DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                     Code-045L2T
FUTURES ONLY POSITIONS AS OF 11/06/12                         |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
--------------------------------------------------------------------------------
(CONTRACTS OF $5,000,000)                            OPEN INTEREST:       37,550
COMMITMENTS
   1,124   20,661    1,937   33,355   13,503   36,416   36,101    1,134    1,449

CHANGES FROM 10/30/12 (CHANGE IN OPEN INTEREST:     -4,360)
    -652    1,508     -282   -3,912   -6,143   -4,846   -4,917      486      557

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
     3.0     55.0      5.2     88.8     36.0     97.0     96.1      3.0      3.9

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       43)
       4       13        6       20       21       28       36
 

Updated November 9, 2012