DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, November 26, 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  :    63,923:     2,663      4,734      4,822     56,436     54,362     63,921     63,918:         2          5
Old  :    63,923:     2,663      4,734      4,822     56,436     54,362     63,921     63,918:         2          5
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: November 19, 2013                    :
     :     6,617:        77        664       -149      6,701      6,102      6,629      6,617:       -12          0
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       4.2        7.4        7.5       88.3       85.0      100.0      100.0:       0.0        0.0
Old  :     100.0:       4.2        7.4        7.5       88.3       85.0      100.0      100.0:       0.0        0.0
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  :        41:         9          7         11         12         22         25         37:
Old  :        41:         9          7         11         12         22         25         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  :                 81.4       51.0       91.6       68.7       75.2       46.7       79.5       61.3
Old  :                 81.4       51.0       91.6       68.7       75.2       46.7       79.5       61.3
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 



Updated December 2, 2013