BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
09/04/07 CBT WHEAT U.S. 1 9,192 2.5 60 0.0 370,005
NON U.S. 12 44,196 11.9 4,775 1.3
---- --------- ---- --------- ----
13 53,388 14.4 4,835 1.3
09/04/07 KCBT WHEAT U.S. 1 2,652 1.8 0 0.0 150,817
NON U.S. 5 4,296 2.8 0 0.0
---- --------- ---- --------- ----
6 6,948 4.6 0 0.0
09/04/07 CBT CORN U.S. 2 16,765 1.5 259 0.0 1,089,568
NON U.S. 12 85,517 7.8 1,117 0.1
---- --------- ---- --------- ----
14 102,282 9.4 1,376 0.1
09/04/07 CBT SOYBEANS U.S. 1 8,374 1.7 252 0.1 495,206
NON U.S. 8 25,686 5.2 778 0.2
---- --------- ---- --------- ----
9 34,060 6.9 1,030 0.2
09/04/07 CBT SOYBEAN OIL U.S. 1 2,985 1.1 0 0.0 266,643
NON U.S. 6 16,097 6.0 549 0.2
---- --------- ---- --------- ----
7 19,082 7.2 549 0.2
09/04/07 CBT U.S. TREASURY BONDS U.S. 2 12,236 1.3 19,228 2.0 955,890
NON U.S. 17 38,470 4.0 14,759 1.5
---- --------- ---- --------- ----
19 50,706 5.3 33,987 3.6
09/04/07 NYME NY RES FUEL 1.0% SULFUR SWAP U.S. 2 3,314 23.6 325 2.3 14,022
NON U.S. 3 1,626 11.6 349 2.5
---- --------- ---- --------- ----
5 4,940 35.2 674 4.8
09/04/07 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 3 6,891 3.1 746 0.3 223,064
NON U.S. 5 24,270 10.9 11,808 5.3
---- --------- ---- --------- ----
8 31,161 14.0 12,554 5.6
09/04/07 NYME SING GASOIL/RDAM GASOIL SWAP U.S. 2 0 0.0 1,050 21.0 5,000
NON U.S. 3 300 6.0 650 13.0
---- --------- ---- --------- ----
5 300 6.0 1,700 34.0
09/04/07 NYME NATURAL GAS U.S. 5 50,417 6.5 39,003 5.1 772,043
NON U.S. 10 45,045 5.8 65,611 8.5
---- --------- ---- --------- ----
15 95,462 12.4 104,614 13.6
09/04/07 NYME MICHCON BASIS SWAP U.S. 3 10,709 13.1 928 1.1 81,863
NON U.S. 2 5,495 6.7 5,130 6.3
---- --------- ---- --------- ----
5 16,204 19.8 6,058 7.4
09/04/07 NYME PERMIAN BASIS SWAP U.S. 3 10,376 15.9 747 1.1 65,093
NON U.S. 4 2,354 3.6 3,628 5.6
---- --------- ---- --------- ----
7 12,730 19.6 4,375 6.7
09/04/07 NYME M-3 BASIS SWAP U.S. 3 1,745 1.3 1,278 1.0 134,321
NON U.S. 3 7,127 5.3 5,123 3.8
---- --------- ---- --------- ----
6 8,872 6.6 6,401 4.8
09/04/07 NYME TCO BASIS SWAP U.S. 3 3,334 2.9 3,961 3.5 113,125
NON U.S. 3 9,108 8.1 549 0.5
---- --------- ---- --------- ----
6 12,442 11.0 4,510 4.0
09/04/07 NYME MALIN BASIS SWAP U.S. 1 0 0.0 60 0.1 59,177
NON U.S. 4 2,201 3.7 732 1.2
---- --------- ---- --------- ----
5 2,201 3.7 792 1.3
09/04/07 NYME PG&E CITYGATE BASIS SWAP U.S. 3 123 0.2 2,132 3.7 56,911
NON U.S. 4 851 1.5 1,629 2.9
---- --------- ---- --------- ----
7 974 1.7 3,761 6.6
