DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, December 24, 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  :    54,731:     1,312      6,005      4,346     48,769     44,125     54,427     54,476:       304        255
Old  :    54,731:     1,312      6,005      4,346     48,769     44,125     54,427     54,476:       304        255
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: December 17, 2013                    :
     :     2,962:       -71        946         79      2,982      1,916      2,990      2,941:       -28         21
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       2.4       11.0        7.9       89.1       80.6       99.4       99.5:       0.6        0.5
Old  :     100.0:       2.4       11.0        7.9       89.1       80.6       99.4       99.5:       0.6        0.5
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:         6          9          9         16         22         26         37:
Old  :        42:         6          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  :                 76.5       45.1       87.1       65.7       71.1       37.1       73.5       55.5
Old  :                 76.5       45.1       87.1       65.7       71.1       37.1       73.5       55.5
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 



Updated December 30, 2013