BANK BANK LONG SHORT OPEN DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST 01/08/08 CBT WHEAT U.S. 1 9,016 2.0 30 0.0 441,651 NON U.S. 15 45,019 10.2 4,644 1.1 ---- --------- ---- --------- ---- 16 54,035 12.2 4,674 1.1 01/08/08 KCBT WHEAT U.S. 1 2,339 1.9 0 0.0 122,274 NON U.S. 4 4,068 3.3 0 0.0 ---- --------- ---- --------- ---- 5 6,407 5.2 0 0.0 01/08/08 CBT CORN U.S. 2 16,180 1.2 9,272 0.7 1,341,299 NON U.S. 9 90,308 6.7 7,757 0.6 ---- --------- ---- --------- ---- 11 106,488 7.9 17,029 1.3 01/08/08 CBT SOYBEANS U.S. 2 7,657 1.4 5,522 1.0 562,878 NON U.S. 10 32,251 5.7 2,080 0.4 ---- --------- ---- --------- ---- 12 39,908 7.1 7,602 1.4 01/08/08 CBT SOYBEAN OIL U.S. 1 2,718 0.9 0 0.0 294,151 NON U.S. 5 16,034 5.5 4,092 1.4 ---- --------- ---- --------- ---- 6 18,752 6.4 4,092 1.4 01/08/08 CBT U.S. TREASURY BONDS U.S. 3 12,343 1.2 12,623 1.3 1,000,171 NON U.S. 18 24,253 2.4 27,977 2.8 ---- --------- ---- --------- ---- 21 36,596 3.7 40,600 4.1 01/08/08 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 3 4,082 2.0 1,127 0.5 207,696 NON U.S. 5 14,125 6.8 8,461 4.1 ---- --------- ---- --------- ---- 8 18,207 8.8 9,588 4.6 01/08/08 NYME SING GASOIL SWAP U.S. 2 0 0.0 1,275 22.0 5,800 NON U.S. 4 0 0.0 700 12.1 ---- --------- ---- --------- ---- 6 0 0.0 1,975 34.1 01/08/08 NYME NATURAL GAS U.S. 4 51,628 5.9 38,054 4.4 868,133 NON U.S. 10 79,049 9.1 42,523 4.9 ---- --------- ---- --------- ---- 14 130,677 15.1 80,577 9.3 01/08/08 NYME MICHCON BASIS SWAP U.S. 3 10,234 10.3 503 0.5 99,703 NON U.S. 3 6,287 6.3 4,050 4.1 ---- --------- ---- --------- ---- 6 16,521 16.6 4,553 4.6 01/08/08 NYME PERMIAN BASIS SWAP U.S. 4 10,613 12.9 354 0.4 82,384 NON U.S. 2 0 0.0 2,128 2.6 ---- --------- ---- --------- ---- 6 10,613 12.9 2,482 3.0 01/08/08 NYME TCO BASIS SWAP U.S. 3 4,287 4.1 4,303 4.1 104,642 NON U.S. 3 8,800 8.4 7,724 7.4 ---- --------- ---- --------- ---- 6 13,087 12.5 12,027 11.5 01/08/08 NYME PG&E CITYGATE BASIS SWAP U.S. 3 0 0.0 2,753 5.1 54,052 NON U.S. 3 334 0.6 420 0.8 ---- --------- ---- --------- ---- 6 334 0.6 3,173 5.9 01/08/08 NYME NGPL TEXOK BASIS SWAP U.S. 3 9,375 11.5 3,947 4.9 81,225 NON U.S. 3 1,220 1.5 2,482 3.1 ---- --------- ---- --------- ---- 6 10,595 13.0 6,429 7.9 01/08/08 NYME ANR OK BASIS SWAP U.S. 2 16 0.0 2,933 7.8 37,655 NON U.S. 3 1,712 4.5 4,661 12.4 ---- --------- ---- --------- ---- 5 1,728 4.6 7,594 20.2 01/08/08 NYME SUMAS BASIS SWAP U.S. 3 2,792 15.2 122 0.7 18,415 NON U.S. 3 2,505 13.6 120 0.7 ---- --------- ---- --------- ---- 6 5,297 28.8 242 1.3 01/08/08 NYME WAHA BASIS SWAP U.S. 4 730 0.6 15,584 13.3 117,196 NON U.S. 1 