BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
01/04/11 CBT WHEAT U.S. 28,296 5.7 5,234 1.0 498,538
NON U.S. 4,769 1.0 8,033 1.6
---- --------- ---- --------- ----
10 33,065 6.6 13,267 2.7
01/04/11 CBT CORN U.S. 45,770 3.0 57,787 3.7 1,546,155
NON U.S. 5,234 0.3 7,465 0.5
---- --------- ---- --------- ----
6 51,004 3.3 65,252 4.2
01/04/11 CBT SOYBEANS U.S. 13,560 2.2 17,914 2.9 622,611
NON U.S. 9,756 1.6 2,905 0.5
---- --------- ---- --------- ----
7 23,316 3.7 20,819 3.3
01/04/11 CBT U.S. TREASURY BONDS U.S. 5 4,448 0.8 8,689 1.6 538,630
NON U.S. 4 12,472 2.3 3,709 0.7
---- --------- ---- --------- ----
9 16,920 3.1 12,398 2.3
01/04/11 NYME EUR 3.5% FUEL OIL RTD CAL SWAP U.S. 352 4.7 199 2.6 7,561
NON U.S. 462 6.1 487 6.4
---- --------- ---- --------- ----
6 814 10.8 686 9.1
01/04/11 NYME NATURAL GAS U.S. 20,967 2.7 9,617 1.3 767,021
NON U.S. 32,307 4.2 631 0.1
---- --------- ---- --------- ----
10 53,274 6.9 10,248 1.3
01/04/11 ICUS COTTON NO. 2 U.S. 1,071 0.5 6,384 3.1 207,895
NON U.S. 560 0.3 4,176 2.0
---- --------- ---- --------- ----
6 1,631 0.8 10,560 5.1
01/04/11 NYME NW PIPE ROCKIES BASIS SWAP U.S. 3,004 3.4 4,622 5.3 87,943
NON U.S. 2,273 2.6 5,301 6.0
---- --------- ---- --------- ----
6 5,277 6.0 9,923 11.3
01/04/11 NYME PANHANDLE BASIS SWAP U.S. 23,315 15.9 6,573 4.5 146,912
NON U.S. 0 0.0 9,508 6.5
---- --------- ---- --------- ----
5 23,315 15.9 16,081 10.9
01/04/11 NYME SAN JUAN BASIS SWAP U.S. 1,682 4.9 1,996 5.8 34,253
NON U.S. 186 0.5 3,872 11.3
---- --------- ---- --------- ----
5 1,868 5.5 5,868 17.1
01/04/11 NYME HENRY HUB SWAP U.S. 4 80,358 3.2 184,813 7.4 2,495,881
NON U.S. 6 10,687 0.4 167,301 6.7
---- --------- ---- --------- ----
10 91,045 3.6 352,114 14.1
01/04/11 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 81,082 8.7 62,541 6.7 934,812
NON U.S. 45,867 4.9 6,720 0.7
---- --------- ---- --------- ----
8 126,949 13.6 69,261 7.4
01/04/11 CBT ROUGH RICE U.S. 89 0.5 0 0.0 18,768
NON U.S. 235 1.3 600 3.2
---- --------- ---- --------- ----
5 324 1.7 600 3.2
01/04/11 CBT 2-YEAR U.S. TREASURY NOTES U.S. 6 9,633 1.5 17,769 2.8 645,108
NON U.S. 11 8,298 1.3 29,271 4.5
---- --------- ---- --------- ----
17 17,931 2.8 47,040 7.3
01/04/11 CBT 10-YEAR U.S. TREASURY NOTES U.S. 9 34,509 2.5 72,702 5.4 1,357,110
NON U.S. 17 26,420 1.9 32,520 2.4
---- --------- ---- --------- ----
26 60,929 4.5 105,222 7.8
01/04/11 CBT 5-YEAR U.S. TREASURY NOTES U.S. 6 13,762 1.4 53,790 5.4 988,426
NON U.S. 9 9,064 0.9 13,191 1.3
---- --------- ---- --------- ----
15 22,826 2.3 66,981 6.8
01/04/11 CBT 30-DAY FEDERAL FUNDS U.S. 7 97,313 18.9 48,160 9.4 514,212
NON U.S. 9 14,551 2.8 10,782 2.1
---- --------- ---- --------- ----
16 111,864 21.8 58,942 11.5
01/04/11 CME LIVE CATTLE U.S. 8,205 2.5 1,444 0.4 330,306
NON U.S. 1,673 0.5 245 0.1
---- --------- ---- --------- ----
9 9,878 3.0 1,689 0.5
01/04/11 NYME CRUDE OIL, LIGHT SWEET U.S. 31,230 2.1 111,480 7.6 1,471,226
NON U.S. 10,949 0.7 107,666 7.3
---- --------- ---- --------- ----
14 42,179 2.9 219,146 14.9
01/04/11 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 16,492 7.2 37,939 16.6 229,004
NON U.S. 10 28,285 12.4 21,782 9.5
---- --------- ---- --------- ----
14 44,777 19.6 59,721 26.1
01/04/11 NYME WTI CRUDE OIL FINANCIAL U.S. 9,879 11.2 9,642 11.0 88,000
NON U.S. 2,091 2.4 706 0.8
---- --------- ---- --------- ----
6 11,970 13.6 10,348 11.8
01/04/11 NYME BRENT (ICE) CALENDAR SWAP U.S. 1,154 2.1 8,748 15.7 55,574
NON U.S. 1,781 3.2 1,706 3.1
---- --------- ---- --------- ----
5 2,935 5.3 10,454 18.8
01/04/11 NYME PALLADIUM U.S. 144 0.6 4,423 19.2 23,046
NON U.S. 203 0.9 4,161 18.1
---- --------- ---- --------- ----
11 347 1.5 8,584 37.2
