BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
04/05/11 CBT WHEAT U.S. 30,377 6.2 3,594 0.7 491,848
NON U.S. 4,634 0.9 7,762 1.6
---- --------- ---- --------- ----
9 35,011 7.1 11,356 2.3
04/05/11 KCBT WHEAT U.S. 1,142 0.6 5,429 2.8 191,243
NON U.S. 125 0.1 4,040 2.1
---- --------- ---- --------- ----
5 1,267 0.7 9,469 5.0
04/05/11 CBT CORN U.S. 45,004 2.8 63,489 3.9 1,618,509
NON U.S. 10,132 0.6 8,526 0.5
---- --------- ---- --------- ----
7 55,136 3.4 72,015 4.4
04/05/11 CBT SOYBEANS U.S. 9,648 1.5 16,586 2.6 634,186
NON U.S. 7,832 1.2 3,124 0.5
---- --------- ---- --------- ----
8 17,480 2.8 19,710 3.1
04/05/11 CBT U.S. TREASURY BONDS U.S. 4 1,489 0.3 6,877 1.2 593,161
NON U.S. 5 2,667 0.4 6,274 1.1
---- --------- ---- --------- ----
9 4,156 0.7 13,151 2.2
04/05/11 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 18,808 6.1 472 0.2 305,837
NON U.S. 1,358 0.4 219 0.1
---- --------- ---- --------- ----
6 20,166 6.6 691 0.2
04/05/11 NYME NATURAL GAS U.S. 23,383 2.6 10,332 1.1 906,245
NON U.S. 12,765 1.4 794 0.1
---- --------- ---- --------- ----
9 36,148 4.0 11,126 1.2
04/05/11 ICUS COTTON NO. 2 U.S. 4,014 2.1 4,647 2.4 195,689
NON U.S. 1,314 0.7 5,715 2.9
---- --------- ---- --------- ----
8 5,328 2.7 10,362 5.3
04/05/11 NYME NW PIPE ROCKIES BASIS SWAP U.S. 3,006 4.0 4,557 6.0 75,850
NON U.S. 2,737 3.6 3,770 5.0
---- --------- ---- --------- ----
5 5,743 7.6 8,327 11.0
04/05/11 NYME PANHANDLE BASIS SWAP U.S. 22,216 16.3 6,466 4.7 136,356
NON U.S. 0 0.0 9,169 6.7
---- --------- ---- --------- ----
5 22,216 16.3 15,635 11.5
04/05/11 NYME SAN JUAN BASIS SWAP U.S. 1,532 4.9 1,711 5.5 31,202
NON U.S. 186 0.6 3,220 10.3
---- --------- ---- --------- ----
5 1,718 5.5 4,931 15.8
04/05/11 NYME HENRY HUB SWAP U.S. 4 66,395 2.6 214,004 8.2 2,599,652
NON U.S. 6 8,138 0.3 172,674 6.6
---- --------- ---- --------- ----
10 74,533 2.9 386,678 14.9
04/05/11 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 66,980 6.8 84,656 8.5 991,711
NON U.S. 48,982 4.9 9,520 1.0
---- --------- ---- --------- ----
8 115,962 11.7 94,176 9.5
04/05/11 CBT ROUGH RICE U.S. 525 2.1 0 0.0 24,514
NON U.S. 372 1.5 600 2.4
---- --------- ---- --------- ----
5 897 3.7 600 2.4
04/05/11 CBT 2-YEAR U.S. TREASURY NOTES U.S. 8 36,320 3.7 20,988 2.2 971,656
NON U.S. 20 11,477 1.2 25,673 2.6
---- --------- ---- --------- ----
28 47,797 4.9 46,661 4.8
04/05/11 CBT 10-YEAR U.S. TREASURY NOTES U.S. 8 26,804 1.7 50,281 3.1 1,605,373
NON U.S. 27 35,445 2.2 42,099 2.6
---- --------- ---- --------- ----
35 62,249 3.9 92,380 5.8
04/05/11 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 42,067 3.2 78,414 6.0 1,302,380
