BANK BANK LONG SHORT OPEN DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST 12/04/07 CBT WHEAT U.S. 1 9,732 2.4 30 0.0 408,771 NON U.S. 13 45,367 11.1 4,269 1.0 ---- --------- ---- --------- ---- 14 55,099 13.5 4,299 1.1 12/04/07 KCBT WHEAT U.S. 1 2,490 2.1 0 0.0 120,902 NON U.S. 5 4,219 3.5 250 0.2 ---- --------- ---- --------- ---- 6 6,709 5.5 250 0.2 12/04/07 CBT CORN U.S. 3 17,408 1.5 443 0.0 1,141,834 NON U.S. 10 87,816 7.7 5,229 0.5 ---- --------- ---- --------- ---- 13 105,224 9.2 5,672 0.5 12/04/07 CBT SOYBEANS U.S. 1 8,227 1.4 145 0.0 588,929 NON U.S. 11 31,201 5.3 2,439 0.4 ---- --------- ---- --------- ---- 12 39,428 6.7 2,584 0.4 12/04/07 CBT SOYBEAN OIL U.S. 1 3,007 1.0 0 0.0 307,668 NON U.S. 5 16,978 5.5 139 0.0 ---- --------- ---- --------- ---- 6 19,985 6.5 139 0.0 12/04/07 CBT U.S. TREASURY BONDS U.S. 3 17,376 1.7 9,037 0.9 1,003,926 NON U.S. 17 19,035 1.9 27,499 2.7 ---- --------- ---- --------- ---- 20 36,411 3.6 36,536 3.6 12/04/07 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 3 5,026 2.5 808 0.4 203,924 NON U.S. 5 15,087 7.4 8,602 4.2 ---- --------- ---- --------- ---- 8 20,113 9.9 9,410 4.6 12/04/07 NYME SING GASOIL SWAP U.S. 2 0 0.0 1,325 19.3 6,866 NON U.S. 4 250 3.6 1,075 15.7 ---- --------- ---- --------- ---- 6 250 3.6 2,400 35.0 12/04/07 NYME NATURAL GAS U.S. 5 53,506 6.5 39,500 4.8 827,956 NON U.S. 10 45,712 5.5 47,490 5.7 ---- --------- ---- --------- ---- 15 99,218 12.0 86,990 10.5 12/04/07 NYME MICHCON BASIS SWAP U.S. 3 10,234 10.0 683 0.7 102,516 NON U.S. 3 5,393 5.3 4,484 4.4 ---- --------- ---- --------- ---- 6 15,627 15.2 5,167 5.0 12/04/07 NYME PERMIAN BASIS SWAP U.S. 3 8,795 11.5 447 0.6 76,418 NON U.S. 3 124 0.2 2,709 3.5 ---- --------- ---- --------- ---- 6 8,919 11.7 3,156 4.1 12/04/07 NYME TCO BASIS SWAP U.S. 3 3,657 3.4 3,906 3.7 106,250 NON U.S. 2 8,742 8.2 214 0.2 ---- --------- ---- --------- ---- 5 12,399 11.7 4,120 3.9 12/04/07 NYME PG&E CITYGATE BASIS SWAP U.S. 3 0 0.0 2,917 5.4 53,534 NON U.S. 4 818 1.5 637 1.2 ---- --------- ---- --------- ---- 7 818 1.5 3,554 6.6 12/04/07 NYME NGPL TEXOK BASIS SWAP U.S. 3 2,430 3.0 4,172 5.2 79,774 NON U.S. 3 1,499 1.9 3,582 4.5 ---- --------- ---- --------- ---- 6 3,929 4.9 7,754 9.7 12/04/07 NYME ANR OK BASIS SWAP U.S. 2 0 0.0 1,221 3.7 33,095 NON U.S. 3 1,712 5.2 5,124 15.5 ---- --------- ---- --------- ---- 5 1,712 5.2 6,345 19.2 12/04/07 NYME NGPL MID-CON BASIS SWAP U.S. 2 366 0.4 91 0.1 103,413 NON U.S. 3 1,761 1.7 3,261 3.2 ---- --------- ---- --------- ---- 5 2,127 2.1 3,352 3.2 12/04/07 NYME WAHA BASIS SWAP U.S. 4 730 0.6 15,975 14.0 114,292 NON U.S. 2 486 0.4 3,017 2.6 ---- --------- ---- --------- ---- 6 1,216 