`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, March 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  :    51,036:     1,538      9,149      1,645     46,476     38,624     49,659     49,418:     1,377      1,618
Old  :    51,036:     1,538      9,149      1,645     46,476     38,624     49,659     49,418:     1,377      1,618
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: February 26, 2013                    :
     :    -1,357:    -1,153      1,426     -2,439      2,025       -943     -1,567     -1,956:       210        599
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       3.0       17.9        3.2       91.1       75.7       97.3       96.8:       2.7        3.2
Old  :     100.0:       3.0       17.9        3.2       91.1       75.7       97.3       96.8:       2.7        3.2
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          8          9         24         23         33         36:
Old  :        44:         4          8          9         24         23         33         36:
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  :                 55.5       43.3       75.8       63.8       53.5       40.3       67.6       58.5
Old  :                 55.5       43.3       75.8       63.8       53.5       40.3       67.6       58.5
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated March 8, 2013