DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                     Code-045L2T
OPTION AND FUTURES COMBINED POSITIONS AS OF 12/18/12          |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  Long  | Short  |Spreads |  Long  | Short  |  Long  | Short  |  Long  | Short
--------------------------------------------------------------------------------
(CONTRACTS OF $5,000,000)                            OPEN INTEREST:       50,485
COMMITMENTS
   3,275   15,306    3,843   42,635   30,824   49,753   49,973      732      512

CHANGES FROM 12/11/12 (CHANGE IN OPEN INTEREST:      7,526)
   2,200    2,945    2,487    2,849    2,290    7,536    7,722      -10     -196

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADER
     6.5     30.3      7.6     84.5     61.1     98.6     99.0      1.4      1.0

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       47)
       8       11        6       22       21       34       35
 

Updated December 21, 2012