1.1 18,992 16.6 12/04/07 NYME CIG BASIS SWAP U.S. 4 64 0.2 4,248 10.7 39,816 NON U.S. 3 1,118 2.8 8,189 20.6 ---- --------- ---- --------- ---- 7 1,182 3.0 12,437 31.2 12/04/07 NYME CENTERPOINT BASIS SWAP U.S. 4 1,038 3.8 3,965 14.4 27,488 NON U.S. 2 1,498 5.4 5,906 21.5 ---- --------- ---- --------- ---- 6 2,536 9.2 9,871 35.9 12/04/07 CME 1-MONTH LIBOR RATE U.S. 1 0 0.0 2,119 4.6 45,754 NON U.S. 11 13,998 30.6 9,840 21.5 ---- --------- ---- --------- ---- 12 13,998 30.6 11,959 26.1 12/04/07 NYBT COTTON NO. 2 U.S. 1 2,404 1.1 0 0.0 210,401 NON U.S. 7 18,079 8.6 342 0.2 ---- --------- ---- --------- ---- 8 20,483 9.7 342 0.2 12/04/07 NYME ALBERTA BASIS SWAP U.S. 4 4,745 3.8 2,730 2.2 126,392 NON U.S. 8 19,116 15.1 20,120 15.9 ---- --------- ---- --------- ---- 12 23,861 18.9 22,850 18.1 12/04/07 NYME HOUSTON SHIP CH BASIS SWAP U.S. 6 3,414 1.4 12,157 5.1 239,058 NON U.S. 4 8,895 3.7 10,840 4.5 ---- --------- ---- --------- ---- 10 12,309 5.1 22,997 9.6 12/04/07 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 9,832 4.8 20,800 10.2 204,769 NON U.S. 5 20,644 10.1 17,174 8.4 ---- --------- ---- --------- ---- 10 30,476 14.9 37,974 18.5 12/04/07 NYME PANHANDLE BASIS SWAP U.S. 4 5,207 2.4 24,927 11.4 219,285 NON U.S. 4 5,198 2.4 26,293 12.0 ---- --------- ---- --------- ---- 8 10,405 4.7 51,220 23.4 12/04/07 NYME SAN JUAN BASIS SWAP U.S. 6 12,196 25.8 6,129 13.0 47,253 NON U.S. 4 3,894 8.2 4,064 8.6 ---- --------- ---- --------- ---- 10 16,090 34.1 10,193 21.6 12/04/07 NYME SOCAL BASIS SWAP U.S. 5 28,642 14.7 7,606 3.9 195,124 NON U.S. 5 5,862 3.0 15,732 8.1 ---- --------- ---- --------- ---- 10 34,504 17.7 23,338 12.0 12/04/07 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 736 1.0 1,646 2.3 71,714 NON U.S. 3 6,197 8.6 8,823 12.3 ---- --------- ---- --------- ---- 5 6,933 9.7 10,469 14.6 12/04/07 NYME HENRY HUB GAS SWAP U.S. 6 215,579 7.9 253,210 9.3 2,732,450 NON U.S. 9 236,493 8.7 171,050 6.3 ---- --------- ---- --------- ---- 15 452,072 16.5 424,260 15.5 12/04/07 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 5 88,863 9.7 5,910 0.6 917,941 NON U.S. 9 202,702 22.1 124,113 13.5 ---- --------- ---- --------- ---- 14 291,565 31.8 130,023 14.2 12/04/07 CBT 2-YEAR U.S. TREASURY NOTES U.S. 3 17,715 1.8 8,658 0.9 995,457 NON U.S. 40 90,861 9.1 73,021 7.3 ---- --------- ---- --------- ---- 43 108,576 10.9 81,679 8.2 12/04/07 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 58,381 2.3 25,666 1.0 2,544,543 NON U.S. 52 151,451 6.0 213,540 8.4 ---- --------- ---- --------- ---- 58 209,832 8.2 239,206 9.4 12/04/07 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 55,241 2.8 61,994 3.2 1,946,926 NON U.S. 41 168,778 