`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders - Futures Only, September 11, 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  :    29,719:     3,504     19,271      1,277     24,766      9,018     29,547     29,566:       172        153
Old  :    29,719:     3,504     19,271      1,277     24,766      9,018     29,547     29,566:       172        153
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: September 4, 2012                    :
     :     3,957:       680      3,260       -130      3,564        908      4,114      4,038:      -157        -81
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:      11.8       64.8        4.3       83.3       30.3       99.4       99.5:       0.6        0.5
Old  :     100.0:      11.8       64.8        4.3       83.3       30.3       99.4       99.5:       0.6        0.5
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  :        33:        10          6          4         14         13         24         23:
Old  :        33:        10          6          4         14         13         24         23:
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  :                 58.6       68.3       84.9       85.1       52.8       65.2       70.6       76.3
Old  :                 58.6       68.3       84.9       85.1       52.8       65.2       70.6       76.3
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

---

Updated September 14, 2012