Details of European Sovereign exposure and List of Bonds (Sovereign and Government Guaranteed) in which Jefferies International Limited holds a position greater than eur 500k
* In addition to the cash position Jefferies Hold a short interest in BTP futures (2y, 5y, and 10y) for a total notional amount of USD 101.8M and an equivalent dv01 short expsosure of USD 42k
ITALY SPAIN IRELAND
USD (MM) Long Short Net Pos usd dv01 (k) USD (MM) Long Short Net Pos usd dv01 (k) USD (MM) Long Short Net Pos usd dv01 (k)
2011 0.6 (212.5) (211.9) (1.1) 2011 0.2 ‐2.2 ‐2.0 0.0 2011 ‐ (12.9)
(12.9)
(0.0)
2012 1,518.7 (1,503.4) 15.3 (1.3) 2012 25.8 ‐5.3 20.5 1.0 2012 58.3 (22.9) 35.5 1.5
2013 43.6 (9.9) 33.7 5.4 2013 10.2 ‐11.1 ‐0.9 ‐0.5 2013 36.8 (18.8) 18.0 1.6
2014 228.7 (45.1)
183.6 43.1 2014 29.9 ‐4.7 25.2 5.6 2014 ‐ (12.8)
(12.8)
(2.4)
2015 33.4 (18.7)
14.7 4.3 2015 0.0 ‐19.1 ‐19.1 ‐5.7 2015 7.9 (2.6) 5.4 1.5
2016 46.2 ‐ 46.2 18.4 2016 9.9 ‐40.4 ‐30.5 ‐11.6 2016 0.2 ‐ 0.2 0.2
2017 16.4 (26.3)
(9.8) (6.0) 2017 0.0 ‐20.2 ‐20.2 ‐9.6 2017 ‐
2018 14.7 (9.1) 5.6 3.8 2018 0.5 ‐5.8 ‐5.3 ‐3.3 2018 0.1 ‐ 0.1 0.1
2019 47.3 (16.4)
30.9 19.6 2019 0.4 ‐0.8 ‐0.5 ‐0.3 2019 ‐ (10.4)
(10.4) (6.1)
2020 ‐ (64.1)
(64.1)
(42.2)
2020 0.0 ‐0.9 ‐0.9 ‐0.6 2020 3.3 (0.2) 3.1 2.0
2021 14.9 (31.0)
(16.1)
(11.4) 2021 0.5 0.0 0.5 0.4 2021 ‐
2022 ‐ (5.9) (5.9) (4.4) 2022 2022 ‐
2023 1.0 ‐ 1.0 0.8 2023 2023 ‐
2024 ‐ ‐ ‐ 2024 0.0 0.0 0.0 0.0 2024 ‐
2025 5.0 ‐ 5.0 4.4 2025 0.1 0.0 0.1 0.1 2025 0.1 ‐ 0.1 0.1
2026 0.0 (3.0) (2.9) (2.8) 2026 0.0 ‐4.7 ‐4.7 ‐4.4 2026
2027 0.0 ‐ 0.0 0.0 2027 2027
2028 ‐ ‐ ‐ 2028 2028
2029 0.4 ‐ 0.4 0.4 2029 0.0 ‐0.6 ‐0.6 ‐0.6 2029
2030‐2045 8.2 (3.6) 4.6 5.0 2030‐2045 13.5 ‐ 13.5 16.6 2030‐2045
TOTAL 1,979.3 (1,949.0) 30.3 36.0 TOTAL 91.0 (115.9) (24.9) (12.9) TOTAL 106.8 (80.5) 26.4 (1.6)
IT0004653728 BOTS 0 11/15/11 ES0L01112165 SGLT 0 12/16/11 IE00B3FCJN73 IRISH 4 11/11/11
IT0004719297 BOTS 0 11/30/11 ES0000011595 SPGB 8.7 02/28/12 XS0491279286 BKIR 2 3/4 03/02/12
IT0004729734 BOTS 0 12/30/11 ES0L01204202 SGLT 0 04/20/12 IE00B5S94L21 IRISH 3.9 03/05/12
IT0004745094 BOTS 0 01/31/12 ES00000121I8 SPGB 2 3/4 04/30/12 XS0502258287 ANGIRI 2 5/8 04/16/12
IT0003190912 BTPS 5 02/01/12 XS0340177608 ICO 4 5/8 06/06/12 US46271HAA59 IPBS 3.6 01/14/13
IT0004683014 BOTS 0 02/15/12 ES0000012791 SPGB 5 07/30/12 XS0478619694 IPBS 3.6 01/14/13
IT0004572910 ICTZ 0 02/29/12 ES00000120L4 SPGB 3.9 10/31/12 IE0031256328 IRISH 5 04/18/13
