DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                     Code-045L2T
FUTURES ONLY POSITIONS AS OF 10/30/12                         |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
--------------------------------------------------------------------------------
(CONTRACTS OF $5,000,000)                            OPEN INTEREST:       41,910
COMMITMENTS
   1,776   19,153    2,219   37,267   19,646   41,262   41,018      648      892

CHANGES FROM 10/23/12 (CHANGE IN OPEN INTEREST:       -186)
    -322    1,251      206    1,423     -149    1,307    1,308   -1,493   -1,494

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
     4.2     45.7      5.3     88.9     46.9     98.5     97.9      1.5      2.1

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       42)
       5       12        7       20       21       28       38
 

Updated November 2, 2012