A Global Trading Summary of Interest Rate Markets

first Quarter 2011 QUARTERly INTEREST RATE Update A Global Trading Summary of Interest Rate Markets Highlights Volume Credit Spreads Deliveries Cash Market Penetration Foreign Holdings of Treasury Securities Historical Volatility Also Including Interest Rate Futures Liquidity Report

interest rates agriculture \ equities \ FX \ energy \ metals \ weather Capturing the most liquid benchmark points on the Treasury yield curve just got easier. Now Trading: On-The-Run U.S. Treasury Futures Direct price exposure to 2-, 5- and 10-year benchmark points on the Treasury yield curve and OTR yields Precise, cash-settled tools for targeting OTR yields implied by the difference between ISDA benchmark swap rate and corresponding ISDA swap spreads Efficient alternatives to short-selling cash Treasury securities The newest addition to our extensive suite of deep and liquid U.S. Treasury contracts, On-The-Run (OTR) U.S. Treasury futures are a compelling new way to manage price exposure and capitalize on yield curve spreading opportunities. Based on the yields of on-the-run (most recently auctioned) 2-, 5- and 10-year Treasury securities, these contracts provide synthetic exposure to the Treasury cash market, with the added opportunity to benefit from cross-margining efficiencies with our benchmark interest rate products. Learn more at www.cmegroup.com/otr. Compelling new spreading opportunities with cash securities, derivatives and swap spreads Availability of cross margining benefits with other interest rate contracts CME Group is a trademark of CME Group Inc. The Globe logo, CME, Chicago Mercantile Exchange and Globex are trademarks of Chicago Mercantile Exchange Inc. CBOT and Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago. NYMEX, New York Mercantile Exchange and ClearPort are trademarks of New York Mercantile Exchange Inc. COMEX is a trademark of Commodity Exchange Inc. These contracts are listed by and subject to the rules of CBOT. Copyright 2011 CME Group. All rights reserved.

www.cmegroup.com/interestrates Update on Interest Rate Products Now Trading Sovereign Yield Spread Futures CME 10-Year Sovereign Yield Spread (Sovy) futures are the latest innovation for managing sovereign yield spreads. 10-Year Sovy futures make trading and monitoring of sovereign bond spread exposures simpler, more cost-effective, and more efficient than ever before. Based on pair-wise spreads of government bond yields of France, Germany, Italy, the Netherlands, U.K. and the U.S., 10-Year Sovy futures wrap a sovereign yield spread into a single futures contract. There is no need to execute and manage individual legs in cash bond markets, or across multiple futures exchanges. 10-Year Sovy futures are cash-settled and trade exclusively on the CME Globex electronic trading platform. For more information, visit www.cmegroup.com/sovys New Clearing Membership: Financial Instruments Clearing Membership (FICM) The new Financial Instruments Clearing Membership (FICM), recently announced by CME Group, allows for significant futures margin offsets between CME Group Interest Rate futures and U.S. Treasury securities. The FICM is a new type of clearing membership that: Provides capital efficiencies for firms trading CME Group Interest Rate futures and U.S. Treasury securities Offers limited clearing rights and privileges Facilitates the spreading of U.S. Treasury securities and CME Group Interest Rate futures Is designed for firms that actively trade both U.S. Treasury securities and Interest Rate futures for proprietary accounts For additional information, please visit www.cmegroup.com/ficm On-The-Run Treasury Futures: Direct, Capital-Efficient Treasury Yield Exposure On-The-Run (OTR) Treasury futures have created many new spreading opportunities for hedge fund customers, with the capital efficiencies of cross margining and efficient price exposure to benchmark Treasury yields. OTR Treasury futures offer: More precise tools for targeting 2-,5- and 10-year benchmark points on the Treasury yield curve Efficient alternatives to short-selling cash Treasury securities Capital efficient, off-balance sheet means to establish exposure to the cash Treasury market Compelling new relative value trading opportunities Cash settled at expiration no physical delivery Visit www.cmegroup.com/otr for additional information. Weekly Treasury Options Continue Rapid Growth Weekly Options on U.S. Treasury futures (WTOs) continue to experience extraordinary growth since their launch on January 24, 2011. WTOs offer an exciting range of flexible trading opportunities in the U.S. Treasury options complex, with a quarterly, serial or weekly expiration now taking place every Friday. WTOs have quickly been adopted by market participants as a means of trading high impact economic events--82,340 WTO contracts traded during March 3-4, the days surrounding the release of the February Unemployment Report. Nearly 700,000 WTOs have traded since launch. For more information, visit www.cmegroup.com/wto. 3

