BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
01/03/07 CBT WHEAT U.S. 1 12,011 2.7 0 0.0 449,743
NON U.S. 13 62,961 14.0 6,906 1.5
---- --------- ---- --------- ----
14 74,972 16.7 6,906 1.5
01/03/07 KCBT WHEAT U.S. 1 2,470 2.1 0 0.0 119,900
NON U.S. 6 6,542 5.5 194 0.2
---- --------- ---- --------- ----
7 9,012 7.5 194 0.2
01/03/07 CBT CORN U.S. 1 22,662 1.6 0 0.0 1,411,619
NON U.S. 10 101,612 7.2 2,232 0.2
---- --------- ---- --------- ----
11 124,274 8.8 2,232 0.2
01/03/07 CBT SOYBEANS U.S. 1 8,499 2.1 0 0.0 398,484
NON U.S. 8 23,359 5.9 1,331 0.3
---- --------- ---- --------- ----
9 31,858 8.0 1,331 0.3
01/03/07 CBT SOYBEAN OIL U.S. 1 3,543 1.4 0 0.0 260,181
NON U.S. 6 15,821 6.1 1 0.0
---- --------- ---- --------- ----
7 19,364 7.4 1 0.0
01/03/07 CBT U.S. TREASURY BONDS U.S. 3 12,560 1.6 13,005 1.7 768,769
NON U.S. 15 2,961 0.4 21,112 2.7
---- --------- ---- --------- ----
18 15,521 2.0 34,117 4.4
01/03/07 NYME NY RES FUEL 1.0% SULFUR SWAP U.S. 1 75 1.0 135 1.8 7,513
NON U.S. 4 780 10.4 678 9.0
---- --------- ---- --------- ----
5 855 11.4 813 10.8
01/03/07 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 4 6,951 3.2 652 0.3 219,119
NON U.S. 8 19,990 9.1 5,426 2.5
---- --------- ---- --------- ----
12 26,941 12.3 6,078 2.8
01/03/07 NYME NATURAL GAS U.S. 6 47,970 5.5 48,068 5.5 875,621
NON U.S. 13 39,613 4.5 75,858 8.7
---- --------- ---- --------- ----
19 87,583 10.0 123,926 14.2
01/03/07 NYME PERMIAN BASIS SWAP U.S. 3 5,524 14.1 784 2.0 39,219
NON U.S. 3 725 1.8 3,572 9.1
---- --------- ---- --------- ----
6 6,249 15.9 4,356 11.1
01/03/07 NYME M-3 BASIS SWAP U.S. 3 2,419 2.0 898 0.7 121,431
NON U.S. 3 3,025 2.5 1,903 1.6
---- --------- ---- --------- ----
6 5,444 4.5 2,801 2.3
01/03/07 NYME TCO BASIS SWAP U.S. 2 480 0.7 1,136 1.7 67,431
NON U.S. 3 732 1.1 1,444 2.1
---- --------- ---- --------- ----
5 1,212 1.8 2,580 3.8
01/03/07 NYME MALIN BASIS SWAP U.S. 1 1,032 1.4 1,286 1.8 72,530
NON U.S. 4 4,905 6.8 2,627 3.6
---- --------- ---- --------- ----
5 5,937 8.2 3,913 5.4
01/03/07 NYME PG&E CITYGATE BASIS SWAP U.S. 3 649 1.1 1,065 1.8 59,189
NON U.S. 3 882 1.5 3,389 5.7
---- --------- ---- --------- ----
6 1,531 2.6 4,454 7.5
01/03/07 NYME ANR OK BASIS SWAP U.S. 3 0 0.0 3,539 21.6 16,349
NON U.S. 2 0 0.0 4,598 28.1
---- --------- ---- --------- ----
5 0 0.0 8,137 49.8
01/03/07 NYME SUMAS BASIS SWAP U.S. 2 1,806 6.6 0 0.0 27,434
NON U.S. 6 4,440 16.2 3,257 11.9
---- --------- ---- --------- ----
8 6,246 22.8 3,257 11.9
01/03/07 NYME NGPL MID-CON BASIS SWAP U.S. 2 3,048 4.1 425 0.6 73,847
NON U.S. 4 4,834 6.5 550 0.7
---- --------- ---- --------- ----
6 7,882 10.7 975 1.3
