DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                     Code-045L2T
OPTION AND FUTURES COMBINED POSITIONS AS OF 12/31/12          |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  Long  | Short  |Spreads |  Long  | Short  |  Long  | Short  |  Long  | Short
--------------------------------------------------------------------------------
(CONTRACTS OF $5,000,000)                            OPEN INTEREST:       53,253
COMMITMENTS
   3,545   11,838    3,469   45,600   37,378   52,614   52,685      639      568

CHANGES FROM 12/24/12 (CHANGE IN OPEN INTEREST:      1,396)
      25      171     -349    1,611    1,430    1,287    1,252      109      144

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADER
     6.7     22.2      6.5     85.6     70.2     98.8     98.9      1.2      1.1

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       49)
       8        9        7       23       23       36       35
 

Updated January 4, 2013