8.7 85,547 4.4 ---- --------- ---- --------- ---- 46 224,019 11.5 147,541 7.6 12/04/07 CBT 30-DAY FEDERAL FUNDS U.S. 3 8,682 2.3 37,795 10.1 373,319 NON U.S. 25 66,493 17.8 34,802 9.3 ---- --------- ---- --------- ---- 28 75,175 20.1 72,597 19.4 12/04/07 CME LEAN HOGS U.S. 1 4,315 2.1 0 0.0 206,864 NON U.S. 5 13,927 6.7 27 0.0 ---- --------- ---- --------- ---- 6 18,242 8.8 27 0.0 12/04/07 CME LIVE CATTLE U.S. 2 7,085 3.0 1,219 0.5 237,412 NON U.S. 4 19,076 8.0 0 0.0 ---- --------- ---- --------- ---- 6 26,161 11.0 1,219 0.5 12/04/07 CME FEEDER CATTLE U.S. 2 238 0.9 104 0.4 27,605 NON U.S. 3 808 2.9 0 0.0 ---- --------- ---- --------- ---- 5 1,046 3.8 104 0.4 12/04/07 NYME PJM ELECTRICITY MONTHLY U.S. 2 2,780 7.6 3,690 10.1 36,370 NON U.S. 3 1,053 2.9 988 2.7 ---- --------- ---- --------- ---- 5 3,833 10.5 4,678 12.9 12/04/07 NYME ISO NEW ENGLAND LMP SWAP U.S. 2 1,500 8.9 2,509 14.9 16,883 NON U.S. 4 244 1.4 1,217 7.2 ---- --------- ---- --------- ---- 6 1,744 10.3 3,726 22.1 12/04/07 NYME CRUDE OIL, LIGHT SWEET U.S. 5 14,116 1.0 54,614 4.0 1,382,526 NON U.S. 16 129,738 9.4 100,979 7.3 ---- --------- ---- --------- ---- 21 143,854 10.4 155,593 11.3 12/04/07 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 2 7,867 7.9 2,301 2.3 99,450 NON U.S. 6 10,761 10.8 14,611 14.7 ---- --------- ---- --------- ---- 8 18,628 18.7 16,912 17.0 12/04/07 NYME DUBAI CRUDE OIL CALENDAR SWAP U.S. 2 550 3.6 1,650 10.8 15,285 NON U.S. 4 450 2.9 997 6.5 ---- --------- ---- --------- ---- 6 1,000 6.5 2,647 17.3 12/04/07 NYME WTI CRUDE OIL FINANCIAL U.S. 5 6,165 4.9 4,321 3.4 126,988 NON U.S. 7 22,880 18.0 14,897 11.7 ---- --------- ---- --------- ---- 12 29,045 22.9 19,218 15.1 12/04/07 NYME DATED TO FRONTLINE BRENT SWAP U.S. 2 2,310 10.2 1,140 5.0 22,662 NON U.S. 3 150 0.7 3,350 14.8 ---- --------- ---- --------- ---- 5 2,460 10.9 4,490 19.8 12/04/07 NYBT COCOA U.S. 1 2,062 1.4 0 0.0 150,307 NON U.S. 7 4,080 2.7 2,669 1.8 ---- --------- ---- --------- ---- 8 6,142 4.1 2,669 1.8 12/04/07 NYME PALLADIUM U.S. 2 60 0.4 1,243 8.4 14,761 NON U.S. 8 866 5.9 2,471 16.7 ---- --------- ---- --------- ---- 10 926 6.3 3,714 25.2 12/04/07 NYME PLATINUM U.S. 2 42 0.3 50 0.4 13,897 NON U.S. 9 1,038 7.5 586 4.2 ---- --------- ---- --------- ---- 11 1,080 7.8 636 4.6 12/04/07 NYBT SUGAR NO. 11 U.S. 2 7,181 0.9 2,836 0.4 784,065 NON U.S. 8 78,091 10.0 25,366 3.2 ---- --------- ---- --------- ---- 10 85,272 10.9 28,202 3.6 12/04/07 NYBT COFFEE C U.S. 1 1,317 0.8 0 0.0 155,570 NON U.S. 8 9,959 6.4 9,042 5.8 ---- --------- ---- --------- ---- 9 11,276 7.2 9,042 5.8 12/04/07 CMX SILVER U.S. 2 754 0.5 4,595 3.3 138,128 NON U.S. 11 6,297 4.6 2,923 2.1 ---- --------- ---- --------- ---- 13 7,051 5.1 7,518 5.4 12/04/07 CMX COPPER-GRADE #1 U.S. 2 2,078 2.9 0 0.0 70,839 NON U.S. 10 7,191 10.2 1,612 2.3 ---- --------- ---- --------- ---- 12 9,269 13.1 1,612 2.3 12/04/07 CBT GOLD, 100 TROY OZ NON U.S. 5 330 2.2 1,245 8.2 15,254 12/04/07 CMX GOLD U.S. 4 3,969 0.8 73,041 15.0 486,709 NON U.S. 20 20,425 4.2 52,331 10.8 ---- --------- ---- --------- ---- 24 24,394 5.0 125,372 25.8 12/04/07 CME RUSSIAN RUBLE NON U.S. 6 9,106 57.0 10,502 65.7 15,988 12/04/07 CME CANADIAN DOLLAR U.S. 2 2,257 2.0 329 0.3 114,020 NON U.S. 10 16,309 14.3 19,386 17.0 ---- --------- ---- --------- ---- 12 18,566 16.3 19,715 17.3 12/04/07 CME SWISS FRANC U.S. 4 1,443 1.9 5,469 7.0 77,920 NON U.S. 4 22,213 28.5 2,511 3.2 ---- --------- ---- --------- ---- 8 23,656 30.4 7,980 10.2 12/04/07 CME MEXICAN PESO U.S. 3 3,659 3.5 953 0.9 105,039 NON U.S. 6 22,470 21.4 73,777 70.2 ---- --------- ---- --------- ---- 9 26,129 24.9 74,730 71.1 12/04/07 CME BRITISH POUND STERLING U.S. 5 5,487 4.7 6,201 5.3 117,681 NON U.S. 7 4,614 3.9 35,183 29.9 ---- --------- ---- --------- ---- 12 10,101 8.6 41,384 35.2 12/04/07 CME JAPANESE YEN U.S. 3 1,589 0.8 33,179 16.9 195,761 NON U.S. 10 16,371 8.4 15,135 7.7 ---- --------- ---- --------- ---- 13 17,960 9.2 48,314 24.7 12/04/07 CME EURO FX U.S. 4 1,235 0.5 4,929 2.1 236,107 NON U.S. 19 27,602 11.7 100,683 42.6 ---- --------- ---- --------- ---- 23 28,837 12.2 105,612 44.7 12/04/07 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 2 3,519 1.8 543 0.3 195,655 NON U.S. 7 8,576 4.4 5,760 2.9 ---- --------- ---- --------- ---- 9 12,095 6.2 6,303 3.2 12/04/07 NYBT NEW ZEALAND DOLLAR NON U.S. 7 105 3.8 1,252 45.5 2,754 12/04/07 CME NEW ZEALAND DOLLAR U.S. 2 0 0.0 804 3.7 22,019 NON U.S. 4 2,037 9.3 12,886 58.5 ---- --------- ---- --------- ---- 6 2,037 9.3 13,690 62.2 12/04/07 E VIX FUTURES U.S. 1 216 0.4 379 0.6 59,689 NON U.S. 4 893 1.5 648 1.1 ---- --------- ---- --------- ---- 5 1,109 1.9 1,027 1.7 12/04/07 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 3 3,652 10.1 22 0.1 36,127 NON U.S. 6 2,140 5.9 1,089 3.0 ---- --------- ---- --------- ---- 9 5,792 16.0 1,111 3.1 12/04/07 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2 1,134 1.1 0 0.0 99,646 NON U.S. 10 5,622 5.6 1,432 1.4 ---- --------- ---- --------- ---- 12 6,756 6.8 1,432 1.4 12/04/07 CME 3-MONTH EURODOLLARS U.S. 11 817,882 7.3 817,831 7.3 11,168,181 NON U.S. 65 1,558,378 14.0 1,802,198 16.1 ---- --------- ---- --------- ---- 76 2,376,260 21.3 2,620,029 23.5 12/04/07 CME S&P 500 STOCK INDEX U.S. 5 9,339 1.4 39 0.0 657,039 NON U.S. 20 14,350 2.2 55,389 8.4 ---- --------- ---- --------- ---- 25 23,689 3.6 55,428 