0 0.0 3,162 2.7 ---- --------- ---- --------- ---- 5 730 0.6 18,746 16.0 01/08/08 NYME CIG BASIS SWAP U.S. 4 64 0.2 3,647 9.9 36,754 NON U.S. 3 1,056 2.9 7,747 21.1 ---- --------- ---- --------- ---- 7 1,120 3.0 11,394 31.0 01/08/08 NYME CENTERPOINT BASIS SWAP U.S. 4 976 3.7 3,717 14.2 26,097 NON U.S. 2 1,288 4.9 5,648 21.6 ---- --------- ---- --------- ---- 6 2,264 8.7 9,365 35.9 01/08/08 CME 1-MONTH LIBOR RATE U.S. 3 1,736 3.7 3,339 7.1 47,028 NON U.S. 10 20,661 43.9 8,545 18.2 ---- --------- ---- --------- ---- 13 22,397 47.6 11,884 25.3 01/08/08 NYBT COTTON NO. 2 U.S. 1 2,184 0.8 0 0.0 259,197 NON U.S. 9 20,959 8.1 163 0.1 ---- --------- ---- --------- ---- 10 23,143 8.9 163 0.1 01/08/08 NYME ALBERTA BASIS SWAP U.S. 4 4,927 4.1 2,733 2.3 121,295 NON U.S. 9 15,481 12.8 21,525 17.7 ---- --------- ---- --------- ---- 13 20,408 16.8 24,258 20.0 01/08/08 NYME HOUSTON SHIP CH BASIS SWAP U.S. 5 3,332 1.4 13,804 5.6 246,363 NON U.S. 4 9,083 3.7 11,733 4.8 ---- --------- ---- --------- ---- 9 12,415 5.0 25,537 10.4 01/08/08 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 9,621 4.6 23,050 11.0 209,659 NON U.S. 5 18,715 8.9 19,263 9.2 ---- --------- ---- --------- ---- 10 28,336 13.5 42,313 20.2 01/08/08 NYME PANHANDLE BASIS SWAP U.S. 3 5,770 2.8 25,239 12.2 207,112 NON U.S. 4 6,273 3.0 25,118 12.1 ---- --------- ---- --------- ---- 7 12,043 5.8 50,357 24.3 01/08/08 NYME SAN JUAN BASIS SWAP U.S. 6 11,487 23.8 5,583 11.5 48,359 NON U.S. 4 3,374 7.0 4,340 9.0 ---- --------- ---- --------- ---- 10 14,861 30.7 9,923 20.5 01/08/08 NYME SOCAL BASIS SWAP U.S. 4 26,224 12.9 6,690 3.3 203,948 NON U.S. 5 8,535 4.2 16,569 8.1 ---- --------- ---- --------- ---- 9 34,759 17.0 23,259 11.4 01/08/08 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 1,005 1.2 1,992 2.4 81,998 NON U.S. 3 5,596 6.8 9,247 11.3 ---- --------- ---- --------- ---- 5 6,601 8.1 11,239 13.7 01/08/08 NYME HENRY HUB GAS SWAP U.S. 6 139,542 5.1 265,716 9.7 2,750,865 NON U.S. 9 209,957 7.6 212,185 7.7 ---- --------- ---- --------- ---- 15 349,499 12.7 477,901 17.4 01/08/08 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 5 85,014 9.4 5,868 0.6 903,538 NON U.S. 9 167,669 18.6 107,065 11.8 ---- --------- ---- --------- ---- 14 252,683 28.0 112,933 12.5 01/08/08 CBT 2-YEAR U.S. TREASURY NOTES U.S. 3 33,730 3.3 22,841 2.2 1,036,600 NON U.S. 42 71,834 6.9 83,593 8.1 ---- --------- ---- --------- ---- 45 105,564 10.2 106,434 10.3 01/08/08 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 46,327 2.0 20,045 0.9 2,290,428 NON U.S. 47 87,432 3.8 224,889 9.8 ---- --------- ---- --------- ---- 53 133,759 5.8 