09/04/07 NYME NGPL TEXOK BASIS SWAP U.S. 2 0 0.0 851 0.9 95,822
NON U.S. 3 3,253 3.4 717 0.7
---- --------- ---- --------- ----
5 3,253 3.4 1,568 1.6
09/04/07 NYME SUMAS BASIS SWAP U.S. 3 5,290 27.2 0 0.0 19,461
NON U.S. 5 3,714 19.1 389 2.0
---- --------- ---- --------- ----
8 9,004 46.3 389 2.0
09/04/07 NYME NGPL MID-CON BASIS SWAP U.S. 1 0 0.0 213 0.2 104,930
NON U.S. 4 2,796 2.7 1,767 1.7
---- --------- ---- --------- ----
5 2,796 2.7 1,980 1.9
09/04/07 NYME WAHA BASIS SWAP U.S. 4 779 0.7 17,028 14.8 114,685
NON U.S. 3 1,700 1.5 2,229 1.9
---- --------- ---- --------- ----
7 2,479 2.2 19,257 16.8
09/04/07 NYME CIG BASIS SWAP U.S. 4 185 0.3 7,217 12.7 56,809
NON U.S. 3 599 1.1 9,729 17.1
---- --------- ---- --------- ----
7 784 1.4 16,946 29.8
09/04/07 NYME CENTERPOINT BASIS SWAP U.S. 4 0 0.0 3,881 14.9 26,101
NON U.S. 3 124 0.5 4,450 17.0
---- --------- ---- --------- ----
7 124 0.5 8,331 31.9
09/04/07 CME 1-MONTH LIBOR RATE U.S. 4 3,298 5.0 3,107 4.7 65,760
NON U.S. 10 15,681 23.8 16,802 25.6
---- --------- ---- --------- ----
14 18,979 28.9 19,909 30.3
09/04/07 NYBT COTTON NO. 2 U.S. 1 3,338 1.6 0 0.0 205,006
NON U.S. 9 17,433 8.5 601 0.3
---- --------- ---- --------- ----
10 20,771 10.1 601 0.3
09/04/07 NYME ALBERTA BASIS SWAP U.S. 5 5,952 4.4 4,754 3.5 134,527
NON U.S. 9 16,477 12.2 29,144 21.7
---- --------- ---- --------- ----
14 22,429 16.7 33,898 25.2
09/04/07 NYME CHICAGO BASIS SWAP U.S. 2 1,877 2.2 365 0.4 84,481
NON U.S. 4 215 0.3 1,704 2.0
---- --------- ---- --------- ----
6 2,092 2.5 2,069 2.4
09/04/07 NYME HOUSTON SHIP CH BASIS SWAP U.S. 6 3,970 1.6 16,022 6.3 252,640
NON U.S. 4 4,028 1.6 15,630 6.2
---- --------- ---- --------- ----
10 7,998 3.2 31,652 12.5
09/04/07 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 13,244 7.1 14,003 7.5 185,699
NON U.S. 7 11,506 6.2 16,417 8.8
---- --------- ---- --------- ----
12 24,750 13.3 30,420 16.4
09/04/07 NYME PANHANDLE BASIS SWAP U.S. 6 7,175 4.1 13,998 7.9 176,996
NON U.S. 4 4,237 2.4 23,351 13.2
---- --------- ---- --------- ----
10 11,412 6.4 37,349 21.1
09/04/07 NYME SAN JUAN BASIS SWAP U.S. 5 14,761 27.2 3,460 6.4 54,281
NON U.S. 4 3,954 7.3 2,168 4.0
---- --------- ---- --------- ----
9 18,715 34.5 5,628 10.4
09/04/07 NYME SOCAL BASIS SWAP U.S. 5 28,482 13.3 9,106 4.3 213,764
NON U.S. 5 5,979 2.8 17,075 8.0
---- --------- ---- --------- ----
10 34,461 16.1 26,181 12.2
09/04/07 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 3 878 1.3 1,286 1.9 68,661
NON U.S. 4 2,863 4.2 3,191 4.6
---- --------- ---- --------- ----
7 3,741 5.4 4,477 6.5
