`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 4, 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  :    39,408:     1,039     11,399      1,292     36,247     25,898     38,578     38,589:       830        819
Old  :    39,408:     1,039     11,399      1,292     36,247     25,898     38,578     38,589:       830        819
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: November 27, 2012                    :
     :    -4,050:       165       -388       -590     -3,205     -3,020     -3,630     -3,998:      -420        -52
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       2.6       28.9        3.3       92.0       65.7       97.9       97.9:       2.1        2.1
Old  :     100.0:       2.6       28.9        3.3       92.0       65.7       97.9       97.9:       2.1        2.1
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:         7          9          5         21         21         30         34:
Old  :        45:         7          9          5         21         21         30         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  :                 53.7       50.1       75.5       70.6       46.4       49.2       64.1       65.9
Old  :                 53.7       50.1       75.5       70.6       46.4       49.2       64.1       65.9
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated December 7, 2012