`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 3, 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  :    44,868:     1,768      3,802      4,252     38,555     36,511     44,575     44,565:       293        303
Old  :    44,868:     1,768      3,802      4,252     38,555     36,511     44,575     44,565:       293        303
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: November 26, 2013                    :
     :   -19,055:      -895       -932       -570    -17,881    -17,851    -19,346    -19,353:       291        298
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       3.9        8.5        9.5       85.9       81.4       99.3       99.3:       0.7        0.7
Old  :     100.0:       3.9        8.5        9.5       85.9       81.4       99.3       99.3:       0.7        0.7
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          9          8         13         22         23         35:
Old  :        40:         6          9          8         13         22         23         35:
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  :                 75.3       49.9       88.3       66.1       65.3       42.5       69.8       55.1
Old  :                 75.3       49.9       88.3       66.1       65.3       42.5       69.8       55.1
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated December 6, 2013