`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, January 8, 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  :    51,755:     3,649     12,625      4,225     43,081     34,111     50,955     50,961:       800        794
Old  :    51,755:     3,649     12,625      4,225     43,081     34,111     50,955     50,961:       800        794
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 31, 2012                    :
     :    -1,498:       104        787        756     -2,519     -3,267     -1,659     -1,724:       161        226
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       7.1       24.4        8.2       83.2       65.9       98.5       98.5:       1.5        1.5
Old  :     100.0:       7.1       24.4        8.2       83.2       65.9       98.5       98.5:       1.5        1.5
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  :        46:         7          8          9         23         19         36         31:
Old  :        46:         7          8          9         23         19         36         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  :                 49.3       53.2       68.8       75.6       46.2       49.8       62.2       66.3
Old  :                 49.3       53.2       68.8       75.6       46.2       49.8       62.2       66.3
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated January 15, 2013