`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, November 13, 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  :    40,079:     1,591     22,933      2,265     35,843     14,516     39,699     39,714:       380        365
Old  :    40,079:     1,591     22,933      2,265     35,843     14,516     39,699     39,714:       380        365
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: November 6, 2012                     :
     :     2,529:       467      2,272        328      2,488      1,013      3,283      3,613:      -754     -1,084
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       4.0       57.2        5.7       89.4       36.2       99.1       99.1:       0.9        0.9
Old  :     100.0:       4.0       57.2        5.7       89.4       36.2       99.1       99.1:       0.9        0.9
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  :        45:         6         12          7         22         21         31         37:
Old  :        45:         6         12          7         22         21         31         37:
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  :                 56.4       55.9       74.9       73.2       48.3       55.8       65.1       70.8
Old  :                 56.4       55.9       74.9       73.2       48.3       55.8       65.1       70.8
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated November 16, 2012