`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders - Futures Only, January 28, 2014                
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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  :    48,703:     1,851      5,091      3,574     43,234     39,964     48,659     48,629:        44         74
Old  :    48,703:     1,851      5,091      3,574     43,234     39,964     48,659     48,629:        44         74
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 21, 2014                     :
     :     1,983:       486       -321        759      1,360      2,166      2,605      2,604:      -622       -621
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       3.8       10.5        7.3       88.8       82.1       99.9       99.8:       0.1        0.2
Old  :     100.0:       3.8       10.5        7.3       88.8       82.1       99.9       99.8:       0.1        0.2
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  :        40:         4          9          8         18         22         29         32:
Old  :        40:         4          9          8         18         22         29         32:
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  :                 74.9       42.5       86.3       65.0       70.0       39.8       77.6       60.1
Old  :                 74.9       42.5       86.3       65.0       70.0       39.8       77.6       60.1
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated January 31, 2014