DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                     Code-045L2T
OPTION AND FUTURES COMBINED POSITIONS AS OF 09/25/12          |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  Long  | Short  |Spreads |  Long  | Short  |  Long  | Short  |  Long  | Short
--------------------------------------------------------------------------------
(CONTRACTS OF $5,000,000)                            OPEN INTEREST:       40,631
COMMITMENTS
   3,387   18,833    2,546   34,483   19,066   40,416   40,445      215      186

CHANGES FROM 09/18/12 (CHANGE IN OPEN INTEREST:      3,611)
     119      172      661    3,632    3,565    4,412    4,398     -801     -787

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADER
     8.3     46.4      6.3     84.9     46.9     99.5     99.5      0.5      0.5

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       36)
       7        7        6       19       18       29       29
 

Updated September 28, 2012