`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, June 25, 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  :    51,110:     1,949      5,993      3,768     45,379     41,144     51,096     50,905:        14        205
Old  :    51,110:     1,949      5,993      3,768     45,379     41,144     51,096     50,905:        14        205
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: June 18, 2013                        :
     :       195:        90        802        218         69       -786        377        234:      -182        -39
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       3.8       11.7        7.4       88.8       80.5      100.0       99.6:       0.0        0.4
Old  :     100.0:       3.8       11.7        7.4       88.8       80.5      100.0       99.6:       0.0        0.4
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  :        45:         6          8          8         22         25         34         37:
Old  :        45:         6          8          8         22         25         34         37:
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  :                 66.0       45.3       79.4       61.7       57.5       43.6       67.0       54.4
Old  :                 66.0       45.3       79.4       61.7       57.5       43.6       67.0       54.4
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated June 28, 2013