`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, November 6, 2012                
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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  :    37,550:     1,124     20,661      1,937     33,355     13,503     36,416     36,101:     1,134      1,449
Old  :    37,550:     1,124     20,661      1,937     33,355     13,503     36,416     36,101:     1,134      1,449
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: October 30, 2012                     :
     :    -4,360:      -652      1,508       -282     -3,912     -6,143     -4,846     -4,917:       486        557
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       3.0       55.0        5.2       88.8       36.0       97.0       96.1:       3.0        3.9
Old  :     100.0:       3.0       55.0        5.2       88.8       36.0       97.0       96.1:       3.0        3.9
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  :        43:         4         13          6         20         21         28         36:
Old  :        43:         4         13          6         20         21         28         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  :                 55.0       53.6       75.6       68.7       50.2       53.5       67.9       67.6
Old  :                 55.0       53.6       75.6       68.7       50.2       53.5       67.9       67.6
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated November 9, 2012