BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
06/05/12 CBT WHEAT U.S. 4 18,036 4.2 3,083 0.7 429,358
NON U.S. 9 14,169 3.3 4,720 1.1
---- --------- ---- --------- ----
13 32,205 7.5 7,803 1.8
06/05/12 KCBT WHEAT U.S. 2,620 1.8 291 0.2 148,612
NON U.S. 2,253 1.5 804 0.5
---- --------- ---- --------- ----
7 4,873 3.3 1,095 0.7
06/05/12 CBT CORN U.S. 41,499 3.5 9,767 0.8 1,178,388
NON U.S. 19,473 1.7 2,542 0.2
---- --------- ---- --------- ----
11 60,972 5.2 12,309 1.0
06/05/12 CBT SOYBEANS U.S. 14,404 1.9 23,606 3.1 762,748
NON U.S. 8,218 1.1 2,477 0.3
---- --------- ---- --------- ----
9 22,622 3.0 26,083 3.4
06/05/12 CBT SOYBEAN OIL U.S. 19,920 5.0 4,114 1.0 395,897
NON U.S. 4,801 1.2 556 0.1
---- --------- ---- --------- ----
6 24,721 6.2 4,670 1.2
06/05/12 CBT U.S. TREASURY BONDS U.S. 5 666 0.1 9,239 1.3 705,472
NON U.S. 5 8,731 1.2 6,712 1.0
---- --------- ---- --------- ----
10 9,397 1.3 15,951 2.3
06/05/12 NYME MINI EUR 3.5%FOIL RTD CAL SWAP U.S. 84 1.4 1,374 22.7 6,062
NON U.S. 265 4.4 659 10.9
---- --------- ---- --------- ----
5 349 5.8 2,033 33.5
06/05/12 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 21,114 6.7 2,684 0.8 316,412
NON U.S. 4,015 1.3 49 0.0
---- --------- ---- --------- ----
6 25,129 7.9 2,733 0.9
06/05/12 NYME GASOIL (ICE) MINI CAL SWAP U.S. 483 20.9 15 0.7 2,307
NON U.S. 504 21.8 262 11.4
---- --------- ---- --------- ----
5 987 42.8 277 12.0
06/05/12 NYME NATURAL GAS U.S. 29,747 2.5 19,657 1.6 1,206,991
NON U.S. 21,206 1.8 612 0.1
---- --------- ---- --------- ----
9 50,953 4.2 20,269 1.7
06/05/12 CBT SOYBEAN MEAL U.S. 6,301 2.7 1 0.0 237,205
NON U.S. 1,480 0.6 1,415 0.6
---- --------- ---- --------- ----
5 7,781 3.3 1,416 0.6
06/05/12 ICUS COTTON NO. 2 U.S. 8,314 4.1 6 0.0 201,644
NON U.S. 4,253 2.1 3,817 1.9
---- --------- ---- --------- ----
11 12,567 6.2 3,823 1.9
06/05/12 NYME NW PIPE ROCKIES BASIS SWAP U.S. 400 1.0 2,575 6.3 41,080
NON U.S. 3,696 9.0 62 0.2
---- --------- ---- --------- ----
5 4,096 10.0 2,637 6.4
06/05/12 NYME HENRY HUB SWAP U.S. 131,358 4.9 263,591 9.8 2,686,356
NON U.S. 16,352 0.6 187,442 7.0
---- --------- ---- --------- ----
9 147,710 5.5 451,033 16.8
06/05/12 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 93,365 7.3 39,947 3.1 1,287,643
NON U.S. 44,469 3.5 10,895 0.8
---- --------- ---- --------- ----
9 137,834 10.7 50,842 3.9
06/05/12 CBT 2-YEAR U.S. TREASURY NOTES U.S. 5 34,518 3.5 84 0.0 974,385
NON U.S. 13 20,312 2.1 11,824 1.2
---- --------- ---- --------- ----
18 54,830 5.6 11,908 1.2
06/05/12 CBT 10-YEAR U.S. TREASURY NOTES U.S. 7 27,142 1.4 72,379 3.9 1,875,549
NON U.S. 22 51,026 2.7 42,561 2.3
---- --------- ---- --------- ----
29 78,168 4.2 114,940 6.1
06/05/12 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 78,051 6.4 12,621 1.0 1,229,067
NON U.S. 10 7,590 0.6 22,287 1.8
---- --------- ---- --------- ----
