`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, August 21, 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  :    20,533:     2,442      9,240      1,549     16,232      9,465     20,223     20,254:       310        279
Old  :    20,533:     2,442      9,240      1,549     16,232      9,465     20,223     20,254:       310        279
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: August 14, 2012                      :
     :     1,495:      -478      1,467        357      2,166        156      2,045      1,980:      -550       -485
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:      11.9       45.0        7.5       79.1       46.1       98.5       98.6:       1.5        1.4
Old  :     100.0:      11.9       45.0        7.5       79.1       46.1       98.5       98.6:       1.5        1.4
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  :        30:         6          5          5         15         12         23         21:
Old  :        30:         6          5          5         15         12         23         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  :                 57.1       60.5       79.5       81.2       45.0       50.1       59.6       58.3
Old  :                 57.1       60.5       79.5       81.2       45.0       50.1       59.6       58.3
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated August 24, 2012