DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                     Code-045L2T
OPTION AND FUTURES COMBINED POSITIONS AS OF 09/04/12          |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  Long  | Short  |Spreads |  Long  | Short  |  Long  | Short  |  Long  | Short
--------------------------------------------------------------------------------
(CONTRACTS OF $5,000,000)                            OPEN INTEREST:       25,762
COMMITMENTS
   2,824   16,011    1,407   21,202    8,110   25,433   25,528      329      234

CHANGES FROM 08/28/12 (CHANGE IN OPEN INTEREST:        485)
     226    2,994     -207      362   -2,399      381      388      104       97

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADER
    11.0     62.1      5.5     82.3     31.5     98.7     99.1      1.3      0.9

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       30)
       8        5        4       14       13       23       21
 

Updated September 4, 2012