`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, October 1, 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  :    26,184:     3,841      3,022      2,201     19,986     20,505     26,028     25,728:       156        456
Old  :    26,184:     3,841      3,022      2,201     19,986     20,505     26,028     25,728:       156        456
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: September 24, 2013                   :
     :    -8,753:     1,242     -1,124       -669     -9,420     -7,342     -8,847     -9,135:        94        382
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:      14.7       11.5        8.4       76.3       78.3       99.4       98.3:       0.6        1.7
Old  :     100.0:      14.7       11.5        8.4       76.3       78.3       99.4       98.3:       0.6        1.7
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  :        35:         9          6          4         15         17         24         27:
Old  :        35:         9          6          4         15         17         24         27:
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  :                 55.6       63.4       73.0       77.2       33.0       44.2       46.0       52.8
Old  :                 55.6       63.4       73.0       77.2       33.0       44.2       46.0       52.8
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated October 25, 2013