`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, November 20, 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  :    40,392:     1,163      9,848      2,239     36,289     27,625     39,691     39,712:       701        680
Old  :    40,392:     1,163      9,848      2,239     36,289     27,625     39,691     39,712:       701        680
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: November 13, 2012                    :
     :       313:      -428    -13,085        -26        446     13,109         -8         -2:       321        315
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       2.9       24.4        5.5       89.8       68.4       98.3       98.3:       1.7        1.7
Old  :     100.0:       2.9       24.4        5.5       89.8       68.4       98.3       98.3:       1.7        1.7
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:         6          9          7         21         23         30         37:
Old  :        45:         6          9          7         21         23         30         37:
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  :                 56.6       58.4       76.4       75.5       51.0       58.3       70.1       71.9
Old  :                 56.6       58.4       76.4       75.5       51.0       58.3       70.1       71.9
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated November 26, 2012