`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, September 18, 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  :    37,020:     3,268     18,661      1,885     30,851     15,501     36,004     36,047:     1,016        973
Old  :    37,020:     3,268     18,661      1,885     30,851     15,501     36,004     36,047:     1,016        973
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: September 11, 2012                   :
     :     7,301:      -236       -610        608      6,085      6,483      6,457      6,481:       844        820
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       8.8       50.4        5.1       83.3       41.9       97.3       97.4:       2.7        2.6
Old  :     100.0:       8.8       50.4        5.1       83.3       41.9       97.3       97.4:       2.7        2.6
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  :        34:         8          7          5         16         15         26         25:
Old  :        34:         8          7          5         16         15         26         25:
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  :                 60.2       65.0       81.3       80.6       43.1       52.8       57.1       61.1
Old  :                 60.2       65.0       81.3       80.6       43.1       52.8       57.1       61.1
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated September 21, 2012