DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, March 4, 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  :    43,785:     2,019      5,655      1,247     39,745     36,596     43,011     43,498:       774        287
Old  :    43,785:     2,019      5,655      1,247     39,745     36,596     43,011     43,498:       774        287
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: February 25, 2014                    :
     :    -5,745:    -1,357       -567       -198     -4,863     -4,997     -6,418     -5,762:       673         17
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       4.6       12.9        2.8       90.8       83.6       98.2       99.3:       1.8        0.7
Old  :     100.0:       4.6       12.9        2.8       90.8       83.6       98.2       99.3:       1.8        0.7
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  :        38:         5          5          5         18         19         25         28:
Old  :        38:         5          5          5         18         19         25         28:
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  :                 75.6       51.2       88.9       76.8       50.4       37.7       56.5       52.0
Old  :                 75.6       51.2       88.9       76.8       50.4       37.7       56.5       52.0
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 



Updated March 7, 2014