DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                     Code-045L2T
FUTURES ONLY POSITIONS AS OF 09/11/12                         |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
--------------------------------------------------------------------------------
(CONTRACTS OF $5,000,000)                            OPEN INTEREST:       29,719
COMMITMENTS
   3,504   19,271    1,277   24,766    9,018   29,547   29,566      172      153

CHANGES FROM 09/04/12 (CHANGE IN OPEN INTEREST:      3,957)
     680    3,260     -130    3,564      908    4,114    4,038     -157      -81

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
    11.8     64.8      4.3     83.3     30.3     99.4     99.5      0.6      0.5

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       33)
      10        6        4       14       13       24       23
 

Updated September 14, 2012