`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders - Futures Only, September 24, 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  :    34,937:     2,599      4,146      2,870     29,406     27,847     34,875     34,863:        62         74
Old  :    34,937:     2,599      4,146      2,870     29,406     27,847     34,875     34,863:        62         74
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: September 17, 2013                   :
     :     2,089:       167        615        185      2,266      1,303      2,618      2,103:      -529        -14
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       7.4       11.9        8.2       84.2       79.7       99.8       99.8:       0.2        0.2
Old  :     100.0:       7.4       11.9        8.2       84.2       79.7       99.8       99.8:       0.2        0.2
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  :        37:         9          7          7         14         18         24         31:
Old  :        37:         9          7          7         14         18         24         31:
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  :                 68.7       62.8       83.0       76.0       34.5       36.8       42.9       44.8
Old  :                 68.7       62.8       83.0       76.0       34.5       36.8       42.9       44.8
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated September 27, 2013