09/04/07 NYME HENRY HUB GAS SWAP U.S. 6 212,807 7.8 229,578 8.4 2,738,119
NON U.S. 11 246,173 9.0 186,272 6.8
---- --------- ---- --------- ----
17 458,980 16.8 415,850 15.2
09/04/07 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 5 89,519 9.0 6,881 0.7 990,190
NON U.S. 9 259,530 26.2 144,664 14.6
---- --------- ---- --------- ----
14 349,049 35.3 151,545 15.3
09/04/07 CBT 2-YEAR U.S. TREASURY NOTES U.S. 6 15,451 1.6 20,253 2.1 951,184
NON U.S. 35 90,185 9.5 51,417 5.4
---- --------- ---- --------- ----
41 105,636 11.1 71,670 7.5
09/04/07 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 21,951 0.9 36,475 1.6 2,318,480
NON U.S. 44 131,281 5.7 127,052 5.5
---- --------- ---- --------- ----
50 153,232 6.6 163,527 7.1
09/04/07 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 23,332 1.5 51,058 3.2 1,582,024
NON U.S. 35 118,672 7.5 50,058 3.2
---- --------- ---- --------- ----
40 142,004 9.0 101,116 6.4
09/04/07 CBT 30-DAY FEDERAL FUNDS U.S. 4 27,867 5.3 35,145 6.7 521,620
NON U.S. 22 114,873 22.0 63,077 12.1
---- --------- ---- --------- ----
26 142,740 27.4 98,222 18.8
09/04/07 CME LEAN HOGS U.S. 1 3,450 2.0 0 0.0 175,843
NON U.S. 6 12,971 7.4 121 0.1
---- --------- ---- --------- ----
7 16,421 9.3 121 0.1
09/04/07 CME LIVE CATTLE U.S. 2 7,369 3.2 1,914 0.8 232,177
NON U.S. 7 17,779 7.7 394 0.2
---- --------- ---- --------- ----
9 25,148 10.8 2,308 1.0
09/04/07 CME FEEDER CATTLE U.S. 3 249 0.8 134 0.5 29,769
NON U.S. 3 657 2.2 0 0.0
---- --------- ---- --------- ----
6 906 3.0 134 0.5
09/04/07 NYME PJM ELECTRICITY MONTHLY U.S. 2 2,540 6.7 3,681 9.7 37,865
NON U.S. 3 543 1.4 1,542 4.1
---- --------- ---- --------- ----
5 3,083 8.1 5,223 13.8
09/04/07 NYME ISO NEW ENGLAND LMP SWAP U.S. 2 1,549 8.3 2,719 14.5 18,749
NON U.S. 4 447 2.4 1,368 7.3
---- --------- ---- --------- ----
6 1,996 10.6 4,087 21.8
09/04/07 NYME CRUDE OIL, LIGHT SWEET U.S. 4 30,647 2.1 53,518 3.6 1,489,231
NON U.S. 13 129,931 8.7 105,050 7.1
---- --------- ---- --------- ----
17 160,578 10.8 158,568 10.6
09/04/07 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 6,422 7.1 5,482 6.1 90,577
NON U.S. 9 9,198 10.2 23,487 25.9
---- --------- ---- --------- ----
13 15,620 17.2 28,969 32.0
09/04/07 NYME WTI CRUDE OIL FINANCIAL U.S. 3 5,338 5.8 2,715 2.9 92,737
NON U.S. 10 17,834 19.2 13,352 14.4
---- --------- ---- --------- ----
13 23,172 25.0 16,067 17.3
09/04/07 NYME WTI-BRENT CALENDAR SWAP NON U.S. 6 4,284 24.4 4,635 26.4 17,577
09/04/07 NYME BRENT (ICE) CALENDAR SWAP U.S. 1 909 4.9 0 0.0 18,470
