`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders - Futures Only, September 3, 2013               
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (CONTRACTS OF $5,000,000)                                                  :
     :          :                                                                            :
All  :    31,534:     2,123      3,554      2,039     27,300     25,853     31,462     31,446:        72         88
Old  :    31,534:     2,123      3,554      2,039     27,300     25,853     31,462     31,446:        72         88
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: August 27, 2013                      :
     :    -8,306:      -647     -1,621       -567     -7,085     -6,049     -8,299     -8,237:        -7        -69
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       6.7       11.3        6.5       86.6       82.0       99.8       99.7:       0.2        0.3
Old  :     100.0:       6.7       11.3        6.5       86.6       82.0       99.8       99.7:       0.2        0.3
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  :        35:         9          6          6         15         15         25         26:
Old  :        35:         9          6          6         15         15         25         26:
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  :                 56.0       58.3       80.7       77.3       41.7       43.7       51.8       53.6
Old  :                 56.0       58.3       80.7       77.3       41.7       43.7       51.8       53.6
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

---

Updated September 6, 2013