DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, March 19, 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  :    52,619:     1,297      6,207      1,597     47,953     42,913     50,847     50,717:     1,772      1,902
Old  :    52,619:     1,297      6,207      1,597     47,953     42,913     50,847     50,717:     1,772      1,902
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: March 12, 2013                       :
     :       445:      -596         -8       -111        777        233         70        114:       375        331
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       2.5       11.8        3.0       91.1       81.6       96.6       96.4:       3.4        3.6
Old  :     100.0:       2.5       11.8        3.0       91.1       81.6       96.6       96.4:       3.4        3.6
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  :        43:         4          9          7         23         23         32         34:
Old  :        43:         4          9          7         23         23         32         34:
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  :                 54.3       47.3       75.3       65.0       50.9       46.3       65.0       59.9
Old  :                 54.3       47.3       75.3       65.0       50.9       46.3       65.0       59.9
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 
 

Updated March 22, 2013