DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                     Code-045L2T
OPTION AND FUTURES COMBINED POSITIONS AS OF 10/23/12          |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  Long  | Short  |Spreads |  Long  | Short  |  Long  | Short  |  Long  | Short
--------------------------------------------------------------------------------
(CONTRACTS OF $5,000,000)                            OPEN INTEREST:       42,096
COMMITMENTS
   2,098   17,902    2,013   35,844   19,795   39,955   39,710    2,141    2,386

CHANGES FROM 10/16/12 (CHANGE IN OPEN INTEREST:       -454)
   1,131   -1,759     -254   -1,243      583     -366   -1,430      -88      976

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADER
     5.0     42.5      4.8     85.1     47.0     94.9     94.3      5.1      5.7

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       40)
       5       11        7       19       20       27       36
 

Updated October 26, 2012