www.cmegroup.com/interestrates HIGHLIGHTS Interest Rate Products: First Quarter 2011 Volumes Average Daily Volume (ADV) for U.S. Treasury futures was 2,733,605 contracts per day for first quarter of 2011, an increase of 32 percent from the first quarter of 2010. Average Daily Volume (ADV) for Eurodollar futures was 2,519,474 contracts per day for the first quarter of 2011, an increase of 26 percent from the first quarter of 2010. Average Daily Volume (ADV) for U.S. Treasury options was 323,868 contracts per day for the first quarter of 2011, an increase of 19 percent from the first quarter of 2010. Weekly U.S. Treasury options have produced cumulative volume of more than 650,000 contracts since being launched on January 24, 2011. Average Daily Volume (ADV) for Eurodollar options was 768,792 contracts per day for the first quarter of 2011, an increase of 14 percent from the first quarter of 2010. Average Daily Volume (ADV) for Eurodollar mid-curve options was 434,000 contracts per day for the first quarter of 2011, an increase of 51 percent from the first quarter of 2010. Ultra T- Bond futures posted ADV of 52,000 contracts and open interest of 389,000 in the first quarter of 2011. 4

Quarterly Interest Rate Update 30 Year Swap Spread 30 Year Treasury Bond Yield Interest Rate Swap Yield 20 10 0 Source: Bloomberg Basis Points 10 20 30 40 50 Jan 09 Mar 09 May 09 Jul 09 Sep 09 Nov 09 Jan 10 Mar 10 May 10 Jul 10 Sep 10 Nov 10 Jan 11 Mar 11 280 270 Trading The NOB The daily futures chart represents: 5*(TY Futures Price) 3*(US Futures Price) The daily cash chart shows the yield spread of on the run 30 Year and 10 Year 180 160 260 250 futures cash 140 120 Futures Spread 240 230 100 80 60 Cash Spread (bps) 220 Source:Bloomberg 40 210 20 200 Jan 07 Mar Apr Jun Aug Oct Dec Feb Apr Jun Aug Oct Dec Feb Apr Jun Aug Oct Dec Feb Apr Jun 07 07 07 07 07 07 08 08 08 08 08 08 09 09 09 09 09 09 10 10 10 Jul 10 Sep Nov Jan Mar 10 10 11 11 0 5

www.cmegroup.com/interestrates Monthly Pack and Bundle Volume 1,000,000 900,000 800,000 700,000 600,000 500,000 400,000 Q4 '10 Q1 '11 300,000 200,000 100,000 0 Green Blue Gold 2 Year 3 Year 4 Year 5 Year U.S. Treasury Options Monthly Average Daily Volume (ADV) ADV Pit ADV Electronic Percent Electronic 600,000 45% 550,000 500,000 450,000 400,000 4 35% 3 Volume 350,000 300,000 250,000 200,000 25% 2 15% 150,000 100,000 50,000 0 1 5% 6

Quarterly Interest Rate Update Percent of total average daily volume (ADV) executed in extended trading hours (CME Globex). ADV includes open outcry. 600,000 U.S. Treasury Options CME Globex and Pit ADV by Time Zone RTH Pit RTH Globex ETH Europe ETH Asia % ETH 12% 500,000 1 400,000 8% 300,000 6% 200,000 4% 100,000 2% Percent of total average daily volume (ADV) executed in extended trading hours (CME Globex). ADV includes open outcry. 1,800,000 Eurodollar Options CME Globex and Pit ADV by Time Zone RTH Pit RTH Globex ETH Europe ETH Asia % ETH 5. 1,600,000 4.5% 1,400,000 4. 1,200,000 1,000,000 800,000 600,000 3.5% 3. 2.5% 2. 1.5% 400,000 1. 200,000 0.5% 0 0. 7

www.cmegroup.com/interestrates Treasury Futures: Hourly Distribution of Electronic Volume (Hourly Volume as % Share of Volume, January 1 March 31, 2011) 15% 14% 13% 12% 11% 1 9% 8% 7% 6% 5% 4% 3% 2% 1% Asian Hours (5pm-12am) European Hours (12am-7am) US Hours (7am-4pm) % of Volume per Time Zone Asian Hours- 2% European Hours- 13% U.S. Hours- 85% Local (Chicago) Time Treasury Options: Hourly Distribution of Electronic Volume (Hourly Volume as % Share of Volume, January 1 March 31, 2011) 14% 13% 12% 11% 1 9% 8% 7% 6% 5% 4% 3% 2% 1% Asian Hours (5pm-12am) European Hours (12am-7am) US Hours (7am-4pm) % of Volume per Time Zone Asian Hours - 2% European Hours - 26% US Hours - 72% Local (Chicago) Time 8

