`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 24, 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  :    51,857:     3,520     11,667      3,818     43,989     35,948     51,327     51,433:       530        424
Old  :    51,857:     3,520     11,667      3,818     43,989     35,948     51,327     51,433:       530        424
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 18, 2012                    :
     :     1,372:       245     -3,639        -25      1,354      5,124      1,574      1,460:      -202        -88
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       6.8       22.5        7.4       84.8       69.3       99.0       99.2:       1.0        0.8
Old  :     100.0:       6.8       22.5        7.4       84.8       69.3       99.0       99.2:       1.0        0.8
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  :        47:         8         10          7         21         22         34         35:
Old  :        47:         8         10          7         21         22         34         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  :                 46.3       48.3       69.5       68.3       41.0       45.0       60.1       61.6
Old  :                 46.3       48.3       69.5       68.3       41.0       45.0       60.1       61.6
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated December 28, 2012