`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, October 22, 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  :    34,870:     1,976      6,321      2,697     30,134     25,746     34,807     34,764:        63        106
Old  :    34,870:     1,976      6,321      2,697     30,134     25,746     34,807     34,764:        63        106
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: October 15, 2013                     :
     :     2,017:    -1,218      2,267        781      2,424     -1,104      1,987      1,944:        30         73
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       5.7       18.1        7.7       86.4       73.8       99.8       99.7:       0.2        0.3
Old  :     100.0:       5.7       18.1        7.7       86.4       73.8       99.8       99.7:       0.2        0.3
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  :        39:         5          9          7         16         19         26         31:
Old  :        39:         5          9          7         16         19         26         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  :                 64.4       46.4       80.1       66.7       53.0       35.3       64.7       52.2
Old  :                 64.4       46.4       80.1       66.7       53.0       35.3       64.7       52.2
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated November 1, 2013