DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                     Code-045L2T
FUTURES ONLY POSITIONS AS OF 01/22/13                         |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  LONG  | SHORT  |SPREADS |  LONG  | SHORT  |  LONG  | SHORT  |  LONG  | SHORT
--------------------------------------------------------------------------------
(CONTRACTS OF $5,000,000)                            OPEN INTEREST:       48,292
COMMITMENTS
   2,626   14,145    1,687   43,371   31,937   47,684   47,769      608      523

CHANGES FROM 01/15/13 (CHANGE IN OPEN INTEREST:     -7,171)
     903      433   -3,788   -4,150   -3,378   -7,035   -6,733     -136     -438

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADERS
     5.4     29.3      3.5     89.8     66.1     98.7     98.9      1.3      1.1

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       44)
       4        9        7       24       21       34       32
 

Updated January 25, 2013