`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, August 14, 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  :    19,038:     2,920      7,773      1,192     14,066      9,309     18,178     18,274:       860        764
Old  :    19,038:     2,920      7,773      1,192     14,066      9,309     18,178     18,274:       860        764
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: August 7, 2012                       :
     :     4,235:     2,007      1,751        329      1,282      1,449      3,618      3,529:       617        706
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:      15.3       40.8        6.3       73.9       48.9       95.5       96.0:       4.5        4.0
Old  :     100.0:      15.3       40.8        6.3       73.9       48.9       95.5       96.0:       4.5        4.0
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  :        26:         7          5          5         11         12         19         21:
Old  :        26:         7          5          5         11         12         19         21:
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  :                 57.7       61.3       83.3       82.5       42.7       53.7       58.0       59.2
Old  :                 57.7       61.3       83.3       82.5       42.7       53.7       58.0       59.2
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated August 17, 2012