IT0004750813 BOTS 0 02/29/12 ES0000011660 SPGB 6.15 01/31/13 IE00B3KWYS29 IRISH 4 01/15/14
IT0003858856 CCTS 0 03/01/12 XS0247069155 ICO 4 1/2 03/07/13 XS0482810958 BKIR 4 01/28/15
IT0004467483 BTPS 3 03/01/12 ES0000095903 GENCAT 4 1/8 04/23/13 XS0493444060 IPBS 4 03/10/15
IT0004696669 BOTS 0 03/15/12 ES00000121T5 SPGB 2.3 04/30/13 IE00B2QTFG59 IRISH 4.4 06/18/19
IT0004755408 BOTS 0 03/30/12 ES0000012866 SPGB 4.2 07/30/13 IE00B6089D15 IRISH 5.9 10/18/19
IT0004220627 BTPS 4 04/15/12 ES00000122R7 SPGB 2 1/2 10/31/13 IE0034074488 IRISH 4 1/2 04/18/20
IT0004706914 BOTS 0 04/16/12 ES00000121H0 SPGB 4 1/4 01/31/14
IT0004605090 ICTZ 0 04/30/12 ES00000123D5 SPGB 3.4 04/30/14
IT0004765621 BOTS 0 04/30/12 ES0000012098 SPGB 4 3/4 07/30/14
IT0004719289 BOTS 0 05/15/12 ES0000012916 SPGB 4.4 01/31/15
IT0004727142 BOTS 0 06/15/12 ES00000122F2 SPGB 3 04/30/15
IT0004745086 BOTS 0 07/16/12 ES00000120G4 SPGB 3.15 01/31/16
IT0004750821 BOTS 0 08/15/12 ES0314950694 BFASM 5 1/4 04/07/16
IT0004634124 ICTZ 0 08/31/12 ES00000122X5 SPGB 3 1/4 04/30/16
IT0004755390 BOTS 0 09/14/12 ES00000123J2 SPGB 4 1/4 10/31/16
IT0004284334 BTPS 4 1/4 10/15/12 ES00000120J8 SPGB 3.8 01/31/17
IT0004765613 BOTS 0 10/15/12 ES0000012783 SPGB 5 1/2 07/30/17
IT0003993158 CCTS 0 11/01/12 ES00000121A5 SPGB 4.1 07/30/18
IT0004564636 BTPS 2 12/15/12 US371470AB11 GENCAT 6.25 12/15/18
IT0004674369 ICTZ 0 12/31/12 ES00000121L2 SPGB 4.6 07/30/19
IT0004716327 ICTZ 0 04/30/13 ES00000122T3 SPGB 4.85 10/31/20
IT0004612179 BTPS 2 06/01/13 ES00000123C7 SPGB 5.9 07/30/26
IT0004101447 CCTS 0 07/01/13 ES0000012411 SPGB 5 3/4 07/30/32
IT0003472336 BTPS 4 1/4 08/01/13 ES0000012932 SPGB 4.2 01/31/37
IT0004765183 ICTZ 0 09/30/13 ES00000120N0 SPGB 4.9 07/30/40
IT0004653108 BTPS 2 1/4 11/01/13 ES00000121S7 SPGB 4.7 07/30/41
IT0004224041 CCTS 0 03/01/14
IT0004707995 BTPS 3 04/01/14
GB0004601430 ITALY 10.5 04/28/14
IT0004505076 BTPS 3 1/2 06/01/14
IT0004750409 BTPS 4 1/4 07/01/14
IT0003618383 BTPS 4 1/4 08/01/14
IT0004321813 CCTS 0 12/01/14
IT0003719918 BTPS 4 1/4 02/01/15
IT0004568272 BTPS 3 04/15/15
IT0004615917 BTPS 3 06/15/15
IT0003844534 BTPS 3 3/4 08/01/15
IT0004404965 CCTS 0 09/01/15
IT0004656275 BTPS 3 11/01/15
IT0004712748 BTPS 3 3/4 04/15/16
IT0004518715 CCTS 0 07/01/16
IT0004019581 BTPS 3 3/4 08/01/16
IT0004761950 BTPS 4 3/4 09/15/16
IT0004164775 BTPS 4 02/01/17
IT0003242747 BTPS 5 1/4 08/01/17
IT0004652175 CCTS 0 10/15/17
IT0004273493 BTPS 4 1/2 02/01/18
IT0004716319 CCTS 0 04/15/18
IT0004361041 BTPS 4 1/2 08/01/18
