DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                     Code-045L2T
FUTURES ONLY POSITIONS AS OF 12/24/12                         |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
--------------------------------------------------------------------------------
(CONTRACTS OF $5,000,000)                            OPEN INTEREST:       51,857
COMMITMENTS
   3,520   11,667    3,818   43,989   35,948   51,327   51,433      530      424

CHANGES FROM 12/18/12 (CHANGE IN OPEN INTEREST:      1,372)
     245   -3,639      -25    1,354    5,124    1,574    1,460     -202      -88

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
     6.8     22.5      7.4     84.8     69.3     99.0     99.2      1.0      0.8

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       47)
       8       10        7       21       22       34       35
 

Updated December 28, 2012