`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, September 4, 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  :    25,762:     2,824     16,011      1,407     21,202      8,110     25,433     25,528:       329        234
Old  :    25,762:     2,824     16,011      1,407     21,202      8,110     25,433     25,528:       329        234
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: August 28, 2012                      :
     :       485:       226      2,994       -207        362     -2,399        381        388:       104         97
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:      11.0       62.1        5.5       82.3       31.5       98.7       99.1:       1.3        0.9
Old  :     100.0:      11.0       62.1        5.5       82.3       31.5       98.7       99.1:       1.3        0.9
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  :        30:         8          5          4         14         13         23         21:
Old  :        30:         8          5          4         14         13         23         21:
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  :                 59.4       69.1       85.2       87.0       52.9       63.2       71.1       74.9
Old  :                 59.4       69.1       85.2       87.0       52.9       63.2       71.1       74.9
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated September 4, 2012