15 85,641 7.0 34,908 2.8
06/05/12 CBT 30-DAY FEDERAL FUNDS U.S. 6 30,324 6.1 40,954 8.3 494,175
NON U.S. 11 35,275 7.1 43,864 8.9
---- --------- ---- --------- ----
17 65,599 13.3 84,818 17.2
06/05/12 CME LEAN HOGS U.S. 8,042 3.0 2,716 1.0 269,249
NON U.S. 3,245 1.2 1,124 0.4
---- --------- ---- --------- ----
5 11,287 4.2 3,840 1.4
06/05/12 CME LIVE CATTLE U.S. 8,989 2.8 466 0.1 326,300
NON U.S. 3,714 1.1 330 0.1
---- --------- ---- --------- ----
6 12,703 3.9 796 0.2
06/05/12 NYME CRUDE OIL, LIGHT SWEET U.S. 65,247 4.5 110,536 7.6 1,456,604
NON U.S. 32,201 2.2 149,321 10.3
---- --------- ---- --------- ----
18 97,448 6.7 259,857 17.8
06/05/12 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 14,741 7.5 37,261 18.9 196,632
NON U.S. 14,048 7.1 33,138 16.9
---- --------- ---- --------- ----
13 28,789 14.6 70,399 35.8
06/05/12 NYME WTI CRUDE OIL FINANCIAL U.S. 9,004 10.8 16,175 19.5 83,051
NON U.S. 4,846 5.8 4,160 5.0
---- --------- ---- --------- ----
7 13,850 16.7 20,335 24.5
06/05/12 NYME WTI-BRENT CALENDAR SWAP U.S. 2,220 4.3 3,185 6.2 51,720
NON U.S. 2,874 5.6 475 0.9
---- --------- ---- --------- ----
7 5,094 9.8 3,660 7.1
06/05/12 NYME BRENT (ICE) CALENDAR SWAP U.S. 5,292 9.0 2,563 4.4 58,642
NON U.S. 7,132 12.2 3,701 6.3
---- --------- ---- --------- ----
10 12,424 21.2 6,264 10.7
06/05/12 ICUS COCOA U.S. 1,507 0.8 40 0.0 190,254
NON U.S. 2,337 1.2 13,675 7.2
---- --------- ---- --------- ----
6 3,844 2.0 13,715 7.2
06/05/12 NYME PALLADIUM U.S. 488 2.1 4,061 17.9 22,719
NON U.S. 930 4.1 2,329 10.3
---- --------- ---- --------- ----
15 1,418 6.2 6,390 28.1
06/05/12 NYME PLATINUM U.S. 4 903 1.8 6,252 12.5 49,838
NON U.S. 11 2,120 4.3 5,849 11.7
---- --------- ---- --------- ----
15 3,023 6.1 12,101 24.3
06/05/12 ICUS SUGAR NO. 11 U.S. 4 15,534 2.0 4,791 0.6 775,795
NON U.S. 9 11,921 1.5 13,766 1.8
---- --------- ---- --------- ----
13 27,455 3.5 18,557 2.4
06/05/12 ICUS COFFEE C U.S. 1,578 1.0 1,400 0.9 159,364
NON U.S. 1,396 0.9 2,456 1.5
---- --------- ---- --------- ----
11 2,974 1.9 3,856 2.4
06/05/12 CMX SILVER U.S. 4 4,342 3.7 23,227 19.9 116,809
NON U.S. 12 5,717 4.9 4,505 3.9
---- --------- ---- --------- ----
16 10,059 8.6 27,732 23.7
06/05/12 CMX COPPER-GRADE #1 U.S. 13,955 8.9 2,242 1.4 156,252
NON U.S. 1,231 0.8 1,945 1.2
---- --------- ---- --------- ----
9 15,186 9.7 4,187 2.7
06/05/12 CMX GOLD U.S. 4 32,638 7.7 102,968 24.3 423,941
NON U.S. 19 9,572 2.3 54,413 12.8
---- --------- ---- --------- ----
23 42,210 10.0 157,381 37.1
06/05/12 CME RUSSIAN RUBLE U.S. 8,339 7.7 3,137 2.9 108,216
NON U.S. 68,581 63.4 66,734 61.7
---- --------- ---- --------- ----
9 76,920 71.1 69,871 64.6
06/05/12 CME CANADIAN DOLLAR U.S. 2,464 1.8 324 0.2 137,391
NON U.S. 2,159 1.6 5,153 3.8
---- --------- ---- --------- ----
5 4,623 3.4 5,477 4.0
06/05/12 CME MEXICAN PESO U.S. 15,981 8.3 13,161 6.8 192,370
