BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
01/03/12 CBT WHEAT U.S. 15,655 4.1 1,761 0.5 386,401
NON U.S. 13,418 3.5 4,821 1.2
---- --------- ---- --------- ----
10 29,073 7.5 6,582 1.7
01/03/12 CBT CORN U.S. 33,897 2.9 15,878 1.4 1,176,009
NON U.S. 16,478 1.4 1,055 0.1
---- --------- ---- --------- ----
10 50,375 4.3 16,933 1.4
01/03/12 CBT SOYBEANS U.S. 16,302 3.5 9,036 2.0 460,650
NON U.S. 10,764 2.3 1,423 0.3
---- --------- ---- --------- ----
10 27,066 5.9 10,459 2.3
01/03/12 CBT SOYBEAN OIL U.S. 9,940 3.6 337 0.1 273,454
NON U.S. 3,488 1.3 1,412 0.5
---- --------- ---- --------- ----
5 13,428 4.9 1,749 0.6
01/03/12 CBT U.S. TREASURY BONDS U.S. 4 1,563 0.3 7,710 1.3 585,528
NON U.S. 5 5,158 0.9 4,707 0.8
---- --------- ---- --------- ----
9 6,721 1.1 12,417 2.1
01/03/12 NYME GULF # 6 FUEL 3.0% SULFUR SWAP U.S. 1,709 3.5 790 1.6 48,831
NON U.S. 969 2.0 394 0.8
---- --------- ---- --------- ----
5 2,678 5.5 1,184 2.4
01/03/12 NYME MINI EUR 3.5%FOIL RTD CAL SWAP U.S. 380 3.8 1,422 14.2 9,991
NON U.S. 150 1.5 849 8.5
---- --------- ---- --------- ----
5 530 5.3 2,271 22.7
01/03/12 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 16,269 6.0 947 0.4 269,405
NON U.S. 1,044 0.4 777 0.3
---- --------- ---- --------- ----
5 17,313 6.4 1,724 0.6
01/03/12 NYME GASOIL (ICE) MINI CAL SWAP U.S. 972 28.9 48 1.4 3,360
NON U.S. 72 2.1 1,070 31.8
---- --------- ---- --------- ----
5 1,044 31.1 1,118 33.3
01/03/12 NYME NATURAL GAS U.S. 21,660 2.1 19,372 1.9 1,016,237
NON U.S. 35,935 3.5 856 0.1
---- --------- ---- --------- ----
9 57,595 5.7 20,228 2.0
01/03/12 CBT SOYBEAN MEAL U.S. 2,626 1.3 1,951 1.0 195,357
NON U.S. 1,169 0.6 217 0.1
---- --------- ---- --------- ----
6 3,795 1.9 2,168 1.1
01/03/12 ICUS COTTON NO. 2 U.S. 1,521 1.0 5,511 3.6 152,079
NON U.S. 3,663 2.4 5,180 3.4
---- --------- ---- --------- ----
10 5,184 3.4 10,691 7.0
01/03/12 NYME HOUSTON SHIP CH BASIS SWAP U.S. 0 0.0 6,391 12.5 51,331
NON U.S. 440 0.9 7,192 14.0
---- --------- ---- --------- ----
5 440 0.9 13,583 26.5
01/03/12 NYME NW PIPE ROCKIES BASIS SWAP U.S. 608 1.2 3,262 6.3 51,377
NON U.S. 3,085 6.0 93 0.2
---- --------- ---- --------- ----
5 3,693 7.2 3,355 6.5
01/03/12 NYME PANHANDLE BASIS SWAP U.S. 9,763 11.8 5,651 6.8 82,853
NON U.S. 0 0.0 7,302 8.8
---- --------- ---- --------- ----
5 9,763 11.8 12,953 15.6
01/03/12 NYME HENRY HUB SWAP U.S. 91,494 3.7 198,750 8.1 2,464,494
NON U.S. 5,374 0.2 130,534 5.3
---- --------- ---- --------- ----
9 96,868 3.9 329,284 13.4
01/03/12 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 90,802 8.3 43,430 4.0 1,097,876
NON U.S. 25,155 2.3 8,804 0.8
---- --------- ---- --------- ----
8 115,957 10.6 52,234 4.8
01/03/12 CBT ROUGH RICE U.S. 201 1.4 0 0.0 14,699
NON U.S. 797 5.4 600 4.1
---- --------- ---- --------- ----
5 998 6.8 600 4.1
01/03/12 CBT 2-YEAR U.S. TREASURY NOTES U.S. 6 53,572 7.7 17,648 2.5 697,412
NON U.S. 9 6,976 1.0 9,780 1.4