01/04/11 NYME PLATINUM U.S. 100 0.3 4,823 12.2 39,620
NON U.S. 354 0.9 4,279 10.8
---- --------- ---- --------- ----
10 454 1.1 9,102 23.0
01/04/11 ICUS SUGAR NO. 11 U.S. 8,749 1.4 27,842 4.6 607,185
NON U.S. 3,611 0.6 13,752 2.3
---- --------- ---- --------- ----
8 12,360 2.0 41,594 6.9
01/04/11 ICUS COFFEE C U.S. 3,885 2.8 4,331 3.1 140,740
NON U.S. 580 0.4 4,413 3.1
---- --------- ---- --------- ----
7 4,465 3.2 8,744 6.2
01/04/11 CMX SILVER U.S. 318 0.2 22,658 16.5 136,931
NON U.S. 2,511 1.8 5,639 4.1
---- --------- ---- --------- ----
12 2,829 2.1 28,297 20.7
01/04/11 CMX COPPER-GRADE #1 U.S. 6,763 4.1 1,706 1.0 166,289
NON U.S. 1,188 0.7 3 0.0
---- --------- ---- --------- ----
5 7,951 4.8 1,709 1.0
01/04/11 CMX GOLD U.S. 4 34,905 5.9 126,893 21.4 592,613
NON U.S. 18 10,716 1.8 48,437 8.2
---- --------- ---- --------- ----
22 45,621 7.7 175,330 29.6
01/04/11 CME CANADIAN DOLLAR U.S. 5 0 0.0 23,105 19.1 120,758
NON U.S. 4 203 0.2 6,310 5.2
---- --------- ---- --------- ----
9 203 0.2 29,415 24.4
01/04/11 CME SWISS FRANC U.S. 0 0.0 3,180 6.7 47,484
NON U.S. 0 0.0 853 1.8
---- --------- ---- --------- ----
5 0 0.0 4,033 8.5
01/04/11 CME MEXICAN PESO U.S. 496 0.4 44,642 37.6 118,786
NON U.S. 1,536 1.3 913 0.8
---- --------- ---- --------- ----
7 2,032 1.7 45,555 38.4
01/04/11 CME BRITISH POUND STERLING U.S. 3,725 4.4 7 0.0 84,270
NON U.S. 641 0.8 0 0.0
---- --------- ---- --------- ----
5 4,366 5.2 7 0.0
01/04/11 CME JAPANESE YEN U.S. 5 1 0.0 15,571 12.1 128,483
NON U.S. 5 5,890 4.6 549 0.4
---- --------- ---- --------- ----
10 5,891 4.6 16,120 12.5
01/04/11 CME EURO FX U.S. 4 12,862 7.9 5,766 3.5 163,239
NON U.S. 9 5,595 3.4 1,211 0.7
---- --------- ---- --------- ----
13 18,457 11.3 6,977 4.3
01/04/11 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 4,136 1.5 2,356 0.9 270,115
NON U.S. 1,102 0.4 7 0.0
---- --------- ---- --------- ----
6 5,238 1.9 2,363 0.9
01/04/11 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2,337 2.9 1,112 1.4 80,039
NON U.S. 2,307 2.9 4,268 5.3
---- --------- ---- --------- ----
7 4,644 5.8 5,380 6.7
01/04/11 CME 3-MONTH EURODOLLARS U.S. 13 1,187,221 16.4 1,213,626 16.7 7,257,558
NON U.S. 29 444,788 6.1 470,808 6.5
---- --------- ---- --------- ----
42 1,632,009 22.5 1,684,434 23.2
01/04/11 CME S&P 500 STOCK INDEX U.S. 2,570 0.9 100 0.0 276,458
NON U.S. 4,244 1.5 6,830 2.5
---- --------- ---- --------- ----
12 6,814 2.5 6,930 2.5
01/04/11 CME E-MINI S&P 500 STOCK INDEX U.S. 7 43,836 1.8 5,309 0.2 2,499,724
NON U.S. 27 29,149 1.2 41,313 1.7
---- --------- ---- --------- ----
34 72,985 2.9 46,622 1.9
01/04/11 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 4 1,903 0.5 1,409 0.4 358,757
NON U.S. 17 13,426 3.7 2,417 0.7
---- --------- ---- --------- ----
21 15,329 4.3 3,826 1.1
01/04/11 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 3,222 1.0 4,715 1.5 317,096
NON U.S. 5 2,042 0.6 752 0.2
---- --------- ---- --------- ----
9 5,264 1.7 5,467 1.7
01/04/11 CME NIKKEI STOCK AVERAGE U.S. 0 0.0 0 0.0 39,695
NON U.S. 1,086 2.7 680 1.7
---- --------- ---- --------- ----
7 1,086 2.7 680 1.7
01/04/11 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 0 0.0 0 0.0 48,172
NON U.S. 887 1.8 9,493 19.7
---- --------- ---- --------- ----
5 887 1.8 9,493 19.7
01/04/11 CME E-MINI MSCI EMERGING MARKETS U.S. 0 0.0 0 0.0 38,064
NON U.S. 471 1.2 3,030 8.0
---- --------- ---- --------- ----
5 471 1.2 3,030 8.0
01/04/11 CME E-MINI S&P 400 STOCK INDEX U.S. 685 0.7 5,668 5.8 97,900
NON U.S. 0 0.0 0 0.0
---- --------- ---- --------- ----
5 685 0.7 5,668 5.8
01/04/11 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 4,482 17.4 300 1.2 25,704
NON U.S. 1,152 4.5 0 0.0
---- --------- ---- --------- ----
5 5,634 21.9 300 1.2