NON U.S. 13 7,759 0.6 30,641 2.4
---- --------- ---- --------- ----
18 49,826 3.8 109,055 8.4
04/05/11 CBT 30-DAY FEDERAL FUNDS U.S. 7 117,263 18.4 56,234 8.8 638,687
NON U.S. 15 35,208 5.5 42,431 6.6
---- --------- ---- --------- ----
22 152,471 23.9 98,665 15.4
04/05/11 CME LIVE CATTLE U.S. 6,494 1.6 1,610 0.4 393,601
NON U.S. 2,088 0.5 9 0.0
---- --------- ---- --------- ----
7 8,582 2.2 1,619 0.4
04/05/11 NYME CRUDE OIL, LIGHT SWEET U.S. 36,777 2.3 100,845 6.4 1,566,762
NON U.S. 16,604 1.1 122,705 7.8
---- --------- ---- --------- ----
15 53,381 3.4 223,550 14.3
04/05/11 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 13,178 6.1 34,909 16.1 216,452
NON U.S. 9 14,434 6.7 26,116 12.1
---- --------- ---- --------- ----
13 27,612 12.8 61,025 28.2
04/05/11 NYME WTI CRUDE OIL FINANCIAL U.S. 8,857 10.3 10,949 12.8 85,809
NON U.S. 2,091 2.4 706 0.8
---- --------- ---- --------- ----
6 10,948 12.8 11,655 13.6
04/05/11 NYME PALLADIUM U.S. 248 1.2 3,526 16.5 21,328
NON U.S. 188 0.9 4,249 19.9
---- --------- ---- --------- ----
11 436 2.0 7,775 36.5
04/05/11 NYME PLATINUM U.S. 108 0.3 3,499 10.3 33,967
NON U.S. 155 0.5 4,215 12.4
---- --------- ---- --------- ----
11 263 0.8 7,714 22.7
04/05/11 ICUS SUGAR NO. 11 U.S. 9,791 1.6 15,055 2.4 626,615
NON U.S. 5,123 0.8 17,345 2.8
---- --------- ---- --------- ----
11 14,914 2.4 32,400 5.2
04/05/11 ICUS COFFEE C U.S. 4,104 3.3 4,095 3.3 124,409
NON U.S. 642 0.5 5,204 4.2
---- --------- ---- --------- ----
8 4,746 3.8 9,299 7.5
04/05/11 CMX SILVER U.S. 825 0.6 25,412 17.8 143,013
NON U.S. 2,882 2.0 7,647 5.3
---- --------- ---- --------- ----
14 3,707 2.6 33,059 23.1
04/05/11 CMX COPPER-GRADE #1 U.S. 8,469 6.3 1,066 0.8 134,293
NON U.S. 1,230 0.9 6 0.0
---- --------- ---- --------- ----
8 9,699 7.2 1,072 0.8
04/05/11 CMX GOLD U.S. 4 27,361 5.4 115,076 22.6 508,956
NON U.S. 13 6,349 1.2 43,627 8.6
---- --------- ---- --------- ----
17 33,710 6.6 158,703 31.2
04/05/11 CME RUSSIAN RUBLE U.S. 863 1.0 4,319 4.8 90,125
NON U.S. 40,519 45.0 38,830 43.1
---- --------- ---- --------- ----
5 41,382 45.9 43,149 47.9
04/05/11 CME CANADIAN DOLLAR U.S. 1,034 0.7 24,514 17.7 138,257
NON U.S. 0 0.0 5,978 4.3
---- --------- ---- --------- ----
7 1,034 0.7 30,492 22.1
04/05/11 CME MEXICAN PESO U.S. 0 0.0 93,605 58.9 158,825
NON U.S. 0 0.0 3,857 2.4
---- --------- ---- --------- ----
7 0 0.0 97,462 61.4
04/05/11 CME BRITISH POUND STERLING U.S. 2,006 1.8 18,077 16.3 111,219
NON U.S. 1,121 1.0 1,626 1.5
---- --------- ---- --------- ----
6 3,127 2.8 19,703 17.7
