 3 MONTH CURVE STRATEGIES 6 MONTH CURVE STRATEGIES 9 MONTH CURVE STRATEGIES 12 MONTH CURVE STRATEGIES
CONTRACT

AUD 3 MTH 3 MTH 3 MTH FLY 3 MTH 6 MTH 6 MTH 6 MTH FLY 6 MTH 9 MTH 9 MTH 9MTH FLY 9 MTH 12 MTH 12 MTH 12 MTH FLY 12 MTH
MONTH CLOSE SPREAD FLY DIFF CNDR MONTH SPREAD FLY DIFF CNDR MONTH SPREAD FLY DIFF CNDR MONTH SPREAD FLY DIFF CNDR MONTH
1 Mar-11 95.01 0.08 -0.06 -0.08 -0.04 Mar-11 0.22 0.00 -0.05 -0.04 Mar-11 0.34 0.07 -0.06 -0.02 Mar-11 0.44 0.17 -0.10 -0.03 Mar-11
2 Jun-11 94.93 0.14 0.02 0.00 0.04 Jun-11 0.26 0.05 0.00 0.04 Jun-11 0.36 0.13 -0.04 0.03 Jun-11 0.47 0.27 0.05 0.08 Jun-11
3 Sep-11 94.79 0.12 0.02 0.03 0.01 Sep-11 0.22 0.05 -0.04 0.01 Sep-11 0.33 0.17 0.04 0.06 Sep-11 0.39 0.22 0.06 0.06 Sep-11
4 Dec-11 94.67 0.10 -0.01 -0.06 0.04 Dec-11 0.21 0.09 0.02 0.04 Dec-11 0.27 0.13 0.01 0.04 Dec-11 0.33 0.16 0.06 Dec-11
5 Mar-12 94.57 0.11 0.05 0.05 0.05 Mar-12 0.17 0.07 0.03 0.05 Mar-12 0.23 0.12 0.09 0.07 Mar-12 0.27 0.07 Mar-12
6 Jun-12 94.46 0.06 0.00 -0.02 0.02 Jun-12 0.12 0.04 0.01 0.02 Jun-12 0.16 0.03 0.02 Jun-12 0.20 0.03 Jun-12
7 Sep-12 94.40 0.06 0.02 0.02 0.02 Sep-12 0.10 0.03 0.04 0.02 Sep-12 0.14 0.03 Sep-12 0.17 0.00 Sep-12
8 Dec-12 94.34 0.04 0.00 -0.01 0.01 Dec-12 0.08 -0.01 0.01 Dec-12 0.11 -0.02 Dec-12 0.17 Dec-12
9 Mar-13 94.30 0.04 0.01 0.04 -0.02 Mar-13 0.07 -0.02 Mar-13 0.13 Mar-13 Mar-13
10 Jun-13 94.26 0.03 -0.03 Jun-13 0.09 Jun-13 Jun-13 Jun-13
11 Sep-13 94.23 0.06 Sep-13 Sep-13 Sep-13 Sep-13
12 Dec-13 94.17 Dec-13 Dec-13 Dec-13 Dec-13