---- --------- ---- --------- ----
15 60,548 8.7 27,428 3.9
01/03/12 CBT 10-YEAR U.S. TREASURY NOTES U.S. 7 7,728 0.5 28,111 1.9 1,497,556
NON U.S. 14 30,579 2.0 35,008 2.3
---- --------- ---- --------- ----
21 38,307 2.6 63,119 4.2
01/03/12 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 39,435 3.1 39,154 3.0 1,286,469
NON U.S. 11 3,568 0.3 35,152 2.7
---- --------- ---- --------- ----
16 43,003 3.3 74,306 5.8
01/03/12 CBT 30-DAY FEDERAL FUNDS U.S. 7 64,661 12.6 44,874 8.7 513,191
NON U.S. 12 32,282 6.3 59,360 11.6
---- --------- ---- --------- ----
19 96,943 18.9 104,234 20.3
01/03/12 CME LEAN HOGS U.S. 6,044 2.6 0 0.0 232,846
NON U.S. 3,147 1.4 481 0.2
---- --------- ---- --------- ----
5 9,191 3.9 481 0.2
01/03/12 CME LIVE CATTLE U.S. 6,954 2.2 1,078 0.3 319,647
NON U.S. 6,007 1.9 760 0.2
---- --------- ---- --------- ----
7 12,961 4.1 1,838 0.6
01/03/12 NYME MT BELVIEU PROPANE (OPIS) SWAP U.S. 209 1.0 728 3.6 20,442
NON U.S. 17 0.1 1,289 6.3
---- --------- ---- --------- ----
5 226 1.1 2,017 9.9
01/03/12 NYME CRUDE OIL, LIGHT SWEET U.S. 65,103 4.7 74,611 5.4 1,373,018
NON U.S. 24,985 1.8 155,021 11.3
---- --------- ---- --------- ----
16 90,088 6.6 229,632 16.7
01/03/12 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 11,274 6.1 32,962 17.8 185,446
NON U.S. 10 13,936 7.5 31,146 16.8
---- --------- ---- --------- ----
14 25,210 13.6 64,108 34.6
01/03/12 NYME WTI CRUDE OIL FINANCIAL U.S. 2,042 3.4 9,420 15.8 59,452
NON U.S. 1,478 2.5 1,342 2.3
---- --------- ---- --------- ----
7 3,520 5.9 10,762 18.1
01/03/12 NYME WTI-BRENT CALENDAR SWAP U.S. 1,560 3.1 3,240 6.4 50,697
NON U.S. 3,567 7.0 975 1.9
---- --------- ---- --------- ----
6 5,127 10.1 4,215 8.3
01/03/12 NYME BRENT (ICE) CALENDAR SWAP U.S. 3,951 7.1 3,156 5.7 55,414
NON U.S. 9,857 17.8 3,043 5.5
---- --------- ---- --------- ----
9 13,808 24.9 6,199 11.2
01/03/12 NYME PALLADIUM U.S. 469 2.7 3,608 20.5 17,570
NON U.S. 307 1.7 2,960 16.8
---- --------- ---- --------- ----
12 776 4.4 6,568 37.4
01/03/12 NYME PLATINUM U.S. 171 0.4 5,718 13.5 42,476
NON U.S. 740 1.7 3,625 8.5
---- --------- ---- --------- ----
12 911 2.1 9,343 22.0
01/03/12 ICUS SUGAR NO. 11 U.S. 9,669 1.7 3,624 0.6 567,599
NON U.S. 7,778 1.4 15,473 2.7
---- --------- ---- --------- ----
12 17,447 3.1 19,097 3.4
01/03/12 ICUS COFFEE C U.S. 1,536 1.5 2,586 2.5 105,415
NON U.S. 1,310 1.2 3,577 3.4
---- --------- ---- --------- ----
13 2,846 2.7 6,163 5.8
01/03/12 CMX SILVER U.S. 2,167 2.0 17,924 16.7 107,101
NON U.S. 5,359 5.0 4,100 3.8
---- --------- ---- --------- ----
16 7,526 7.0 22,024 20.6
01/03/12 CMX COPPER-GRADE #1 U.S. 10,112 8.4 955 0.8 120,794
NON U.S. 1,559 1.3 701 0.6
---- --------- ---- --------- ----
7 11,671 9.7 1,656 1.4
01/03/12 CMX GOLD U.S. 4 42,734 10.1 122,660 29.0 423,275
NON U.S. 20 7,710 1.8 38,812 9.2
---- --------- ---- --------- ----
24 50,444 11.9 161,472 38.1