NON U.S. 5 2,403 13.0 1,905 10.3
---- --------- ---- --------- ----
6 3,312 17.9 1,905 10.3
09/04/07 NYBT COCOA U.S. 1 2,658 2.2 0 0.0 121,473
NON U.S. 7 3,881 3.2 5,857 4.8
---- --------- ---- --------- ----
8 6,539 5.4 5,857 4.8
09/04/07 NYME PALLADIUM U.S. 3 39 0.2 1,625 9.8 16,511
NON U.S. 8 767 4.6 2,191 13.3
---- --------- ---- --------- ----
11 806 4.9 3,816 23.1
09/04/07 NYME PLATINUM U.S. 1 102 0.9 0 0.0 10,881
NON U.S. 7 1,548 14.2 799 7.3
---- --------- ---- --------- ----
8 1,650 15.2 799 7.3
09/04/07 NYBT SUGAR NO. 11 U.S. 2 7,242 1.1 1,832 0.3 666,553
NON U.S. 13 60,238 9.0 32,573 4.9
---- --------- ---- --------- ----
15 67,480 10.1 34,405 5.2
09/04/07 NYBT COFFEE C U.S. 1 1,384 0.9 0 0.0 158,302
NON U.S. 12 9,603 6.1 6,735 4.3
---- --------- ---- --------- ----
13 10,987 6.9 6,735 4.3
09/04/07 CMX SILVER U.S. 4 4,537 4.2 1,161 1.1 107,814
NON U.S. 9 6,987 6.5 1,250 1.2
---- --------- ---- --------- ----
13 11,524 10.7 2,411 2.2
09/04/07 CMX COPPER-GRADE #1 U.S. 1 1,883 2.7 0 0.0 69,156
NON U.S. 10 6,199 9.0 1,386 2.0
---- --------- ---- --------- ----
11 8,082 11.7 1,386 2.0
09/04/07 CBT GOLD, 100 TROY OZ U.S. 1 0 0.0 30 0.2 19,656
NON U.S. 4 216 1.1 1,452 7.4
---- --------- ---- --------- ----
5 216 1.1 1,482 7.5
09/04/07 CMX GOLD U.S. 5 2,471 0.7 30,326 8.9 339,439
NON U.S. 15 10,403 3.1 51,239 15.1
---- --------- ---- --------- ----
20 12,874 3.8 81,565 24.0
09/04/07 CME RUSSIAN RUBLE NON U.S. 5 5,884 43.2 9,511 69.9 13,609
09/04/07 NYBT CANADIAN DOLLAR/JPN YEN XRATE U.S. 1 0 0.0 894 44.7 1,998
NON U.S. 4 1,040 52.1 459 23.0
---- --------- ---- --------- ----
5 1,040 52.1 1,353 67.7
09/04/07 CME CANADIAN DOLLAR U.S. 4 2,878 2.1 1,535 1.1 135,940
NON U.S. 9 8,773 6.5 17,570 12.9
---- --------- ---- --------- ----
13 11,651 8.6 19,105 14.1
09/04/07 CME SWISS FRANC U.S. 3 113 0.1 8,630 6.6 131,156
NON U.S. 5 60,863 46.4 15,515 11.8
---- --------- ---- --------- ----
8 60,976 46.5 24,145 18.4
09/04/07 CME MEXICAN PESO U.S. 3 10,292 9.4 2,410 2.2 109,118
NON U.S. 7 43,080 39.5 42,174 38.6
---- --------- ---- --------- ----
10 53,372 48.9 44,584 40.9
09/04/07 CME BRITISH POUND STERLING U.S. 5 3,538 2.8 5,429 4.3 125,940
NON U.S. 6 39,577 31.4 15,426 12.2
---- --------- ---- --------- ----
11 43,115 34.2 20,855 16.6
09/04/07 CME JAPANESE YEN U.S. 5 965 0.4 32,528 12.1 269,834
NON U.S. 10 12,783 4.7 56,997 21.1
---- --------- ---- --------- ----
15 13,748 5.1 89,525 33.2
09/04/07 CME EURO FX U.S. 5 3,745 1.7 11,212 5.1 221,662
NON U.S. 20 64,879 29.3 19,502 8.8
