`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, October 16, 2012                
-------------------------------------------------------------------------------------------------------------------
     :   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  :    42,550:       967     19,661      2,267     37,087     19,212     40,321     41,140:     2,229      1,410
Old  :    42,550:       967     19,661      2,267     37,087     19,212     40,321     41,140:     2,229      1,410
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: October 9, 2012                      :
     :     3,446:    -1,115        104        105      2,539      2,029      1,529      2,238:     1,917      1,208
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       2.3       46.2        5.3       87.2       45.2       94.8       96.7:       5.2        3.3
Old  :     100.0:       2.3       46.2        5.3       87.2       45.2       94.8       96.7:       5.2        3.3
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  :        40:         3         12          7         18         19         26         34:
Old  :        40:         3         12          7         18         19         26         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  :                 58.7       51.1       75.0       71.9       46.7       49.3       58.4       62.8
Old  :                 58.7       51.1       75.0       71.9       46.7       49.3       58.4       62.8
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated June 29, 2007