04/05/11 CME JAPANESE YEN U.S. 4 10,241 8.5 5,715 4.7 120,632
NON U.S. 5 8,389 7.0 935 0.8
---- --------- ---- --------- ----
9 18,630 15.4 6,650 5.5
04/05/11 CME EURO FX U.S. 5 1,952 0.8 21,672 9.2 236,270
NON U.S. 13 4,944 2.1 16,744 7.1
---- --------- ---- --------- ----
18 6,896 2.9 38,416 16.3
04/05/11 CME BRAZILIAN REAL U.S. 0 0.0 2,109 5.6 37,456
NON U.S. 0 0.0 26,361 70.4
---- --------- ---- --------- ----
5 0 0.0 28,470 76.0
04/05/11 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 6,228 2.2 2,537 0.9 286,614
NON U.S. 1,290 0.5 17 0.0
---- --------- ---- --------- ----
7 7,518 2.6 2,554 0.9
04/05/11 E VIX FUTURES U.S. 362 0.2 11,547 6.4 181,288
NON U.S. 1,091 0.6 344 0.2
---- --------- ---- --------- ----
5 1,453 0.8 11,891 6.6
04/05/11 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 4,402 3.7 1,101 0.9 117,613
NON U.S. 3,140 2.7 3,530 3.0
---- --------- ---- --------- ----
7 7,542 6.4 4,631 3.9
04/05/11 CME 3-MONTH EURODOLLARS U.S. 12 1,008,657 10.9 1,400,943 15.1 9,254,557
NON U.S. 35 430,703 4.7 743,831 8.0
---- --------- ---- --------- ----
47 1,439,360 15.6 2,144,774 23.2
04/05/11 CME S&P 500 STOCK INDEX U.S. 926 0.3 100 0.0 302,356
NON U.S. 3,955 1.3 5,824 1.9
---- --------- ---- --------- ----
8 4,881 1.6 5,924 2.0
04/05/11 CME E-MINI S&P 500 STOCK INDEX U.S. 8 46,582 1.7 8,110 0.3 2,682,037
NON U.S. 19 30,822 1.1 37,384 1.4
---- --------- ---- --------- ----
27 77,404 2.9 45,494 1.7
04/05/11 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 3,547 1.0 672 0.2 360,997
NON U.S. 9,095 2.5 2,593 0.7
---- --------- ---- --------- ----
18 12,642 3.5 3,265 0.9
04/05/11 CME AUSTRALIAN DOLLAR U.S. 102 0.1 24,339 16.7 146,108
NON U.S. 0 0.0 6,763 4.6
---- --------- ---- --------- ----
6 102 0.1 31,102 21.3
04/05/11 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 5 7,039 1.9 1,656 0.5 367,945
NON U.S. 4 2,329 0.6 634 0.2
---- --------- ---- --------- ----
9 9,368 2.5 2,290 0.6
04/05/11 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 1,646 2.6 0 0.0 64,219
NON U.S. 3,373 5.3 11,607 18.1
---- --------- ---- --------- ----
10 5,019 7.8 11,607 18.1
04/05/11 CME E-MINI MSCI EMERGING MARKETS U.S. 0 0.0 0 0.0 38,042
NON U.S. 2,340 6.2 3,114 8.2
---- --------- ---- --------- ----
5 2,340 6.2 3,114 8.2
04/05/11 ICUS EURO FX/JAPANESE YEN - SMALL U.S. 1,114 14.7 3,066 40.3 7,603
NON U.S. 0 0.0 0 0.0
---- --------- ---- --------- ----
5 1,114 14.7 3,066 40.3
04/05/11 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 981 6.3 726 4.7 15,573
NON U.S. 942 6.0 1,429 9.2
---- --------- ---- --------- ----
5 1,923 12.3 2,155 13.8