244,934 10.7 01/08/08 CBT 5-YEAR U.S. TREASURY NOTES U.S. 6 36,420 1.9 41,542 2.2 1,890,947 NON U.S. 37 178,818 9.5 88,489 4.7 ---- --------- ---- --------- ---- 43 215,238 11.4 130,031 6.9 01/08/08 CBT 30-DAY FEDERAL FUNDS U.S. 3 8,123 2.4 43,517 12.7 343,829 NON U.S. 18 29,566 8.6 53,355 15.5 ---- --------- ---- --------- ---- 21 37,689 11.0 96,872 28.2 01/08/08 CME LEAN HOGS U.S. 2 3,133 1.5 239 0.1 209,386 NON U.S. 5 15,573 7.4 405 0.2 ---- --------- ---- --------- ---- 7 18,706 8.9 644 0.3 01/08/08 CME LIVE CATTLE U.S. 3 6,958 2.9 1,668 0.7 243,690 NON U.S. 5 19,640 8.1 375 0.2 ---- --------- ---- --------- ---- 8 26,598 10.9 2,043 0.8 01/08/08 CME FEEDER CATTLE U.S. 1 233 0.7 0 0.0 34,757 NON U.S. 4 607 1.7 72 0.2 ---- --------- ---- --------- ---- 5 840 2.4 72 0.2 01/08/08 NYME PJM ELECTRICITY MONTHLY U.S. 2 2,800 8.1 3,531 10.2 34,765 NON U.S. 3 853 2.5 1,410 4.1 ---- --------- ---- --------- ---- 5 3,653 10.5 4,941 14.2 01/08/08 NYME ISO NEW ENGLAND LMP SWAP U.S. 2 2,466 14.0 2,308 13.1 17,593 NON U.S. 3 140 0.8 1,205 6.8 ---- --------- ---- --------- ---- 5 2,606 14.8 3,513 20.0 01/08/08 NYME NORTH ILL OFF PK LMP SWAP U.S. 2 1,512 8.1 914 4.9 18,692 NON U.S. 3 3,446 18.4 820 4.4 ---- --------- ---- --------- ---- 5 4,958 26.5 1,734 9.3 01/08/08 NYME CRUDE OIL, LIGHT SWEET U.S. 4 15,805 1.1 48,861 3.5 1,413,956 NON U.S. 13 125,081 8.8 101,646 7.2 ---- --------- ---- --------- ---- 17 140,886 10.0 150,507 10.6 01/08/08 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 2 6,467 6.4 2,508 2.5 100,827 NON U.S. 5 7,881 7.8 11,177 11.1 ---- --------- ---- --------- ---- 7 14,348 14.2 13,685 13.6 01/08/08 NYME WTI CRUDE OIL FINANCIAL U.S. 5 6,644 4.4 3,678 2.4 151,390 NON U.S. 7 21,521 14.2 14,469 9.6 ---- --------- ---- --------- ---- 12 28,165 18.6 18,147 12.0 01/08/08 NYME BRENT FINANCIAL U.S. 2 720 4.8 258 1.7 14,911 NON U.S. 3 3,553 23.8 2,500 16.8 ---- --------- ---- --------- ---- 5 4,273 28.7 2,758 18.5 01/08/08 NYME DATED TO FRONTLINE BRENT SWAP U.S. 2 1,754 9.0 1,140 5.9 19,434 NON U.S. 3 150 0.8 3,300 17.0 ---- --------- ---- --------- ---- 5 1,904 9.8 4,440 22.8 01/08/08 NYBT COCOA U.S. 1 3,224 1.8 0 0.0 183,671 NON U.S. 8 5,058 2.8 3,173 1.7 ---- --------- ---- --------- ---- 9 8,282 4.5 3,173 1.7 01/08/08 NYME PALLADIUM U.S. 2 56 0.3 1,374 8.0 17,154 NON U.S. 8 479 2.8 3,040 17.7 ---- --------- ---- --------- ---- 10 535 3.1 4,414 25.7 01/08/08 NYME PLATINUM U.S. 3 0 0.0 957 4.9 19,500 NON U.S. 7 573 2.9 1,001 5.1 ---- --------- ---- --------- ---- 10 573 2.9 1,958 10.0 01/08/08 NYBT SUGAR NO. 11 U.S. 2 7,170 0.7 2,815 0.3 987,380 NON U.S. 9 