DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, August 13, 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  :    40,863:     2,688      5,868      2,556     35,595     32,368     40,839     40,792:        24         71
Old  :    40,863:     2,688      5,868      2,556     35,595     32,368     40,839     40,792:        24         71
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: August 6, 2013                       :
     :     9,632:       569         21        417      8,663      9,189      9,649      9,627:       -17          5
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       6.6       14.4        6.3       87.1       79.2       99.9       99.8:       0.1        0.2
Old  :     100.0:       6.6       14.4        6.3       87.1       79.2       99.9       99.8:       0.1        0.2
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  :        40:         8          8          7         18         17         29         29:
Old  :        40:         8          8          7         18         17         29         29:
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  :                 58.6       56.1       75.4       75.6       35.1       35.3       46.6       45.4
Old  :                 58.6       56.1       75.4       75.6       35.1       35.3       46.6       45.4
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 



Updated August 16, 2013