`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, January 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  :    48,292:     2,626     14,145      1,687     43,371     31,937     47,684     47,769:       608        523
Old  :    48,292:     2,626     14,145      1,687     43,371     31,937     47,684     47,769:       608        523
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 15, 2013                     :
     :    -7,171:       903        433     -3,788     -4,150     -3,378     -7,035     -6,733:      -136       -438
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       5.4       29.3        3.5       89.8       66.1       98.7       98.9:       1.3        1.1
Old  :     100.0:       5.4       29.3        3.5       89.8       66.1       98.7       98.9:       1.3        1.1
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  :        44:         4          9          7         24         21         34         32:
Old  :        44:         4          9          7         24         21         34         32:
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  :                 54.3       42.8       72.0       67.5       47.9       39.7       64.1       61.0
Old  :                 54.3       42.8       72.0       67.5       47.9       39.7       64.1       61.0
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated January 25, 2013