DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                     Code-045L2T
OPTION AND FUTURES COMBINED POSITIONS AS OF 10/16/12          |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  Long  | Short  |Spreads |  Long  | Short  |  Long  | Short  |  Long  | Short
--------------------------------------------------------------------------------
(CONTRACTS OF $5,000,000)                            OPEN INTEREST:       42,550
COMMITMENTS
     967   19,661    2,267   37,087   19,212   40,321   41,140    2,229    1,410

CHANGES FROM 10/09/12 (CHANGE IN OPEN INTEREST:      3,446)
  -1,115      104      105    2,539    2,029    1,529    2,238    1,917    1,208

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADER
     2.3     46.2      5.3     87.2     45.2     94.8     96.7      5.2      3.3

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       40)
       3       12        7       18       19       26       34
 

Updated June 29, 2007