Quarterly Interest Rate Update 2 Year and 5 Year U.S. Treasury Note Futures Monthly Historical Volatility (3 Month Moving Average) 2-Year 5-Year 1 8% Source: CME Group 6% 4% 2% 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 10 Year Note and Classic T Bond U.S. Treasury Futures Monthly Historical Volatility (3 Month Moving Average) 10-Year Classic T-Bond 3 25% 2 Source: CME Group 15% 1 5% 1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 9

www.cmegroup.com/interestrates 5 Year and 10 Year U.S. Interest Rate Swap Futures Monthly Historical Volatility (3 Month Moving Average) 5-Year 10-Year 2 15% Source: CME Group 1 5% 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 7 Year and 30 Year U.S. Interest Rate Swap Futures Monthly Historical Volatility (3 Month Moving Average) 7-Year 30-Year 35% 3 25% Source: CME Group 2 15% 1 5% 1/07 4/07 7/07 10/07 1/08 4/08 7/08 10/08 1/09 4/09 7/09 10/09 1/10 4/10 7/10 10/10 1/11 4/11 7/11 10/11 10

Quarterly Interest Rate Update 2 Year U.S. Treasury Note Futures Cash Market Penetration Notional Futures ADV as % of Notional Cash ADV Spot On 3-Month Rolling Average 5 4 3 2 1 Sources: CME Group and Federal Reserve Bank of New York 1994 1996 1998 2000 2002 2004 2006 2008 2010 5 Year U.S. Treasury Note Futures Cash Market Penetration Notional Futures ADV as % of Notional Cash ADV Spot On 3-Month Rolling Average 7 6 5 4 3 2 Sources:CME Group and Federal Reserve Bank of New York 1 1994 1996 1998 2000 2002 2004 2006 2008 2010 11

www.cmegroup.com/interestrates 10 Year U.S. Treasury Note Futures Cash Market Penetration Notional Futures ADV as % of Notional Cash ADV Spot On 3-Month Rolling Average 15 125% 10 75% 5 Sources: CME Group and Federal Reserve Bank of New York 25% 1994 1996 1998 2000 2002 2004 2006 2008 2010 U.S. Treasury and Ultra U.S. Treasury Bond Futures Cash Market Penetration Notional Futures ADV as % of Notional Cash ADV Spot On 3-Month Rolling Average 60 50 40 30 U.S. Treasury Bond Suspended: 10/31/01-02/08/06 20 10 Sources:CME Group and Federal Reserve Bank of New York 1994 1996 1998 2000 2002 2004 2006 2008 2010 12

Quarterly Interest Rate Update 2 Year U.S. Treasury Note Futures Delivered Contracts and as Percent of Open Interest of Expiring Contract on First Position Day Delivered (Left) Percent (Right) 125,000 10 100,000 8 75,000 6 50,000 Source: CME Group 4 25,000 2 0 1990 1995 2000 2005 2010 5 Year U.S. Treasury Note Futures Delivered Contracts and as Percent of Open Interest of Expiring Contract on First Position Day Delivered (Left) Percent (Right) 200,000 8 150,000 6 100,000 4 Source: CME Group 50,000 2 0 1990 1995 2000 2005 2010 13

www.cmegroup.com/interestrates 10 Year U.S. Treasury Note Futures Delivered Contracts and as Percent of Open Interest of Expiring Contract on First Position Day Delivered (Left) Percent (Right) 250,000 4 200,000 32% 150,000 24% Source: CME Group 100,000 16% 50,000 8% 0 1990 1995 2000 2005 2010 Classic U.S. Treasury Bond Futures Delivered Contracts and as Percent of Open Interest of Expiring Contract on First Position Day Delivered (Left) Percent (Right) 60,000 2 45,000 15% Source: CME Group 30,000 1 15,000 5% 0 1990 1995 2000 2005 2010 14

Quarterly Interest Rate Update Ultra U.S. Treasury Bond Futures Delivered Contracts and as Percent of Open Interest of Expiring Contract on First Position Day Delivered (Left) Percent (Right) 60,000 5 45,000 4 Source: CME Group 3 30,000 2 15,000 1 0 03/10 06/10 09/10 12/10 03/11 06/11 09/11 12/11 15

www.cmegroup.com/interestrates Largest Quarter over Quarter Increases (Percent) in Foreign Holdings of U.S. Treasury Securities January 2011 33.1% 30.8% 28.5% 23.2% 18.6% 18.3% Source: U.S. Treasury Department 15.5% 13.8% 11.9% 11.2% United Kingdom Canada France Philippines Colombia Turkey Netherlands Caribbean Banking Centers Chile Israel Largest Quarter over Quarter Decreases (Percent) in Foreign Holdings of U.S. Treasury Securities January 2011 Egypt Russia South Korea Singapore Ireland Poland Australia Hong Kong Belgium All Other 6.4% 5.3% 3.9% 3.5% 9.2% 8.7% 13. 21. 19. Source: U.S. Treasury Department 32.1% 16

