`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, September 10, 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  :    33,544:     1,716      4,507      2,435     29,321     26,514     33,472     33,456:        72         88
Old  :    33,544:     1,716      4,507      2,435     29,321     26,514     33,472     33,456:        72         88
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: September 3, 2013                    :
     :     2,010:      -407        953        396      2,021        661      2,010      2,010:         0          0
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       5.1       13.4        7.3       87.4       79.0       99.8       99.7:       0.2        0.3
Old  :     100.0:       5.1       13.4        7.3       87.4       79.0       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  :        36:         6         10          7         15         16         25         29:
Old  :        36:         6         10          7         15         16         25         29:
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  :                 61.4       57.4       84.1       75.4       47.6       44.3       56.4       54.1
Old  :                 61.4       57.4       84.1       75.4       47.6       44.3       56.4       54.1
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated September 13, 2013