DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                     Code-045L2T
OPTION AND FUTURES COMBINED POSITIONS AS OF 08/14/12          |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  Long  | Short  |Spreads |  Long  | Short  |  Long  | Short  |  Long  | Short
--------------------------------------------------------------------------------
(CONTRACTS OF $5,000,000)                            OPEN INTEREST:       19,038
COMMITMENTS
   2,920    7,773    1,192   14,066    9,309   18,178   18,274      860      764

CHANGES FROM 08/07/12 (CHANGE IN OPEN INTEREST:      4,235)
   2,007    1,751      329    1,282    1,449    3,618    3,529      617      706

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADER
    15.3     40.8      6.3     73.9     48.9     95.5     96.0      4.5      4.0

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       26)
       7        5        5       11       12       19       21
 

Updated August 17, 2012