DTCC Repo-US Treasury <30 YR - NYSE LIFFE - NYPC                                                        Code-045L2T
Commitments of Traders with Delta-adjusted Options and Futures Combined, February 25, 2014               
-------------------------------------------------------------------------------------------------------------------
     :   Total  :                        Reportable Positions                                :   Nonreportable
     :----------------------------------------------------------------------------------------     Positions
     :   Open   :           Non-Commercial       :     Commercial      :       Total         :
     : Interest :   Long   :  Short   : Spreading:   Long   :  Short   :   Long   :  Short   :   Long   :  Short
-------------------------------------------------------------------------------------------------------------------
     :          : (CONTRACTS OF $5,000,000)                                                  :
     :          :                                                                            :
All  :    49,530:     3,376      6,222      1,445     44,608     41,593     49,429     49,260:       101        270
Old  :    49,530:     3,376      6,222      1,445     44,608     41,593     49,429     49,260:       101        270
Other:         0:         0          0          0          0          0          0          0:         0          0
     :          :                                                                            :
     :          :          Changes in Commitments from: February 18, 2014                    :
     :     3,611:       852      1,004       -730      3,505      3,404      3,627      3,678:       -16        -67
     :          :                                                                            :
     :          :    Percent of Open Interest Represented by Each Category of Trader         :
All  :     100.0:       6.8       12.6        2.9       90.1       84.0       99.8       99.5:       0.2        0.5
Old  :     100.0:       6.8       12.6        2.9       90.1       84.0       99.8       99.5:       0.2        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  :        40:         5          5          5         21         21         28         30:
Old  :        40:         5          5          5         21         21         28         30:
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  :                 67.8       43.2       84.6       71.3       41.1       32.6       49.5       47.3
Old  :                 67.8       43.2       84.6       71.3       41.1       32.6       49.5       47.3
Other:                  0.0        0.0        0.0        0.0        0.0        0.0        0.0        0.0
 



Updated February 28, 2014