Quarterly Interest Rate Update Regional Holdings of U.S. Treasury Securities (Percent) January 2011 50.3% 28.6% Source: U.S. Treasury Department 10.5% 5.8% 4.8% U.S. Asia Europe Americas ex U.S. All Other Americas ex U.S. Holdings of U.S. Treasury Securities (Percent) January 2011 38. 32. 16.7% Source: U.S. Treasury Department 6.6% 3.8% 2.9% Brazil Caribbean Banking Centers Canada Mexico Colombia Chile 17

www.cmegroup.com/interestrates Asia Holdings of U.S. Treasury Securities (Percent) January 2011 45.1% 34.6% Source: U.S. Treasury Department 6.1% 5. 2.3% 2.2% 1.6% 1.2% 0.9% 0.6% 0.4% China Japan Taiwan Hong Kong Singapore Thailand India South Korea Philippines Australia Malaysia Europe Holdings of U.S. Treasury Securities (Percent) January 2011 29.6% Source: U.S. Treasury Department 14.8% 11.4% 8.8% 6.5% 4.7% 3.5% 3.4% 3.2% 2.8% 2.7% 2.6% 2.1% 2.1% 1.8% United Kingdom Russia Switzerland Luxembourg Germany Ireland Turkey Belgium France Poland Netherlands Italy Israel Norway Sweden 18

Quarterly Interest Rate Update Interest Rate Futures Liquidity Report 19

www.cmegroup.com/interestrates How Liquidity is Calculated Globex order book liquidity data are calculated utilizing time-weightedaverage (TWA) Globex order book sizes at each generic price level (i.e. best bid/offer, 2 nd best, 3 rd best, 4 th best, and 5 th best). Bid/Ask Qty 1 = the average Best Bid and Offer book sizes and are also referred to as the Top of the Book. Bid/Ask Qty 2 = the average order book sizes at the 2 nd -best bid and 2 nd -best offer, and so on. The bid and offer sizes are averaged together, such that if the TWA Best bid size = 36 and the TWA Best offer size = 34, then the Avg Bid/Ask Qty 1 would equal 35. The time-weighted-averages are derived from 7:00 am 4:00 pm, Chicago time, unless otherwise noted. 20

Quarterly Interest Rate Update Book Size 6,000 Front Green Contract; Calendar Trading Month Average, Globex RTH 5,000 Avg Bid/Ask Qty 05 Avg Bid/Ask Qty 04 Avg Bid/Ask Qty 03 4,000 Avg Bid/Ask Qty 02 Avg Bid/Ask Qty 01 3,000 2,000 1,000 0 21

www.cmegroup.com/interestrates Book Size 1,600 Front Blue Contract; Calendar Trading Month Averages, Globex RTH 1,400 1,200 1,000 Avg Bid/Ask Qty 05 Avg Bid/Ask Qty 04 Avg Bid/Ask Qty 03 Avg Bid/Ask Qty 02 Avg Bid/Ask Qty 01 800 600 400 200 0 22

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CME Group Interest Rate Products CME Group is the world s leading marketplace for trading short-, medium- and long-term interest rate derivative products. Spanning the entire U.S. dollar-denominated yield curve, our products include futures and options on the most widely followed U.S. interest rate benchmarks: Eurodollars, U.S. Treasury securities, 30-Day Fed Funds, and Interest Rate Swaps. In addition, we offer central counterparty clearing for OTC Interest Rate Swaps. The liquidity, transparency and security of CME Group interest rate markets provide customers around the world with safe, efficient means for managing interest rate risk. Backed by our central counterparty clearing model, we offer powerful solutions to address a wide variety of risk management needs. For more information, please contact the Interest Rate Products Team: In Chicago Robin Ross, Managing Director 312 559 4989 robin.ross@cmegroup.com Pete Barker, Director 312 930 8554 peter.barker@cmegroup.com Steve Dayon, Director 312 466 4447 steven.dayon@cmegroup.com Jonathan Kronstein, Director 312 930 3472 jonathan.kronstein@cmegroup.com Dave Reif, Associate Director 312 648 3839 david.reif@cmegroup.com Suzanne Spain, Associate Director 312 338 2651 suzanne.spain@cmegroup.com Mike Kamradt, Director 312 466 7473 mike.kamradt@cmegroup.com In London Robert Hammond, Associate Director +44 20 7796 7124 robert.hammond@cmegroup.com You may also reach us at: interestrates@cmegroup.com or 866 501 3646.

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