BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
10/04/11 CBT WHEAT U.S. 26,330 6.3 3,586 0.9 420,266
NON U.S. 2,784 0.7 5,117 1.2
---- --------- ---- --------- ----
9 29,114 6.9 8,703 2.1
10/04/11 CBT CORN U.S. 17,940 1.5 45,870 3.8 1,202,658
NON U.S. 4,450 0.4 2,206 0.2
---- --------- ---- --------- ----
9 22,390 1.9 48,076 4.0
10/04/11 CBT SOYBEANS U.S. 4 8,036 1.4 18,446 3.2 573,569
NON U.S. 5 9,424 1.6 2,321 0.4
---- --------- ---- --------- ----
9 17,460 3.0 20,767 3.6
10/04/11 CBT U.S. TREASURY BONDS U.S. 7 6,200 1.0 7,445 1.2 626,846
NON U.S. 7 5,563 0.9 4,744 0.8
---- --------- ---- --------- ----
14 11,763 1.9 12,189 1.9
10/04/11 NYME MINI EUR 3.5%FOIL RTD CAL SWAP U.S. 661 6.3 75 0.7 10,424
NON U.S. 222 2.1 945 9.1
---- --------- ---- --------- ----
5 883 8.5 1,020 9.8
10/04/11 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 25,167 7.6 843 0.3 329,440
NON U.S. 760 0.2 1,254 0.4
---- --------- ---- --------- ----
5 25,927 7.9 2,097 0.6
10/04/11 NYME GASOIL (ICE) MINI CAL SWAP U.S. 576 17.2 252 7.5 3,351
NON U.S. 0 0.0 1,077 32.1
---- --------- ---- --------- ----
5 576 17.2 1,329 39.7
10/04/11 NYME NATURAL GAS U.S. 30,496 3.2 20,662 2.2 938,710
NON U.S. 16,635 1.8 690 0.1
---- --------- ---- --------- ----
8 47,131 5.0 21,352 2.3
10/04/11 ICUS COTTON NO. 2 U.S. 430 0.3 6,185 4.1 151,858
NON U.S. 1,474 1.0 2,707 1.8
---- --------- ---- --------- ----
11 1,904 1.3 8,892 5.9
10/04/11 NYME HOUSTON SHIP CH BASIS SWAP U.S. 0 0.0 7,099 11.2 63,573
NON U.S. 0 0.0 8,602 13.5
---- --------- ---- --------- ----
5 0 0.0 15,701 24.7
10/04/11 NYME NW PIPE ROCKIES BASIS SWAP U.S. 1,000 1.6 3,891 6.4 60,949
NON U.S. 2,545 4.2 793 1.3
---- --------- ---- --------- ----
5 3,545 5.8 4,684 7.7
10/04/11 NYME PANHANDLE BASIS SWAP U.S. 11,559 11.8 6,153 6.3 98,269
NON U.S. 0 0.0 8,693 8.8
---- --------- ---- --------- ----
5 11,559 11.8 14,846 15.1
10/04/11 NYME SAN JUAN BASIS SWAP U.S. 642 2.2 1,313 4.5 29,038
NON U.S. 737 2.5 1,718 5.9
---- --------- ---- --------- ----
5 1,379 4.7 3,031 10.4
10/04/11 NYME HENRY HUB SWAP U.S. 61,723 2.6 233,734 9.8 2,390,879
NON U.S. 5,851 0.2 146,233 6.1
---- --------- ---- --------- ----
9 67,574 2.8 379,967 15.9
10/04/11 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 96,938 9.8 66,783 6.7 990,544
NON U.S. 31,569 3.2 6,944 0.7
---- --------- ---- --------- ----
8 128,507 13.0 73,727 7.4
10/04/11 CBT 2-YEAR U.S. TREASURY NOTES U.S. 5 47,180 6.4 10,273 1.4 735,257
NON U.S. 8 6,136 0.8 9,860 1.3
---- --------- ---- --------- ----
13 53,316 7.3 20,133 2.7
10/04/11 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 7,664 0.5 42,717 2.9 1,496,381
NON U.S. 15 36,004 2.4 27,975 1.9
