`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, February 12, 2013               
-------------------------------------------------------------------------------------------------------------------
     :   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  :    48,476:     4,165      6,976      2,412     40,839     38,077     47,416     47,465:     1,060      1,011
Old  :    48,476:     4,165      6,976      2,412     40,839     38,077     47,416     47,465:     1,060      1,011
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: February 5, 2013                     :
     :     6,678:       628        796         61      6,479      6,509      7,168      7,366:      -490       -688
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       8.6       14.4        5.0       84.2       78.5       97.8       97.9:       2.2        2.1
Old  :     100.0:       8.6       14.4        5.0       84.2       78.5       97.8       97.9:       2.2        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:         4          6          7         22         27         30         37:
Old  :        42:         4          6          7         22         27         30         37:
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  :                 55.8       39.6       78.9       60.1       47.8       39.5       61.5       52.9
Old  :                 55.8       39.6       78.9       60.1       47.8       39.5       61.5       52.9
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated February 15, 2013