01/03/07 NYME DOMINION BASIS SWAP U.S. 2 2,715 4.3 0 0.0 62,658
NON U.S. 3 0 0.0 2,642 4.2
---- --------- ---- --------- ----
5 2,715 4.3 2,642 4.2
01/03/07 NYME WAHA BASIS SWAP U.S. 5 2,469 2.8 10,090 11.3 89,414
NON U.S. 2 3,047 3.4 118 0.1
---- --------- ---- --------- ----
7 5,516 6.2 10,208 11.4
01/03/07 NYME CIG BASIS SWAP U.S. 5 653 1.1 14,648 24.9 58,874
NON U.S. 4 538 0.9 13,264 22.5
---- --------- ---- --------- ----
9 1,191 2.0 27,912 47.4
01/03/07 NYME TETCO SOUTH TEXAS SWAP U.S. 1 2,245 21.6 0 0.0 10,387
NON U.S. 4 3,717 35.8 0 0.0
---- --------- ---- --------- ----
5 5,962 57.4 0 0.0
01/03/07 CME 1-MONTH LIBOR RATE U.S. 1 1,100 2.1 1,694 3.2 52,965
NON U.S. 6 16,407 31.0 3,052 5.8
---- --------- ---- --------- ----
7 17,507 33.1 4,746 9.0
01/03/07 NYBT COTTON NO. 2 U.S. 1 5,551 3.2 0 0.0 171,262
NON U.S. 9 15,955 9.3 0 0.0
---- --------- ---- --------- ----
10 21,506 12.6 0 0.0
01/03/07 NYME ALBERTA BASIS SWAP U.S. 5 6,987 3.8 8,950 4.9 183,078
NON U.S. 8 14,420 7.9 48,199 26.3
---- --------- ---- --------- ----
13 21,407 11.7 57,149 31.2
01/03/07 NYME HOUSTON SHIP CH BASIS SWAP U.S. 6 5,769 2.1 13,937 5.0 278,526
NON U.S. 5 7,111 2.6 21,776 7.8
---- --------- ---- --------- ----
11 12,880 4.6 35,713 12.8
01/03/07 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 15,797 10.2 7,334 4.7 155,318
NON U.S. 6 12,385 8.0 21,845 14.1
---- --------- ---- --------- ----
11 28,182 18.1 29,179 18.8
01/03/07 NYME PANHANDLE BASIS SWAP U.S. 6 3,137 1.9 14,094 8.7 161,346
NON U.S. 4 6,944 4.3 23,174 14.4
---- --------- ---- --------- ----
10 10,081 6.2 37,268 23.1
01/03/07 NYME SAN JUAN BASIS SWAP U.S. 5 8,242 19.9 4,165 10.1 41,439
NON U.S. 4 1,631 3.9 5,441 13.1
---- --------- ---- --------- ----
9 9,873 23.8 9,606 23.2
01/03/07 NYME SOCAL BASIS SWAP U.S. 5 10,650 4.7 11,154 5.0 225,061
NON U.S. 5 8,295 3.7 19,496 8.7
---- --------- ---- --------- ----
10 18,945 8.4 30,650 13.6
01/03/07 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 302 0.6 2,267 4.4 51,511
NON U.S. 3 230 0.4 597 1.2
---- --------- ---- --------- ----
5 532 1.0 2,864 5.6
01/03/07 NYME HENRY HUB GAS SWAP U.S. 5 108,493 3.7 178,855 6.1 2,925,837
NON U.S. 8 271,692 9.3 244,957 8.4
---- --------- ---- --------- ----
13 380,185 13.0 423,812 14.5
01/03/07 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 5 56,796 7.5 28,878 3.8 760,314
NON U.S. 8 130,612 17.2 177,663 23.4
---- --------- ---- --------- ----
13 187,408 24.6 206,541 27.2
01/03/07 CBT 2-YEAR U.S. TREASURY NOTES U.S. 3 24,526 3.3 28,108 3.8 744,276
NON U.S. 34 42,336 5.7 102,715 13.8
---- --------- ---- --------- ----
37 66,862 9.0 130,823 17.6
01/03/07 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 19,590 0.9 24,664 1.1 2,257,271
