`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, October 23, 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  :    42,096:     2,098     17,902      2,013     35,844     19,795     39,955     39,710:     2,141      2,386
Old  :    42,096:     2,098     17,902      2,013     35,844     19,795     39,955     39,710:     2,141      2,386
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: October 16, 2012                     :
     :      -454:     1,131     -1,759       -254     -1,243        583       -366     -1,430:       -88        976
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       5.0       42.5        4.8       85.1       47.0       94.9       94.3:       5.1        5.7
Old  :     100.0:       5.0       42.5        4.8       85.1       47.0       94.9       94.3:       5.1        5.7
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  :        40:         5         11          7         19         20         27         36:
Old  :        40:         5         11          7         19         20         27         36:
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  :                 59.8       47.8       75.7       67.7       55.4       47.0       67.6       62.9
Old  :                 59.8       47.8       75.7       67.7       55.4       47.0       67.6       62.9
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated October 26, 2012