DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                     Code-045L2T
FUTURES ONLY POSITIONS AS OF 11/27/12                         |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
--------------------------------------------------------------------------------
(CONTRACTS OF $5,000,000)                            OPEN INTEREST:       43,458
COMMITMENTS
     874   11,787    1,882   39,452   28,918   42,208   42,587    1,250      871

CHANGES FROM 11/20/12 (CHANGE IN OPEN INTEREST:      3,066)
    -289    1,939     -357    3,163    1,293    2,517    2,875      549      191

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
     2.0     27.1      4.3     90.8     66.5     97.1     98.0      2.9      2.0

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       44)
       4       11        6       21       23       29       36
 

Updated December 5, 2012