DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                     Code-045L2T
OPTION AND FUTURES COMBINED POSITIONS AS OF 01/08/13          |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  Long  | Short  |Spreads |  Long  | Short  |  Long  | Short  |  Long  | Short
--------------------------------------------------------------------------------
(CONTRACTS OF $5,000,000)                            OPEN INTEREST:       51,755
COMMITMENTS
   3,649   12,625    4,225   43,081   34,111   50,955   50,961      800      794

CHANGES FROM 12/31/12 (CHANGE IN OPEN INTEREST:     -1,498)
     104      787      756   -2,519   -3,267   -1,659   -1,724      161      226

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADER
     7.1     24.4      8.2     83.2     65.9     98.5     98.5      1.5      1.5

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       46)
       7        8        9       23       19       36       31
 

Updated January 15, 2013