`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders - Futures Only, January 7, 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  :    46,220:     1,204      4,566      3,796     39,956     36,594     44,956     44,956:     1,264      1,264
Old  :    46,220:     1,204      4,566      3,796     39,956     36,594     44,956     44,956:     1,264      1,264
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 31, 2013                    :
     :   -10,630:       122     -1,990       -460    -10,084     -7,984    -10,422    -10,434:      -208       -196
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       2.6        9.9        8.2       86.4       79.2       97.3       97.3:       2.7        2.7
Old  :     100.0:       2.6        9.9        8.2       86.4       79.2       97.3       97.3:       2.7        2.7
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  :        39:         6          7          7         16         21         27         31:
Old  :        39:         6          7          7         16         21         27         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  :                 77.3       47.6       87.5       68.3       69.5       44.6       72.5       64.2
Old  :                 77.3       47.6       87.5       68.3       69.5       44.6       72.5       64.2
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated January 10, 2014