`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, July 2, 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  :    34,058:     2,609      4,405      2,596     28,846     26,990     34,051     33,991:         7         67
Old  :    34,058:     2,609      4,405      2,596     28,846     26,990     34,051     33,991:         7         67
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: June 25, 2013                        :
     :   -17,052:       660     -1,588     -1,172    -16,533    -14,154    -17,045    -16,914:        -7       -138
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       7.7       12.9        7.6       84.7       79.2      100.0       99.8:       0.0        0.2
Old  :     100.0:       7.7       12.9        7.6       84.7       79.2      100.0       99.8:       0.0        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  :        38:         8          5          6         19         19         30         28:
Old  :        38:         8          5          6         19         19         30         28:
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  :                 54.4       40.0       75.8       63.3       43.8       34.1       59.0       49.1
Old  :                 54.4       40.0       75.8       63.3       43.8       34.1       59.0       49.1
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated July 8, 2013