---- --------- ---- --------- ----
25 68,624 31.0 30,714 13.9
09/04/07 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 3 2,149 1.2 652 0.4 173,903
NON U.S. 10 7,222 4.2 9,172 5.3
---- --------- ---- --------- ----
13 9,371 5.4 9,824 5.6
09/04/07 CME NEW ZEALAND DOLLAR U.S. 2 1,423 4.8 309 1.1 29,416
NON U.S. 5 2,194 7.5 2,840 9.7
---- --------- ---- --------- ----
7 3,617 12.3 3,149 10.7
09/04/07 E VIX FUTURES U.S. 1 169 0.3 196 0.3 64,514
NON U.S. 6 2,406 3.7 75 0.1
---- --------- ---- --------- ----
7 2,575 4.0 271 0.4
09/04/07 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 1 2,496 6.5 35 0.1 38,144
NON U.S. 5 1,754 4.6 981 2.6
---- --------- ---- --------- ----
6 4,250 11.1 1,016 2.7
09/04/07 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2 1,962 2.0 0 0.0 98,976
NON U.S. 7 1,486 1.5 1,545 1.6
---- --------- ---- --------- ----
9 3,448 3.5 1,545 1.6
09/04/07 CME 3-MONTH EURODOLLARS U.S. 10 663,084 5.9 811,453 7.2 11,207,907
NON U.S. 68 1,717,693 15.3 1,656,589 14.8
---- --------- ---- --------- ----
78 2,380,777 21.2 2,468,042 22.0
09/04/07 CME S&P 500 STOCK INDEX U.S. 5 8,568 1.3 1,850 0.3 666,464
NON U.S. 25 7,279 1.1 67,725 10.2
---- --------- ---- --------- ----
30 15,847 2.4 69,575 10.4
09/04/07 CME E-MINI S&P 500 STOCK INDEX U.S. 9 21,489 1.0 30,951 1.5 2,086,435
NON U.S. 44 68,842 3.3 211,539 10.1
---- --------- ---- --------- ----
53 90,331 4.3 242,490 11.6
09/04/07 NYBT BRIT POUND/SWISS FRANC XRATE U.S. 2 314 7.4 853 20.1 4,237
NON U.S. 3 1,181 27.9 441 10.4
---- --------- ---- --------- ----
5 1,495 35.3 1,294 30.5
09/04/07 CME NASDAQ-100 STOCK INDEX U.S. 5 2,700 3.8 5,295 7.4 71,320
NON U.S. 9 5,709 8.0 1,482 2.1
---- --------- ---- --------- ----
14 8,409 11.8 6,777 9.5
09/04/07 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 7 10,940 2.5 11,861 2.7 438,432
NON U.S. 28 9,871 2.3 25,656 5.9
---- --------- ---- --------- ----
35 20,811 4.7 37,517 8.6
09/04/07 CME AUSTRALIAN DOLLAR U.S. 3 1,267 1.2 97 0.1 103,527
NON U.S. 4 33,364 32.2 818 0.8
---- --------- ---- --------- ----
7 34,631 33.5 915 0.9
09/04/07 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 3 552 0.9 2,293 3.9 58,445
NON U.S. 9 5,201 8.9 1,130 1.9
---- --------- ---- --------- ----
12 5,753 9.8 3,423 5.9
09/04/07 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 6 173 0.0 16,691 2.8 602,671
NON U.S. 17 1,198 0.2 33,563 5.6
---- --------- ---- --------- ----
23 1,371 0.2 50,254 8.3
09/04/07 CME NIKKEI STOCK AVERAGE U.S. 2 1,329 2.0 6,171 9.2 67,321
NON U.S. 16 10,788 16.0 6,761 10.0
