`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, February 26, 2013               
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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  :    52,393:     2,691      7,723      4,084     44,451     39,567     51,226     51,374:     1,167      1,019
Old  :    52,393:     2,691      7,723      4,084     44,451     39,567     51,226     51,374:     1,167      1,019
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: February 19, 2013                    :
     :     2,119:    -1,428         83      1,414      2,049        732      2,035      2,229:        84       -110
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       5.1       14.7        7.8       84.8       75.5       97.8       98.1:       2.2        1.9
Old  :     100.0:       5.1       14.7        7.8       84.8       75.5       97.8       98.1:       2.2        1.9
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  :        46:         5          9         10         24         25         35         39:
Old  :        46:         5          9         10         24         25         35         39:
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  :                 54.1       47.1       77.7       64.3       48.5       45.4       66.6       59.2
Old  :                 54.1       47.1       77.7       64.3       48.5       45.4       66.6       59.2
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated March 1, 2013