`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, January 29, 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  :    46,096:       952      7,848      2,513     41,841     34,688     45,306     45,049:       790      1,047
Old  :    46,096:       952      7,848      2,513     41,841     34,688     45,306     45,049:       790      1,047
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 22, 2013                     :
     :    -2,196:    -1,674     -6,297        826     -1,530      2,751     -2,378     -2,720:       182        524
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       2.1       17.0        5.5       90.8       75.3       98.3       97.7:       1.7        2.3
Old  :     100.0:       2.1       17.0        5.5       90.8       75.3       98.3       97.7:       1.7        2.3
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  :        40:         4          7          8         23         21         32         31:
Old  :        40:         4          7          8         23         21         32         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  :                 55.1       43.9       75.9       63.5       48.5       41.5       64.0       55.0
Old  :                 55.1       43.9       75.9       63.5       48.5       41.5       64.0       55.0
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated February 1, 2013