01/03/12 CME RUSSIAN RUBLE U.S. 9,188 7.3 2,936 2.3 125,605
NON U.S. 90,428 72.0 83,642 66.6
---- --------- ---- --------- ----
8 99,616 79.3 86,578 68.9
01/03/12 CME MEXICAN PESO U.S. 113 0.1 13,737 11.3 121,622
NON U.S. 67,863 55.8 4,912 4.0
---- --------- ---- --------- ----
6 67,976 55.9 18,649 15.3
01/03/12 CME BRITISH POUND STERLING U.S. 32,190 16.6 0 0.0 193,595
NON U.S. 59 0.0 0 0.0
---- --------- ---- --------- ----
5 32,249 16.7 0 0.0
01/03/12 CME JAPANESE YEN U.S. 4 597 0.4 8,545 5.4 158,719
NON U.S. 4 2,373 1.5 682 0.4
---- --------- ---- --------- ----
8 2,970 1.9 9,227 5.8
01/03/12 CME EURO FX U.S. 4 63,696 22.5 2 0.0 282,790
NON U.S. 13 12,316 4.4 1,419 0.5
---- --------- ---- --------- ----
17 76,012 26.9 1,421 0.5
01/03/12 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 7,326 2.6 3,459 1.2 279,479
NON U.S. 1,543 0.6 1,136 0.4
---- --------- ---- --------- ----
8 8,869 3.2 4,595 1.6
01/03/12 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 4 4,718 4.9 0 0.0 95,924
NON U.S. 4 2,543 2.7 15,611 16.3
---- --------- ---- --------- ----
8 7,261 7.6 15,611 16.3
01/03/12 CME 3-MONTH EURODOLLARS U.S. 13 1,131,243 14.9 785,497 10.3 7,589,974
NON U.S. 25 289,735 3.8 393,494 5.2
---- --------- ---- --------- ----
38 1,420,978 18.7 1,178,991 15.5
01/03/12 CME S&P 500 STOCK INDEX U.S. 1,057 0.4 118 0.0 254,612
NON U.S. 5,703 2.2 8,792 3.5
---- --------- ---- --------- ----
7 6,760 2.7 8,910 3.5
01/03/12 CME E-MINI S&P 500 STOCK INDEX U.S. 7 25,931 1.0 25,499 1.0 2,671,088
NON U.S. 23 36,073 1.4 127,849 4.8
---- --------- ---- --------- ----
30 62,004 2.3 153,348 5.7
01/03/12 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 2,507 0.9 222 0.1 264,654
NON U.S. 8,657 3.3 10,396 3.9
---- --------- ---- --------- ----
13 11,164 4.2 10,618 4.0
01/03/12 CME AUSTRALIAN DOLLAR U.S. 3,175 2.7 4,169 3.6 117,247
NON U.S. 0 0.0 1,330 1.1
---- --------- ---- --------- ----
5 3,175 2.7 5,499 4.7
01/03/12 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 1,499 0.4 7,680 1.9 402,600
NON U.S. 4 3,818 0.9 0 0.0
---- --------- ---- --------- ----
8 5,317 1.3 7,680 1.9
01/03/12 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 0 0.0 0 0.0 37,355
NON U.S. 1,774 4.7 2,651 7.1
---- --------- ---- --------- ----
6 1,774 4.7 2,651 7.1
01/03/12 NYL MSCI EMERGING MKTS MINI INDEX U.S. 0 0.0 0 0.0 66,437
NON U.S. 5,676 8.5 15,049 22.7
---- --------- ---- --------- ----
10 5,676 8.5 15,049 22.7
01/03/12 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 1,365 6.1 526 2.4 22,315
NON U.S. 637 2.9 785 3.5
---- --------- ---- --------- ----
6 2,002 9.0 1,311 5.9
01/03/12 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 1,560 6.4 1,500 6.2 24,336
NON U.S. 852 3.5 0 0.0
---- --------- ---- --------- ----
6 2,412 9.9 1,500 6.2
01/03/12 NYME GASOIL CRACK SPR SWAP U.S. 125 0.4 1,801 6.0 29,846
NON U.S. 1,170 3.9 225 0.8
---- --------- ---- --------- ----
6 1,295 4.3 2,026 6.8