`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders - Futures Only, October 9, 2012                 
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
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     :          : (CONTRACTS OF $5,000,000)                                                  :
     :          :                                                                            :
All  :    39,104:     2,082     19,557      2,162     34,548     17,183     38,792     38,902:       312        202
Old  :    39,104:     2,082     19,557      2,162     34,548     17,183     38,792     38,902:       312        202
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: October 2, 2012                      :
     :     3,975:       763      1,814       -215      3,395      2,395      3,943      3,994:        32        -19
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       5.3       50.0        5.5       88.3       43.9       99.2       99.5:       0.8        0.5
Old  :     100.0:       5.3       50.0        5.5       88.3       43.9       99.2       99.5:       0.8        0.5
Other:     100.0:       0.0        0.0        0.0        0.0        0.0        0.0        0.0:       0.0        0.0
     :          :                                                                            :
     :# Traders :              Number of Traders in Each Category                            :
All  :        39:         6         11          6         18         16         26         31:
Old  :        39:         6         11          6         18         16         26         31:
Other:         0:         0          0          0          0          0          0          0:
     :----------------------------------------------------------------------------------------------------
     :             Percent of Open Interest Held by the Indicated Number of the Largest Traders
     :                          By Gross Position                       By Net Position
     :               4 or Less Traders     8 or Less Traders     4 or Less Traders     8 or Less Traders
     :                 Long:     Short       Long      Short:      Long      Short       Long      Short
     :----------------------------------------------------------------------------------------------------
All  :                 57.4       52.5       78.8       73.6       46.7       51.1       59.7       67.1
Old  :                 57.4       52.5       78.8       73.6       46.7       51.1       59.7       67.1
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated October 12, 2012