`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders - Futures Only, March 12, 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  :    52,174:     1,893      6,215      1,708     47,176     42,680     50,777     50,603:     1,397      1,571
Old  :    52,174:     1,893      6,215      1,708     47,176     42,680     50,777     50,603:     1,397      1,571
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: March 5, 2013                        :
     :     1,138:       355     -2,934         63        700      4,056      1,118      1,185:        20        -47
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       3.6       11.9        3.3       90.4       81.8       97.3       97.0:       2.7        3.0
Old  :     100.0:       3.6       11.9        3.3       90.4       81.8       97.3       97.0:       2.7        3.0
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  :        43:         4          9          7         23         23         32         34:
Old  :        43:         4          9          7         23         23         32         34:
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  :                 56.2       47.7       77.7       66.9       55.6       44.8       69.6       60.3
Old  :                 56.2       47.7       77.7       66.9       55.6       44.8       69.6       60.3
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated March 15, 2013