`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, September 17, 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  :    32,848:     2,432      3,531      2,685     27,140     26,544     32,257     32,760:       591         88
Old  :    32,848:     2,432      3,531      2,685     27,140     26,544     32,257     32,760:       591         88
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: September 10, 2013                   :
     :      -696:       716       -976        250     -2,181         30     -1,215       -696:       519          0
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       7.4       10.7        8.2       82.6       80.8       98.2       99.7:       1.8        0.3
Old  :     100.0:       7.4       10.7        8.2       82.6       80.8       98.2       99.7:       1.8        0.3
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  :        37:         9          7          7         15         18         25         31:
Old  :        37:         9          7          7         15         18         25         31:
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  :                 62.6       60.7       79.5       74.5       40.7       38.8       48.0       46.9
Old  :                 62.6       60.7       79.5       74.5       40.7       38.8       48.0       46.9
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated September 20, 2013