83,953 8.5 32,003 3.2 ---- --------- ---- --------- ---- 11 91,123 9.2 34,818 3.5 01/08/08 NYBT COFFEE C U.S. 1 1,675 1.0 0 0.0 171,672 NON U.S. 8 10,449 6.1 9,603 5.6 ---- --------- ---- --------- ---- 9 12,124 7.1 9,603 5.6 01/08/08 CMX SILVER U.S. 2 1,453 0.9 2,989 1.8 168,508 NON U.S. 10 5,023 3.0 3,245 1.9 ---- --------- ---- --------- ---- 12 6,476 3.8 6,234 3.7 01/08/08 CMX COPPER-GRADE #1 U.S. 2 2,142 2.8 0 0.0 75,606 NON U.S. 11 7,259 9.6 1,098 1.5 ---- --------- ---- --------- ---- 13 9,401 12.4 1,098 1.5 01/08/08 CMX GOLD U.S. 4 3,343 0.6 60,846 10.9 558,309 NON U.S. 19 18,018 3.2 43,554 7.8 ---- --------- ---- --------- ---- 23 21,361 3.8 104,400 18.7 01/08/08 CME RUSSIAN RUBLE NON U.S. 6 10,246 69.1 9,754 65.8 14,827 01/08/08 CME CANADIAN DOLLAR U.S. 1 809 1.0 0 0.0 82,454 NON U.S. 7 6,448 7.8 23,599 28.6 ---- --------- ---- --------- ---- 8 7,257 8.8 23,599 28.6 01/08/08 CME SWISS FRANC U.S. 2 1,161 1.9 2,994 4.8 62,749 NON U.S. 5 11,280 18.0 8,483 13.5 ---- --------- ---- --------- ---- 7 12,441 19.8 11,477 18.3 01/08/08 CME MEXICAN PESO U.S. 3 3,566 3.8 356 0.4 93,542 NON U.S. 6 7,840 8.4 66,955 71.6 ---- --------- ---- --------- ---- 9 11,406 12.2 67,311 72.0 01/08/08 CME BRITISH POUND STERLING U.S. 2 1,904 2.2 0 0.0 86,731 NON U.S. 5 18,483 21.3 2,847 3.3 ---- --------- ---- --------- ---- 7 20,387 23.5 2,847 3.3 01/08/08 CME JAPANESE YEN U.S. 2 4,398 2.3 19,318 10.0 193,786 NON U.S. 10 9,637 5.0 22,481 11.6 ---- --------- ---- --------- ---- 12 14,035 7.2 41,799 21.6 01/08/08 CME EURO FX U.S. 2 1,270 0.7 1,094 0.6 179,512 NON U.S. 16 15,790 8.8 25,575 14.2 ---- --------- ---- --------- ---- 18 17,060 9.5 26,669 14.9 01/08/08 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 3 3,479 1.6 576 0.3 216,289 NON U.S. 8 7,613 3.5 4,478 2.1 ---- --------- ---- --------- ---- 11 11,092 5.1 5,054 2.3 01/08/08 CME NEW ZEALAND DOLLAR U.S. 2 0 0.0 1,208 5.7 21,286 NON U.S. 4 1,038 4.9 5,676 26.7 ---- --------- ---- --------- ---- 6 1,038 4.9 6,884 32.3 01/08/08 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 2 3,070 11.5 22 0.1 26,622 NON U.S. 7 1,932 7.3 3,967 14.9 ---- --------- ---- --------- ---- 9 5,002 18.8 3,989 15.0 01/08/08 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2 1,404 1.8 0 0.0 77,619 NON U.S. 10 1,874 2.4 2,167 2.8 ---- --------- ---- --------- ---- 12 3,278 4.2 2,167 2.8 01/08/08 CME 3-MONTH EURODOLLARS U.S. 10 835,215 8.1 875,196 8.5 10,308,232 NON U.S. 54 1,420,205 13.8 1,844,890 17.9 ---- --------- ---- --------- ---- 64 2,255,420 21.9 2,720,086 26.4 01/08/08 CME S&P 500 STOCK INDEX U.S. 4 6,541 1.2 6 0.0 544,792 NON U.S. 