NON U.S. 67,842 35.3 0 0.0
---- --------- ---- --------- ----
6 83,823 43.6 13,161 6.8
06/05/12 CME BRITISH POUND STERLING U.S. 32,610 17.7 310 0.2 184,583
NON U.S. 0 0.0 2,306 1.2
---- --------- ---- --------- ----
8 32,610 17.7 2,616 1.4
06/05/12 CME JAPANESE YEN U.S. 12,122 7.1 11,785 6.9 169,663
NON U.S. 5,927 3.5 89 0.1
---- --------- ---- --------- ----
7 18,049 10.6 11,874 7.0
06/05/12 CME EURO FX U.S. 5 52,885 13.2 3,456 0.9 401,812
NON U.S. 11 19,553 4.9 2,780 0.7
---- --------- ---- --------- ----
16 72,438 18.0 6,236 1.6
06/05/12 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 8,702 3.0 7,562 2.6 292,481
NON U.S. 1,569 0.5 896 0.3
---- --------- ---- --------- ----
7 10,271 3.5 8,458 2.9
06/05/12 E VIX FUTURES U.S. 0 0.0 14,808 5.3 277,015
NON U.S. 2,452 0.9 1,641 0.6
---- --------- ---- --------- ----
5 2,452 0.9 16,449 5.9
06/05/12 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2,876 2.8 0 0.0 103,532
NON U.S. 1,832 1.8 22,036 21.3
---- --------- ---- --------- ----
7 4,708 4.5 22,036 21.3
06/05/12 CME 3-MONTH EURODOLLARS U.S. 11 1,245,554 14.5 558,803 6.5 8,593,930
NON U.S. 34 307,053 3.6 599,160 7.0
---- --------- ---- --------- ----
45 1,552,607 18.1 1,157,963 13.5
06/05/12 CME S&P 500 STOCK INDEX U.S. 2,960 1.0 1,278 0.4 300,032
NON U.S. 4,881 1.6 7,673 2.6
---- --------- ---- --------- ----
8 7,841 2.6 8,951 3.0
06/05/12 CME E-MINI S&P 500 STOCK INDEX U.S. 6 53,797 1.7 47,646 1.5 3,166,379
NON U.S. 29 50,382 1.6 67,404 2.1
---- --------- ---- --------- ----
35 104,179 3.3 115,050 3.6
06/05/12 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 4 503 0.1 1,097 0.3 382,912
NON U.S. 12 15,803 4.1 17,059 4.5
---- --------- ---- --------- ----
16 16,306 4.3 18,156 4.7
06/05/12 CME AUSTRALIAN DOLLAR U.S. 9,394 5.9 999 0.6 158,833
NON U.S. 33 0.0 1,816 1.1
---- --------- ---- --------- ----
6 9,427 5.9 2,815 1.8
06/05/12 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 11,193 2.4 3,637 0.8 457,455
NON U.S. 5 2,599 0.6 1,660 0.4
---- --------- ---- --------- ----
9 13,792 3.0 5,297 1.2
06/05/12 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 0 0.0 0 0.0 68,827
NON U.S. 2,514 3.7 1,645 2.4
---- --------- ---- --------- ----
7 2,514 3.7 1,645 2.4
06/05/12 NYL MSCI EMERGING MKTS MINI INDEX U.S. 0 0.0 0 0.0 107,172
NON U.S. 7,377 6.9 9,498 8.9
---- --------- ---- --------- ----
12 7,377 6.9 9,498 8.9
06/05/12 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 1,124 3.2 688 2.0 34,952
NON U.S. 2,002 5.7 1,799 5.1
---- --------- ---- --------- ----
8 3,126 8.9 2,487 7.1
06/05/12 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 935 5.6 1,025 6.2 16,646
NON U.S. 985 5.9 0 0.0
---- --------- ---- --------- ----
6 1,920 11.5 1,025 6.2
06/05/12 NYME GASOIL CRACK SPR SWAP U.S. 306 1.0 1,776 5.9 29,863
NON U.S. 860 2.9 324 1.1
---- --------- ---- --------- ----
7 1,166 3.9 2,100 7.0