`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, October 30, 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  :    41,910:     1,776     19,153      2,219     37,267     19,646     41,262     41,018:       648        892
Old  :    41,910:     1,776     19,153      2,219     37,267     19,646     41,262     41,018:       648        892
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: October 23, 2012                     :
     :      -186:      -322      1,251        206      1,423       -149      1,307      1,308:    -1,493     -1,494
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       4.2       45.7        5.3       88.9       46.9       98.5       97.9:       1.5        2.1
Old  :     100.0:       4.2       45.7        5.3       88.9       46.9       98.5       97.9:       1.5        2.1
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  :        42:         5         12          7         20         21         28         38:
Old  :        42:         5         12          7         20         21         28         38:
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  :                 57.4       49.9       75.3       66.5       52.5       49.2       64.2       64.4
Old  :                 57.4       49.9       75.3       66.5       52.5       49.2       64.2       64.4
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated November 2, 2012