NON U.S. 42 112,511 5.0 66,705 3.0
---- --------- ---- --------- ----
48 132,101 5.9 91,369 4.0
01/03/07 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 16,762 1.2 15,373 1.1 1,363,687
NON U.S. 33 57,239 4.2 66,966 4.9
---- --------- ---- --------- ----
37 74,001 5.4 82,339 6.0
01/03/07 CBT 30-DAY FEDERAL FUNDS U.S. 4 33,091 10.2 37,736 11.6 323,952
NON U.S. 23 63,921 19.7 56,967 17.6
---- --------- ---- --------- ----
27 97,012 29.9 94,703 29.2
01/03/07 CME LEAN HOGS U.S. 1 5,077 2.9 0 0.0 174,166
NON U.S. 6 14,512 8.3 0 0.0
---- --------- ---- --------- ----
7 19,589 11.2 0 0.0
01/03/07 CME LIVE CATTLE U.S. 2 7,137 2.9 1,421 0.6 246,598
NON U.S. 5 16,048 6.5 0 0.0
---- --------- ---- --------- ----
7 23,185 9.4 1,421 0.6
01/03/07 CME FEEDER CATTLE U.S. 1 441 1.6 0 0.0 28,128
NON U.S. 4 1,122 4.0 0 0.0
---- --------- ---- --------- ----
5 1,563 5.6 0 0.0
01/03/07 NYME PJM ELECTRICITY MONTHLY U.S. 2 2,520 6.5 4,669 12.1 38,743
NON U.S. 3 1,243 3.2 1,450 3.7
---- --------- ---- --------- ----
5 3,763 9.7 6,119 15.8
01/03/07 NYME ISO NEW ENGLAND LMP SWAP U.S. 2 3,412 18.5 2,424 13.1 18,474
NON U.S. 3 1,228 6.6 1,242 6.7
---- --------- ---- --------- ----
5 4,640 25.1 3,666 19.8
01/03/07 NYME NORTH ILL CAL MONTH LMP SWAP U.S. 2 2,200 14.3 720 4.7 15,434
NON U.S. 3 880 5.7 460 3.0
---- --------- ---- --------- ----
5 3,080 20.0 1,180 7.6
01/03/07 NYME ISO NEW ENG OFF PK LMP SWAP U.S. 2 822 7.1 2,464 21.2 11,600
NON U.S. 3 1,234 10.6 118 1.0
---- --------- ---- --------- ----
5 2,056 17.7 2,582 22.3
01/03/07 NYME CRUDE OIL, LIGHT SWEET U.S. 5 42,737 3.5 66,024 5.4 1,226,641
NON U.S. 20 88,005 7.2 91,921 7.5
---- --------- ---- --------- ----
25 130,742 10.7 157,945 12.9
01/03/07 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 2 420 0.5 3,024 3.7 82,416
NON U.S. 6 10,434 12.7 25,824 31.3
---- --------- ---- --------- ----
8 10,854 13.2 28,848 35.0
01/03/07 NYME WTI CRUDE OIL FINANCIAL U.S. 3 503 1.6 119 0.4 31,601
NON U.S. 5 8,422 26.7 4,117 13.0
---- --------- ---- --------- ----
8 8,925 28.2 4,236 13.4
01/03/07 NYBT COCOA U.S. 1 595 0.4 0 0.0 150,084
NON U.S. 10 2,806 1.9 2,880 1.9
---- --------- ---- --------- ----
11 3,401 2.3 2,880 1.9
01/03/07 NYME PALLADIUM U.S. 2 0 0.0 93 0.7 12,459
NON U.S. 13 708 5.7 3,096 24.8
---- --------- ---- --------- ----
15 708 5.7 3,189 25.6
01/03/07 NYME PLATINUM U.S. 3 0 0.0 431 5.1 8,383
NON U.S. 8 1,568 18.7 605 7.2
---- --------- ---- --------- ----
11 1,568 18.7 1,036 12.4
01/03/07 NYBT SUGAR NO. 11 U.S. 2 10,316 1.8 1,504 0.3 583,572
NON U.S. 11 46,179 7.9 30,474 5.2
---- --------- ---- --------- ----
13 56,495 9.7 31,978 5.5
