`DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders - Futures Only, December 31, 2013               
-------------------------------------------------------------------------------------------------------------------
     :   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  :    56,850:     1,082      6,556      4,256     50,040     44,578     55,378     55,390:     1,472      1,460
Old  :    56,850:     1,082      6,556      4,256     50,040     44,578     55,378     55,390:     1,472      1,460
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 24, 2013                    :
     :     2,119:      -230        551        -90      1,271        453        951        914:     1,168      1,205
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       1.9       11.5        7.5       88.0       78.4       97.4       97.4:       2.6        2.6
Old  :     100.0:       1.9       11.5        7.5       88.0       78.4       97.4       97.4:       2.6        2.6
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  :        42:         7          9          9         16         22         26         37:
Old  :        42:         7          9          9         16         22         26         37:
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       42.5       87.4       61.8       70.6       36.3       72.6       53.9
Old  :                 76.6       42.5       87.4       61.8       70.6       36.3       72.6       53.9
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0`

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Updated January 6, 2014