DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                     Code-045L2T
FUTURES ONLY POSITIONS AS OF 10/09/12                         |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
--------------------------------------------------------------------------------
(CONTRACTS OF $5,000,000)                            OPEN INTEREST:       39,104
COMMITMENTS
   2,082   19,557    2,162   34,548   17,183   38,792   38,902      312      202

CHANGES FROM 10/02/12 (CHANGE IN OPEN INTEREST:      3,975)
     763    1,814     -215    3,395    2,395    3,943    3,994       32      -19

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
     5.3     50.0      5.5     88.3     43.9     99.2     99.5      0.8      0.5

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       39)
       6       11        6       18       16       26       31
 

Updated October 12, 2012