`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders - Futures Only, August 7, 2012                  
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (CONTRACTS OF $5,000,000)                                                  :
     :          :                                                                            :
All  :    14,803:       913      6,022        863     12,784      7,860     14,560     14,745:       243         58
Old  :    14,803:       913      6,022        863     12,784      7,860     14,560     14,745:       243         58
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: July 31, 2012                        :
     :         .:         .          .          .          .          .          .          .:         .          .
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       6.2       40.7        5.8       86.4       53.1       98.4       99.6:       1.6        0.4
Old  :     100.0:       6.2       40.7        5.8       86.4       53.1       98.4       99.6:       1.6        0.4
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  :        22:         5          4          3         12         11         18         17:
Old  :        22:         5          4          3         12         11         18         17:
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  :                 71.4       62.9       86.5       86.8       54.3       52.2       61.7       63.3
Old  :                 71.4       62.9       86.5       86.8       54.3       52.2       61.7       63.3
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

---

Updated August 10, 2012