`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, August 28, 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  :    25,277:     2,598     13,017      1,614     20,840     10,509     25,052     25,140:       225        137
Old  :    25,277:     2,598     13,017      1,614     20,840     10,509     25,052     25,140:       225        137
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: August 21, 2012                      :
     :     4,744:       156      3,777         65      4,608      1,044      4,829      4,886:       -85       -142
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:      10.3       51.5        6.4       82.4       41.6       99.1       99.5:       0.9        0.5
Old  :     100.0:      10.3       51.5        6.4       82.4       41.6       99.1       99.5:       0.9        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  :        30:         5          7          5         14         13         22         23:
Old  :        30:         5          7          5         14         13         22         23:
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  :                 54.9       60.5       81.7       80.6       36.7       55.1       58.4       63.2
Old  :                 54.9       60.5       81.7       80.6       36.7       55.1       58.4       63.2
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated August 31, 2012