8.4 12/04/07 CME E-MINI S&P 500 STOCK INDEX U.S. 9 19,383 0.9 44,168 2.0 2,164,011 NON U.S. 40 81,325 3.8 128,015 5.9 ---- --------- ---- --------- ---- 49 100,708 4.7 172,183 8.0 12/04/07 CME NASDAQ-100 STOCK INDEX U.S. 4 961 1.8 3,103 5.9 52,715 NON U.S. 11 5,104 9.7 750 1.4 ---- --------- ---- --------- ---- 15 6,065 11.5 3,853 7.3 12/04/07 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 5 9,282 2.2 7,126 1.7 417,364 NON U.S. 24 20,441 4.9 3,154 0.8 ---- --------- ---- --------- ---- 29 29,723 7.1 10,280 2.5 12/04/07 CME AUSTRALIAN DOLLAR U.S. 3 1,168 1.7 1,608 2.4 67,940 NON U.S. 5 442 0.7 19,184 28.2 ---- --------- ---- --------- ---- 8 1,610 2.4 20,792 30.6 12/04/07 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 2 324 0.8 1,283 3.4 38,287 NON U.S. 8 3,420 8.9 2,502 6.5 ---- --------- ---- --------- ---- 10 3,744 9.8 3,785 9.9 12/04/07 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 8 918 0.1 9,804 1.5 662,120 NON U.S. 15 8,916 1.3 19,874 3.0 ---- --------- ---- --------- ---- 23 9,834 1.5 29,678 4.5 12/04/07 CME NIKKEI STOCK AVERAGE U.S. 2 2,301 3.2 0 0.0 70,846 NON U.S. 15 12,850 18.1 5,122 7.2 ---- --------- ---- --------- ---- 17 15,151 21.4 5,122 7.2 12/04/07 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 3 5,443 9.2 0 0.0 59,359 NON U.S. 11 3,325 5.6 13,171 22.2 ---- --------- ---- --------- ---- 14 8,768 14.8 13,171 22.2 12/04/07 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 2 1,703 3.1 18,489 34.0 54,345 NON U.S. 4 413 0.8 2,062 3.8 ---- --------- ---- --------- ---- 6 2,116 3.9 20,551 37.8 12/04/07 CBT INTEREST RATE SWAPS 5YR - 3MO U.S. 2 1,476 8.9 6,618 39.9 16,588 NON U.S. 4 4,678 28.2 4 0.0 ---- --------- ---- --------- ---- 6 6,154 37.1 6,622 39.9 12/04/07 NYME SING JET KERO SWAP U.S. 1 0 0.0 25 0.7 3,650 NON U.S. 4 1,100 30.1 950 26.0 ---- --------- ---- --------- ---- 5 1,100 30.1 975 26.7 12/04/07 CME E-MINI S&P 400 STOCK INDEX U.S. 3 375 0.4 588 0.6 104,193 NON U.S. 4 0 0.0 4,605 4.4 ---- --------- ---- --------- ---- 7 375 0.4 5,193 5.0 12/04/07 CME 3-MO. EUROYEN TIBOR U.S. 5 2,205 5.2 2,281 5.4 42,293 NON U.S. 17 12,564 29.7 9,488 22.4 ---- --------- ---- --------- ---- 22 14,769 34.9 11,769 27.8 12/04/07 NYME SING JET KERO GASOIL SPR SWAP U.S. 2 150 4.7 400 12.5 3,205 NON U.S. 3 150 4.7 400 12.5 ---- --------- ---- --------- ---- 5 300 9.4 800 25.0 12/04/07 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 3 525 5.8 50 0.6 9,085 NON U.S. 2 1,695 18.7 795 8.8 ---- --------- ---- --------- ---- 5 2,220 24.4 845 9.3 12/04/07 NYME GASOIL CRACK SPR SWAP U.S. 2 1,911 25.8 200 2.7 7,404 NON U.S. 3 546 7.4 489 6.6 ---- --------- ---- --------- ---- 5 2,457 33.2 689 9.3