DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                     Code-045L2T
FUTURES ONLY POSITIONS AS OF 09/18/12                         |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
--------------------------------------------------------------------------------
(CONTRACTS OF $5,000,000)                            OPEN INTEREST:       37,020
COMMITMENTS
   3,268   18,661    1,885   30,851   15,501   36,004   36,047    1,016      973

CHANGES FROM 09/11/12 (CHANGE IN OPEN INTEREST:      7,301)
    -236     -610      608    6,085    6,483    6,457    6,481      844      820

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
     8.8     50.4      5.1     83.3     41.9     97.3     97.4      2.7      2.6

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       34)
       8        7        5       16       15       26       25
 

Updated September 21, 2012