`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, October 2, 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  :    35,129:     1,319     17,743      2,377     31,153     14,788     34,849     34,908:       280        221
Old  :    35,129:     1,319     17,743      2,377     31,153     14,788     34,849     34,908:       280        221
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: September 25, 2012                   :
     :    -5,502:    -2,068     -1,090       -169     -3,330     -4,278     -5,567     -5,537:        65         35
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       3.8       50.5        6.8       88.7       42.1       99.2       99.4:       0.8        0.6
Old  :     100.0:       3.8       50.5        6.8       88.7       42.1       99.2       99.4:       0.8        0.6
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  :        35:         5          9          6         18         14         26         27:
Old  :        35:         5          9          6         18         14         26         27:
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  :                 62.8       58.2       82.8       81.8       50.2       56.9       64.2       68.2
Old  :                 62.8       58.2       82.8       81.8       50.2       56.9       64.2       68.2
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated October 5, 2012