`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders - Futures Only, January 14, 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  :    47,263:       966      5,296      3,283     41,714     37,384     45,963     45,963:     1,300      1,300
Old  :    47,263:       966      5,296      3,283     41,714     37,384     45,963     45,963:     1,300      1,300
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: January 7, 2014                      :
     :     1,043:      -238        730       -513      1,758        790      1,007      1,007:        36         36
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       2.0       11.2        6.9       88.3       79.1       97.2       97.2:       2.8        2.8
Old  :     100.0:       2.0       11.2        6.9       88.3       79.1       97.2       97.2:       2.8        2.8
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          8          5         18         21         26         30:
Old  :        40:         4          8          5         18         21         26         30:
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  :                 76.6       42.9       87.2       64.7       72.2       39.7       77.3       59.9
Old  :                 76.6       42.9       87.2       64.7       72.2       39.7       77.3       59.9
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated January 17, 2014