`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, November 27, 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  :    43,458:       874     11,787      1,882     39,452     28,918     42,208     42,587:     1,250        871
Old  :    43,458:       874     11,787      1,882     39,452     28,918     42,208     42,587:     1,250        871
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: November 20, 2012                    :
     :     3,066:      -289      1,939       -357      3,163      1,293      2,517      2,875:       549        191
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       2.0       27.1        4.3       90.8       66.5       97.1       98.0:       2.9        2.0
Old  :     100.0:       2.0       27.1        4.3       90.8       66.5       97.1       98.0:       2.9        2.0
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  :        44:         4         11          6         21         23         29         36:
Old  :        44:         4         11          6         21         23         29         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  :                 55.1       55.9       76.7       73.2       48.4       55.5       66.4       69.8
Old  :                 55.1       55.9       76.7       73.2       48.4       55.5       66.4       69.8
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated December 5, 2012