`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, July 16, 2013                   
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (CONTRACTS OF $5,000,000)                                                  :
     :          :                                                                            :
All  :    34,656:     2,858      6,332      2,116     28,992     25,624     33,966     34,072:       690        584
Old  :    34,656:     2,858      6,332      2,116     28,992     25,624     33,966     34,072:       690        584
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: July 9, 2013                         :
     :       513:        -2      1,682       -356      1,747        221      1,389      1,547:      -876     -1,034
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       8.2       18.3        6.1       83.7       73.9       98.0       98.3:       2.0        1.7
Old  :     100.0:       8.2       18.3        6.1       83.7       73.9       98.0       98.3:       2.0        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  :        41:         9          7          5         20         19         31         29:
Old  :        41:         9          7          5         20         19         31         29:
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  :                 53.0       36.7       72.9       60.9       40.9       34.2       55.4       48.6
Old  :                 53.0       36.7       72.9       60.9       40.9       34.2       55.4       48.6
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

---

Updated July 19, 2013