---- --------- ---- --------- ----
18 12,117 18.0 12,932 19.2
09/04/07 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 3 6,709 11.7 0 0.0 57,176
NON U.S. 15 2,856 5.0 17,051 29.8
---- --------- ---- --------- ----
18 9,565 16.7 17,051 29.8
09/04/07 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 2 2,486 3.5 18,386 26.1 70,424
NON U.S. 3 668 0.9 1,597 2.3
---- --------- ---- --------- ----
5 3,154 4.5 19,983 28.4
09/04/07 CBT INTEREST RATE SWAPS 5YR - 3MO U.S. 3 16,687 63.6 2,040 7.8 26,217
NON U.S. 2 1,350 5.1 40 0.2
---- --------- ---- --------- ----
5 18,037 68.8 2,080 7.9
09/04/07 NYBT EURO FX/HUNGARIAN FORINT XRATE U.S. 2 1,084 66.8 847 52.2 1,622
NON U.S. 3 70 4.3 61 3.8
---- --------- ---- --------- ----
5 1,154 71.1 908 56.0
09/04/07 NYBT BRITISH POUND/JPN YEN XRATE U.S. 2 0 0.0 2,730 54.5 5,009
NON U.S. 4 1,940 38.7 242 4.8
---- --------- ---- --------- ----
6 1,940 38.7 2,972 59.3
09/04/07 NYBT EURO FX/JAPANESE YEN XRATE U.S. 3 3,304 22.8 0 0.0 14,480
NON U.S. 8 2,491 17.2 4,232 29.2
---- --------- ---- --------- ----
11 5,795 40.0 4,232 29.2
09/04/07 CME E-MINI S&P 400 STOCK INDEX U.S. 3 698 0.8 590 0.7 86,398
NON U.S. 4 0 0.0 3,139 3.6
---- --------- ---- --------- ----
7 698 0.8 3,729 4.3
09/04/07 NYBT EURO FX/SWEDISH KRONA XRATE U.S. 1 0 0.0 220 5.2 4,192
NON U.S. 4 1,012 24.1 1,534 36.6
---- --------- ---- --------- ----
5 1,012 24.1 1,754 41.8
09/04/07 CME EURO FX/JAPANESE YEN XRATE U.S. 1 405 4.1 0 0.0 9,872
NON U.S. 5 3,432 34.8 3,750 38.0
---- --------- ---- --------- ----
6 3,837 38.9 3,750 38.0
09/04/07 CME 3-MO. EUROYEN TIBOR U.S. 5 1,122 2.2 3,146 6.1 51,645
NON U.S. 18 19,529 37.8 11,327 21.9
---- --------- ---- --------- ----
23 20,651 40.0 14,473 28.0
09/04/07 NYBT EURO FX/BRITISH POUND XRATE U.S. 2 0 0.0 1,494 16.1 9,278
NON U.S. 4 3,783 40.8 0 0.0
---- --------- ---- --------- ----
6 3,783 40.8 1,494 16.1
09/04/07 NYBT EURO FX/NORWEGIAN KRONE XRATE U.S. 1 0 0.0 59 1.0 5,876
NON U.S. 4 2,068 35.2 1,416 24.1
---- --------- ---- --------- ----
5 2,068 35.2 1,475 25.1
09/04/07 NYME SING JET KERO GASOIL SPR SWAP U.S. 2 50 1.3 850 22.2 3,825
NON U.S. 3 100 2.6 700 18.3
---- --------- ---- --------- ----
5 150 3.9 1,550 40.5
09/04/07 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 2 395 3.9 125 1.2 10,069
NON U.S. 5 1,564 15.5 1,559 15.5
---- --------- ---- --------- ----
7 1,959 19.5 1,684 16.7
09/04/07 NYME RBOB CRACK SPREAD SWAP U.S. 2 344 2.4 168 1.2 14,268
NON U.S. 5 1,554 10.9 2,444 17.1
---- --------- ---- --------- ----
7 1,898 13.3 2,612 18.3