01/03/07 NYBT COFFEE C U.S. 1 2,098 1.6 0 0.0 128,128
NON U.S. 11 7,873 6.1 4,809 3.8
---- --------- ---- --------- ----
12 9,971 7.8 4,809 3.8
01/03/07 CBT SILVER, 5000 TROY OZ U.S. 2 0 0.0 2,189 19.9 10,978
NON U.S. 3 73 0.7 648 5.9
---- --------- ---- --------- ----
5 73 0.7 2,837 25.8
01/03/07 CMX SILVER U.S. 3 844 0.8 8,635 8.3 103,703
NON U.S. 9 3,189 3.1 6,258 6.0
---- --------- ---- --------- ----
12 4,033 3.9 14,893 14.4
01/03/07 CMX COPPER-GRADE #1 U.S. 1 2,067 2.9 0 0.0 70,253
NON U.S. 9 5,920 8.4 385 0.5
---- --------- ---- --------- ----
10 7,987 11.4 385 0.5
01/03/07 CBT GOLD, 100 TROY OZ U.S. 3 0 0.0 6,975 15.6 44,571
NON U.S. 12 2,646 5.9 4,492 10.1
---- --------- ---- --------- ----
15 2,646 5.9 11,467 25.7
01/03/07 CMX GOLD U.S. 5 1,442 0.4 27,753 7.9 353,494
NON U.S. 19 17,812 5.0 53,074 15.0
---- --------- ---- --------- ----
24 19,254 5.4 80,827 22.9
01/03/07 CME CANADIAN DOLLAR U.S. 2 876 0.6 0 0.0 148,644
NON U.S. 9 22,033 14.8 5,127 3.4
---- --------- ---- --------- ----
11 22,909 15.4 5,127 3.4
01/03/07 CME SWISS FRANC U.S. 4 4,299 6.6 0 0.0 64,732
NON U.S. 7 27,796 42.9 7,897 12.2
---- --------- ---- --------- ----
11 32,095 49.6 7,897 12.2
01/03/07 CME MEXICAN PESO U.S. 4 1,306 1.1 6,443 5.6 115,893
NON U.S. 8 3,031 2.6 33,679 29.1
---- --------- ---- --------- ----
12 4,337 3.7 40,122 34.6
01/03/07 CME BRITISH POUND STERLING U.S. 4 828 0.6 18,888 13.8 137,217
NON U.S. 4 3,611 2.6 10,334 7.5
---- --------- ---- --------- ----
8 4,439 3.2 29,222 21.3
01/03/07 CME JAPANESE YEN U.S. 4 3,054 1.1 8,054 2.9 280,541
NON U.S. 8 128,811 45.9 34,587 12.3
---- --------- ---- --------- ----
12 131,865 47.0 42,641 15.2
01/03/07 CME EURO FX U.S. 4 5,082 2.7 13,821 7.3 189,612
NON U.S. 15 9,164 4.8 32,826 17.3
---- --------- ---- --------- ----
19 14,246 7.5 46,647 24.6
01/03/07 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 2 3,110 2.1 0 0.0 147,462
NON U.S. 10 9,471 6.4 3,337 2.3
---- --------- ---- --------- ----
12 12,581 8.5 3,337 2.3
01/03/07 NYBT NEW ZEALAND DOLLAR U.S. 1 0 0.0 1,224 30.5 4,017
NON U.S. 5 96 2.4 1,515 37.7
---- --------- ---- --------- ----
6 96 2.4 2,739 68.2
01/03/07 CME NEW ZEALAND DOLLAR U.S. 1 0 0.0 222 1.0 22,855
NON U.S. 4 0 0.0 12,571 55.0
---- --------- ---- --------- ----
5 0 0.0 12,793 56.0
01/03/07 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 3 3,214 5.0 0 0.0 64,476
NON U.S. 7 2,107 3.3 13,037 20.2
---- --------- ---- --------- ----
10 5,321 8.3 13,037 20.2
01/03/07 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2 656 0.6 0 0.0 105,554
NON U.S. 6 922 0.9 1,758 1.7
---- --------- ---- --------- ----
8 1,578 1.5 1,758 1.7
