`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 18, 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  :    50,485:     3,275     15,306      3,843     42,635     30,824     49,753     49,973:       732        512
Old  :    50,485:     3,275     15,306      3,843     42,635     30,824     49,753     49,973:       732        512
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 11, 2012                    :
     :     7,526:     2,200      2,945      2,487      2,849      2,290      7,536      7,722:       -10       -196
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       6.5       30.3        7.6       84.5       61.1       98.6       99.0:       1.4        1.0
Old  :     100.0:       6.5       30.3        7.6       84.5       61.1       98.6       99.0:       1.4        1.0
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         11          6         22         21         34         35:
Old  :        47:         8         11          6         22         21         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  :                 46.1       43.7       68.8       66.5       40.5       41.9       59.4       61.5
Old  :                 46.1       43.7       68.8       66.5       40.5       41.9       59.4       61.5
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

---

Updated December 21, 2012