`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, October 29, 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  :    39,865:     2,852      5,498      3,223     33,776     31,079     39,851     39,800:        14         65
Old  :    39,865:     2,852      5,498      3,223     33,776     31,079     39,851     39,800:        14         65
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: October 22, 2013                     :
     :     4,995:       876       -823        526      3,642      5,333      5,044      5,036:       -49        -41
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       7.2       13.8        8.1       84.7       78.0      100.0       99.8:       0.0        0.2
Old  :     100.0:       7.2       13.8        8.1       84.7       78.0      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  :        40:         6          8          8         16         20         27         33:
Old  :        40:         6          8          8         16         20         27         33:
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  :                 71.5       49.5       83.4       66.6       60.5       41.4       67.5       56.0
Old  :                 71.5       49.5       83.4       66.6       60.5       41.4       67.5       56.0
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated November 6, 2013