`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, August 27, 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  :    39,840:     2,770      5,175      2,606     34,385     31,902     39,761     39,683:        79        157
Old  :    39,840:     2,770      5,175      2,606     34,385     31,902     39,761     39,683:        79        157
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: August 20, 2013                      :
     :       642:       406       -247       -136        377        999        647        616:        -5         26
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       7.0       13.0        6.5       86.3       80.1       99.8       99.6:       0.2        0.4
Old  :     100.0:       7.0       13.0        6.5       86.3       80.1       99.8       99.6:       0.2        0.4
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  :        38:         9          6          7         16         18         27         29:
Old  :        38:         9          6          7         16         18         27         29:
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  :                 52.9       59.7       75.6       77.0       36.9       40.3       47.0       48.2
Old  :                 52.9       59.7       75.6       77.0       36.9       40.3       47.0       48.2
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated August 30, 2013