DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                     Code-045L2T
OPTION AND FUTURES COMBINED POSITIONS AS OF 08/21/12          |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  Long  | Short  |Spreads |  Long  | Short  |  Long  | Short  |  Long  | Short
--------------------------------------------------------------------------------
(CONTRACTS OF $5,000,000)                            OPEN INTEREST:       20,533
COMMITMENTS
   2,442    9,240    1,549   16,232    9,465   20,223   20,254      310      279

CHANGES FROM 08/14/12 (CHANGE IN OPEN INTEREST:      1,495)
    -478    1,467      357    2,166      156    2,045    1,980     -550     -485

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADER
    11.9     45.0      7.5     79.1     46.1     98.5     98.6      1.5      1.4

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       30)
       6        5        5       15       12       23       21
 

Updated August 24, 2012