`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, September 25, 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  :    40,631:     3,387     18,833      2,546     34,483     19,066     40,416     40,445:       215        186
Old  :    40,631:     3,387     18,833      2,546     34,483     19,066     40,416     40,445:       215        186
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: September 18, 2012                   :
     :     3,611:       119        172        661      3,632      3,565      4,412      4,398:      -801       -787
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       8.3       46.4        6.3       84.9       46.9       99.5       99.5:       0.5        0.5
Old  :     100.0:       8.3       46.4        6.3       84.9       46.9       99.5       99.5:       0.5        0.5
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  :        36:         7          7          6         19         18         29         29:
Old  :        36:         7          7          6         19         18         29         29:
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  :                 61.9       57.9       81.7       79.4       48.1       56.1       61.0       67.0
Old  :                 61.9       57.9       81.7       79.4       48.1       56.1       61.0       67.0
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated September 28, 2012