IT0003493258 BTPS 4 1/4 02/01/19
IT0004423957 BTPS 4 1/2 03/01/19
IT0004489610 BTPS 4 1/4 09/01/19
IT0003644769 BTPS 4 1/2 02/01/20
IT0004536949 BTPS 4 1/4 03/01/20
IT0004594930 BTPS 4 09/01/20
IT0004634132 BTPS 3 3/4 03/01/21
IT0004009673 BTPS 3 3/4 08/01/21
IT0004695075 BTPS 4 3/4 09/01/21
IT0004759673 BTPS 5 03/01/22
IT0004356843 BTPS 4 3/4 08/01/23
IT0004513641 BTPS 5 03/01/25
IT0004644735 BTPS 4 1/2 03/01/26
IT0001444378 BTPS 6 05/01/31
IT0003535157 BTPS 5 08/01/34
IT0003934657 BTPS 4 02/01/37
IT0004286966 BTPS 5 08/01/39
IT0004532559 BTPS 5 09/01/40
Page 1 of 2 11/4/2011
Details of European Sovereign exposure and List of Bonds (Sovereign and Government Guaranteed) in which Jefferies International Limited holds a position greater than eur 500k
* In addition to the cash position Jefferies Hold a short interest in BTP futures (2y, 5y, and 10y) for a total notional amount of USD 101.8M and an equivalent dv01 short expsosure of USD 42k
PORTUGAL GREECE TOTAL EXPOSURE
USD (MM) Long Short Net Pos usd dv01 (k) USD (MM) Long Short Net Pos usd dv01 (k) USD (MM) Long Short Net Pos usd dv01 (k)
2011 0.0 0.0 0.0 0.0 2011 2011 0.8 ‐227.6 ‐226.8 ‐1.2
2012 5.0 ‐3.3 1.6 0.0 2012 2012 1607.8 ‐1534.9 72.9 1.3
2013 4.3 ‐0.4 3.9 0.5 2013 2013 94.9 ‐40.2 54.7 7.1
2014 0.7 0.0 0.7 0.2 2014 2014 259.3 ‐62.6 196.7 46.4
2015 0.3 0.0 0.3 0.1 2015 2015 41.7 ‐40.3 1.3 0.3
2016 0.3 ‐4.7 ‐4.4 ‐1.3 2016 2016 56.7 ‐45.1 11.6 5.6
2017 0.9 0.0 0.9 0.4 2017 2017 17.3 ‐46.5 ‐29.2 ‐15.2
2018 0.0 ‐0.1 ‐0.1 ‐0.1 2018 2018 15.4 ‐15.1 0.3 0.6
2019 0.5 0.0 0.5 0.2 2019 2019 48.1 ‐27.6 20.5 13.4
2020 0.0 ‐0.9 ‐0.9 ‐0.5 2020 2020 3.3 ‐66.0 ‐62.8 ‐41.3
2021 1.1 0.0 1.1 0.7 2021 2021 16.5 ‐31.0 ‐14.5 ‐10.3
2022 2022 2022 0.0 ‐5.9 ‐5.9 ‐4.4
2023 0.0 ‐1.3 ‐1.3 ‐1.0 2023 2023 1.0 ‐1.3 ‐0.3 ‐0.1
2024 2024 2024 0.0 0.0 0.0 0.0
2025 2025 2025 5.2 0.0 5.2 4.6
2026 2026 2026 0.0 ‐7.6 ‐7.6 ‐7.2
2027 2027 2027 0.0 0.0 0.0 0.0
2028 2028 2028 0.0 0.0 0.0 0.0
2029 2029 2029 0.4 ‐0.6 ‐0.2 ‐0.2
2030‐2045 0.7 ‐ 0.7 0.8 2030‐2045 2030‐2045 22.4 ‐3.6 18.8 22.4
TOTAL 13.9 (10.7) 3.2 0.1 TOTAL ‐ ‐ ‐ ‐ TOTAL 2,191.0 (2,156.1) 34.9 21.6
PTPBT2GE0011 PORTB 0 03/23/12
PTOTEKOE0003 PGB 5 06/15/12
PTPETQOM0006 PARPUB 3 1/2 07/08/13
PTOTEOOE0017 PGB 3.6 10/15/14
PTOTEPOE0016 PGB 6.4 02/15/16
PTOTELOE0010 PGB 4.35 10/16/17
PTOTEMOE0027 PGB 4 3/4 06/14/19
PTOTECOE0029 PGB 4.8 06/15/20
PTOTEYOE0007 PGB 3.85 04/15/21
PTOTEAOE0021 PGB 4.95 10/25/23
PTOTE5OE0007 PGB 4.1 04/15/37
Page 2 of 2 11/4/2011