---- --------- ---- --------- ----
21 43,668 2.9 70,692 4.7
10/04/11 CBT 5-YEAR U.S. TREASURY NOTES U.S. 6 73,060 5.9 38,194 3.1 1,228,941
NON U.S. 11 3,046 0.2 26,043 2.1
---- --------- ---- --------- ----
17 76,106 6.2 64,237 5.2
10/04/11 CBT 30-DAY FEDERAL FUNDS U.S. 7 96,992 15.6 36,723 5.9 623,049
NON U.S. 15 41,031 6.6 59,906 9.6
---- --------- ---- --------- ----
22 138,023 22.2 96,629 15.5
10/04/11 CME LIVE CATTLE U.S. 6,426 1.9 689 0.2 340,399
NON U.S. 1,501 0.4 4 0.0
---- --------- ---- --------- ----
5 7,927 2.3 693 0.2
10/04/11 NYME CRUDE OIL, LIGHT SWEET U.S. 47,686 3.3 73,466 5.1 1,431,783
NON U.S. 35,026 2.4 109,727 7.7
---- --------- ---- --------- ----
16 82,712 5.8 183,193 12.8
10/04/11 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 9,392 4.6 36,612 17.8 205,743
NON U.S. 9 12,373 6.0 30,482 14.8
---- --------- ---- --------- ----
13 21,765 10.6 67,094 32.6
10/04/11 NYME WTI CRUDE OIL FINANCIAL U.S. 3,233 3.9 10,950 13.3 82,158
NON U.S. 1,988 2.4 1,281 1.6
---- --------- ---- --------- ----
7 5,221 6.4 12,231 14.9
10/04/11 NYME WTI-BRENT CALENDAR SWAP U.S. 2,139 4.3 2,976 6.0 49,853
NON U.S. 2,805 5.6 0 0.0
---- --------- ---- --------- ----
5 4,944 9.9 2,976 6.0
10/04/11 NYME BRENT (ICE) CALENDAR SWAP U.S. 1,934 3.7 2,884 5.5 52,862
NON U.S. 2,754 5.2 2,418 4.6
---- --------- ---- --------- ----
7 4,688 8.9 5,302 10.0
10/04/11 NYME PALLADIUM U.S. 262 1.3 4,093 21.0 19,516
NON U.S. 392 2.0 3,048 15.6
---- --------- ---- --------- ----
13 654 3.4 7,141 36.6
10/04/11 NYME PLATINUM U.S. 4 479 1.2 4,944 12.9 38,401
NON U.S. 8 847 2.2 3,058 8.0
---- --------- ---- --------- ----
12 1,326 3.5 8,002 20.8
10/04/11 ICUS SUGAR NO. 11 U.S. 10,064 2.1 2,586 0.5 472,073
NON U.S. 3,713 0.8 13,476 2.9
---- --------- ---- --------- ----
8 13,777 2.9 16,062 3.4
10/04/11 ICUS COFFEE C U.S. 1,920 1.6 2,571 2.2 117,030
NON U.S. 495 0.4 6,761 5.8
---- --------- ---- --------- ----
10 2,415 2.1 9,332 8.0
10/04/11 CMX SILVER U.S. 3,019 3.0 17,407 17.2 101,102
NON U.S. 2,979 2.9 2,616 2.6
---- --------- ---- --------- ----
14 5,998 5.9 20,023 19.8
10/04/11 CMX COPPER-GRADE #1 U.S. 9,546 7.9 1,447 1.2 121,499
NON U.S. 832 0.7 700 0.6
---- --------- ---- --------- ----
8 10,378 8.5 2,147 1.8
10/04/11 CMX GOLD U.S. 4 43,635 10.0 118,045 27.0 436,920
NON U.S. 18 7,021 1.6 28,193 6.5
---- --------- ---- --------- ----
22 50,656 11.6 146,238 33.5
10/04/11 CME RUSSIAN RUBLE U.S. 8,092 9.6 3,189 3.8 84,545
NON U.S. 36,926 43.7 32,892 38.9
---- --------- ---- --------- ----
7 45,018 53.2 36,081 42.7
10/04/11 CME CANADIAN DOLLAR U.S. 4,022 3.9 3,641 3.5 103,733
NON U.S. 1,693 1.6 657 0.6
---- --------- ---- --------- ----
