`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 11, 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  :    42,959:     1,075     12,361      1,356     39,786     28,534     42,217     42,251:       742        708
Old  :    42,959:     1,075     12,361      1,356     39,786     28,534     42,217     42,251:       742        708
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 4, 2012                     :
     :     3,551:        36        962         64      3,539      2,636      3,639      3,662:       -88       -111
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       2.5       28.8        3.2       92.6       66.4       98.3       98.4:       1.7        1.6
Old  :     100.0:       2.5       28.8        3.2       92.6       66.4       98.3       98.4:       1.7        1.6
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  :        46:         8         10          5         22         21         32         34:
Old  :        46:         8         10          5         22         21         32         34:
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  :                 56.0       51.5       76.9       72.4       50.7       51.5       66.6       69.6
Old  :                 56.0       51.5       76.9       72.4       50.7       51.5       66.6       69.6
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated December 14, 2012