`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, February 5, 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  :    41,798:     3,537      6,180      2,351     34,360     31,568     40,248     40,099:     1,550      1,699
Old  :    41,798:     3,537      6,180      2,351     34,360     31,568     40,248     40,099:     1,550      1,699
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 29, 2013                     :
     :    -4,298:     2,585     -1,668       -162     -7,481     -3,120     -5,058     -4,950:       760        652
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       8.5       14.8        5.6       82.2       75.5       96.3       95.9:       3.7        4.1
Old  :     100.0:       8.5       14.8        5.6       82.2       75.5       96.3       95.9:       3.7        4.1
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  :        41:         4          6          6         24         22         31         31:
Old  :        41:         4          6          6         24         22         31         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  :                 52.6       42.5       72.3       62.4       47.3       39.0       64.4       55.3
Old  :                 52.6       42.5       72.3       62.4       47.3       39.0       64.4       55.3
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated February 8, 2013