9 5,715 5.5 4,298 4.1
10/04/11 CME MEXICAN PESO U.S. 808 0.9 24,737 27.7 89,418
NON U.S. 45,180 50.5 0 0.0
---- --------- ---- --------- ----
6 45,988 51.4 24,737 27.7
10/04/11 CME BRITISH POUND STERLING U.S. 26,960 15.4 0 0.0 175,500
NON U.S. 10,621 6.1 32 0.0
---- --------- ---- --------- ----
6 37,581 21.4 32 0.0
10/04/11 CME EURO FX U.S. 5 38,794 17.6 56 0.0 220,839
NON U.S. 13 14,730 6.7 1,597 0.7
---- --------- ---- --------- ----
18 53,524 24.2 1,653 0.7
10/04/11 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 6,208 2.3 4,021 1.5 271,347
NON U.S. 830 0.3 1,412 0.5
---- --------- ---- --------- ----
7 7,038 2.6 5,433 2.0
10/04/11 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 4 5,196 6.8 0 0.0 75,959
NON U.S. 4 2,699 3.6 5,042 6.6
---- --------- ---- --------- ----
8 7,895 10.4 5,042 6.6
10/04/11 CME 3-MONTH EURODOLLARS U.S. 13 783,569 9.4 1,208,904 14.5 8,328,105
NON U.S. 28 318,330 3.8 645,748 7.8
---- --------- ---- --------- ----
41 1,101,899 13.2 1,854,652 22.3
10/04/11 CME S&P 500 STOCK INDEX U.S. 1,899 0.6 4,063 1.4 296,855
NON U.S. 6,123 2.1 4,865 1.6
---- --------- ---- --------- ----
8 8,022 2.7 8,928 3.0
10/04/11 CME E-MINI S&P 500 STOCK INDEX U.S. 8 43,221 1.4 12,114 0.4 3,143,543
NON U.S. 30 40,784 1.3 130,638 4.2
---- --------- ---- --------- ----
38 84,005 2.7 142,752 4.5
10/04/11 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 1,743 0.5 247 0.1 322,866
NON U.S. 12,256 3.8 2,736 0.8
---- --------- ---- --------- ----
15 13,999 4.3 2,983 0.9
10/04/11 CME AUSTRALIAN DOLLAR U.S. 973 1.0 10,903 10.9 100,016
NON U.S. 0 0.0 1,312 1.3
---- --------- ---- --------- ----
5 973 1.0 12,215 12.2
10/04/11 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 6,405 1.3 6,428 1.3 493,067
NON U.S. 5 3,832 0.8 349 0.1
---- --------- ---- --------- ----
9 10,237 2.1 6,777 1.4
10/04/11 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 976 2.6 0 0.0 36,915
NON U.S. 992 2.7 4,813 13.0
---- --------- ---- --------- ----
6 1,968 5.3 4,813 13.0
10/04/11 NYL MSCI EMERGING MKTS MINI INDEX U.S. 308 0.5 0 0.0 63,284
NON U.S. 5,024 7.9 18,204 28.8
---- --------- ---- --------- ----
11 5,332 8.4 18,204 28.8
10/04/11 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 1,007 5.2 996 5.1 19,365
NON U.S. 1,164 6.0 1,044 5.4
---- --------- ---- --------- ----
7 2,171 11.2 2,040 10.5
10/04/11 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 2,310 10.3 1,785 7.9 22,482
NON U.S. 843 3.7 9 0.0
---- --------- ---- --------- ----
5 3,153 14.0 1,794 8.0
10/04/11 NYME GASOIL CRACK SPR SWAP U.S. 474 1.5 1,806 5.9 30,596
NON U.S. 873 2.9 602 2.0
---- --------- ---- --------- ----
6 1,347 4.4 2,408 7.9