DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                     Code-045L2T
OPTION AND FUTURES COMBINED POSITIONS AS OF 01/21/14          |
--------------------------------------------------------------| NONREPORTABLE
      NON-COMMERCIAL      |   COMMERCIAL    |      TOTAL      |   POSITIONS
--------------------------|-----------------|-----------------|-----------------
  Long  | Short  |Spreads |  Long  | Short  |  Long  | Short  |  Long  | Short
--------------------------------------------------------------------------------
(CONTRACTS OF $5,000,000)                            OPEN INTEREST:       46,720
COMMITMENTS
   1,365    5,412    2,815   41,874   37,798   46,054   46,025      666      695

CHANGES FROM 01/14/14 (CHANGE IN OPEN INTEREST:       -543)
     399      116     -468      160      414       91       62     -634     -605

PERCENT OF OPEN INTEREST FOR EACH CATEGORY OF TRADER
     2.9     11.6      6.0     89.6     80.9     98.6     98.5      1.4      1.5

NUMBER OF TRADERS IN EACH CATEGORY (TOTAL TRADERS:       40)
       5        7        5       19       21       27       30



Updated January 24, 2014