01/03/07 CME 3-MONTH EURODOLLARS U.S. 11 533,845 5.6 1,193,608 12.5 9,563,821
NON U.S. 65 1,798,005 18.8 905,933 9.5
---- --------- ---- --------- ----
76 2,331,850 24.4 2,099,541 22.0
01/03/07 CME S&P 500 STOCK INDEX U.S. 6 15,128 2.4 797 0.1 628,384
NON U.S. 18 8,916 1.4 87,247 13.9
---- --------- ---- --------- ----
24 24,044 3.8 88,044 14.0
01/03/07 CME E-MINI S&P 500 STOCK INDEX U.S. 7 35,701 2.4 8,079 0.5 1,518,364
NON U.S. 30 85,009 5.6 131,667 8.7
---- --------- ---- --------- ----
37 120,710 8.0 139,746 9.2
01/03/07 CME NASDAQ-100 STOCK INDEX U.S. 5 832 1.9 3,169 7.2 44,188
NON U.S. 10 2,923 6.6 2,663 6.0
---- --------- ---- --------- ----
15 3,755 8.5 5,832 13.2
01/03/07 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 6 8,781 2.4 884 0.2 359,107
NON U.S. 32 6,456 1.8 15,829 4.4
---- --------- ---- --------- ----
38 15,237 4.2 16,713 4.7
01/03/07 CME AUSTRALIAN DOLLAR U.S. 3 825 0.6 5,307 4.0 132,225
NON U.S. 5 112 0.1 17,551 13.3
---- --------- ---- --------- ----
8 937 0.7 22,858 17.3
01/03/07 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 4 633 2.6 2,669 11.0 24,264
NON U.S. 6 514 2.1 1,649 6.8
---- --------- ---- --------- ----
10 1,147 4.7 4,318 17.8
01/03/07 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 3 301 0.1 6,097 1.7 348,402
NON U.S. 17 2,396 0.7 21,706 6.2
---- --------- ---- --------- ----
20 2,697 0.8 27,803 8.0
01/03/07 CME NIKKEI STOCK AVERAGE U.S. 1 0 0.0 4,739 10.6 44,688
NON U.S. 19 3,269 7.3 6,514 14.6
---- --------- ---- --------- ----
20 3,269 7.3 11,253 25.2
01/03/07 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 4 4,763 13.5 0 0.0 35,282
NON U.S. 9 3,050 8.6 1,370 3.9
---- --------- ---- --------- ----
13 7,813 22.1 1,370 3.9
01/03/07 NYBT BRITISH POUND/JPN YEN XRATE U.S. 2 427 6.4 544 8.1 6,715
NON U.S. 3 184 2.7 3,087 46.0
---- --------- ---- --------- ----
5 611 9.1 3,631 54.1
01/03/07 NYBT EURO FX/JAPANESE YEN XRATE U.S. 2 0 0.0 8,571 27.9 30,753
NON U.S. 7 541 1.8 10,711 34.8
---- --------- ---- --------- ----
9 541 1.8 19,282 62.7
01/03/07 NYBT EURO FX/SWISS FRANC XRATE U.S. 1 0 0.0 1,598 10.5 15,288
NON U.S. 4 0 0.0 5,707 37.3
---- --------- ---- --------- ----
5 0 0.0 7,305 47.8
01/03/07 CME 3-MO. EUROYEN TIBOR U.S. 5 1,432 3.5 2,938 7.3 40,498
NON U.S. 18 8,807 21.7 9,996 24.7
---- --------- ---- --------- ----
23 10,239 25.3 12,934 31.9
01/03/07 NYBT EURO FX/BRITISH POUND XRATE U.S. 1 840 5.7 0 0.0 14,804
NON U.S. 4 8,902 60.1 0 0.0
---- --------- ---- --------- ----
5 9,742 65.8 0 0.0
01/03/07 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 2 475 4.8 700 7.0 9,978
NON U.S. 3 2,808 28.1 1,828 18.3
---- --------- ---- --------- ----
5 3,283 32.9 2,528 25.3