20 10,890 2.0 68,060 12.5 ---- --------- ---- --------- ---- 24 17,431 3.2 68,066 12.5 01/08/08 CME E-MINI S&P 500 STOCK INDEX U.S. 7 13,814 0.7 7,835 0.4 1,993,208 NON U.S. 37 58,770 2.9 189,543 9.5 ---- --------- ---- --------- ---- 44 72,584 3.6 197,378 9.9 01/08/08 CME NASDAQ-100 STOCK INDEX U.S. 3 608 1.5 4,088 10.4 39,240 NON U.S. 10 8,447 21.5 811 2.1 ---- --------- ---- --------- ---- 13 9,055 23.1 4,899 12.5 01/08/08 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 5 4,406 1.3 2,327 0.7 334,132 NON U.S. 27 24,868 7.4 9,525 2.9 ---- --------- ---- --------- ---- 32 29,274 8.8 11,852 3.5 01/08/08 CME AUSTRALIAN DOLLAR U.S. 2 1,958 2.5 0 0.0 78,398 NON U.S. 5 94 0.1 29,275 37.3 ---- --------- ---- --------- ---- 7 2,052 2.6 29,275 37.3 01/08/08 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 2 273 0.7 1,137 2.8 40,134 NON U.S. 7 1,076 2.7 4,955 12.3 ---- --------- ---- --------- ---- 9 1,349 3.4 6,092 15.2 01/08/08 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 6 476 0.1 9,634 1.5 627,378 NON U.S. 15 31,226 5.0 20,829 3.3 ---- --------- ---- --------- ---- 21 31,702 5.1 30,463 4.9 01/08/08 CME NIKKEI STOCK AVERAGE U.S. 3 235 0.3 7,246 10.7 67,502 NON U.S. 17 5,578 8.3 6,030 8.9 ---- --------- ---- --------- ---- 20 5,813 8.6 13,276 19.7 01/08/08 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 3 2,536 4.4 0 0.0 58,270 NON U.S. 11 3,929 6.7 17,414 29.9 ---- --------- ---- --------- ---- 14 6,465 11.1 17,414 29.9 01/08/08 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 2 2,000 3.8 14,674 27.8 52,713 NON U.S. 3 657 1.2 949 1.8 ---- --------- ---- --------- ---- 5 2,657 5.0 15,623 29.6 01/08/08 CBT INTEREST RATE SWAPS 5YR - 3MO U.S. 2 1,378 8.2 2,438 14.4 16,894 NON U.S. 3 10,454 61.9 114 0.7 ---- --------- ---- --------- ---- 5 11,832 70.0 2,552 15.1 01/08/08 NYBT EURO FX/JAPANESE YEN XRATE U.S. 1 0 0.0 717 6.2 11,597 NON U.S. 6 1,397 12.0 1,528 13.2 ---- --------- ---- --------- ---- 7 1,397 12.0 2,245 19.4 01/08/08 CME E-MINI S&P 400 STOCK INDEX U.S. 2 832 0.8 242 0.2 101,911 NON U.S. 3 0 0.0 10,865 10.7 ---- --------- ---- --------- ---- 5 832 0.8 11,107 10.9 01/08/08 CME 3-MO. EUROYEN TIBOR U.S. 4 435 1.9 974 4.2 23,257 NON U.S. 12 8,710 37.5 5,011 21.5 ---- --------- ---- --------- ---- 16 9,145 39.3 5,985 25.7 01/08/08 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 3 540 7.0 30 0.4 7,711 NON U.S. 2 1,425 18.5 540 7.0 ---- --------- ---- --------- ---- 5 1,965 25.5 570 7.4 01/08/08 NYME GASOIL CRACK SPR SWAP U.S. 2 1,911 27.3 0 0.0 7,010 NON U.S. 3 435 6.2 603 8.6 ---- --------- ---- --------- ---- 5 2,346 33.5 603 8.6