`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, January 15, 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  :    55,463:     1,723     13,712      5,475     47,521     35,315     54,719     54,502:       744        961
Old  :    55,463:     1,723     13,712      5,475     47,521     35,315     54,719     54,502:       744        961
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 8, 2013                      :
     :     3,708:    -1,926      1,087      1,250      4,440      1,204      3,764      3,541:       -56        167
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       3.1       24.7        9.9       85.7       63.7       98.7       98.3:       1.3        1.7
Old  :     100.0:       3.1       24.7        9.9       85.7       63.7       98.7       98.3:       1.3        1.7
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  :        41:         4          8          9         23         19         34         30:
Old  :        41:         4          8          9         23         19         34         30:
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  :                 48.3       49.0       63.2       71.6       39.7       44.7       53.9       59.6
Old  :                 48.3       49.0       63.2       71.6       39.7       44.7       53.9       59.6
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated January 18, 2013