`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 31, 2012               
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     :   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  :    53,253:     3,545     11,838      3,469     45,600     37,378     52,614     52,685:       639        568
Old  :    53,253:     3,545     11,838      3,469     45,600     37,378     52,614     52,685:       639        568
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 24, 2012                    :
     :     1,396:        25        171       -349      1,611      1,430      1,287      1,252:       109        144
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       6.7       22.2        6.5       85.6       70.2       98.8       98.9:       1.2        1.1
Old  :     100.0:       6.7       22.2        6.5       85.6       70.2       98.8       98.9:       1.2        1.1
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  :        49:         8          9          7         23         23         36         35:
Old  :        49:         8          9          7         23         23         36         35:
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  :                 49.5       49.2       72.7       68.1       42.7       45.3       62.6       62.4
Old  :                 49.5       49.2       72.7       68.1       42.7       45.3       62.6       62.4
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated January 4, 2013