BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
10/05/10 CBT WHEAT U.S. 21,918 4.4 2,311 0.5 500,545
NON U.S. 5,483 1.1 10,919 2.2
---- --------- ---- --------- ----
13 27,401 5.5 13,230 2.6
10/05/10 CBT CORN U.S. 36,906 2.6 21,254 1.5 1,439,869
NON U.S. 4,446 0.3 1,310 0.1
---- --------- ---- --------- ----
7 41,352 2.9 22,564 1.6
10/05/10 CBT SOYBEANS U.S. 15,017 2.5 572 0.1 604,208
NON U.S. 6,873 1.1 648 0.1
---- --------- ---- --------- ----
8 21,890 3.6 1,220 0.2
10/05/10 CBT U.S. TREASURY BONDS U.S. 4 3,846 0.6 13,229 2.0 674,322
NON U.S. 8 12,988 1.9 2,623 0.4
---- --------- ---- --------- ----
12 16,834 2.5 15,852 2.4
10/05/10 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 20,464 6.1 1,405 0.4 337,021
NON U.S. 2,638 0.8 56 0.0
---- --------- ---- --------- ----
5 23,102 6.9 1,461 0.4
10/05/10 NYME NY HARBOR HEATING OIL CAL SWAP U.S. 243 0.8 3,907 12.2 31,998
NON U.S. 465 1.5 57 0.2
---- --------- ---- --------- ----
5 708 2.2 3,964 12.4
10/05/10 NYME GASOIL (ICE) SWAP U.S. 173 4.3 171 4.2 4,036
NON U.S. 126 3.1 221 5.5
---- --------- ---- --------- ----
5 299 7.4 392 9.7
10/05/10 NYME NATURAL GAS U.S. 20,046 2.5 10,795 1.4 791,682
NON U.S. 33,849 4.3 847 0.1
---- --------- ---- --------- ----
9 53,895 6.8 11,642 1.5
10/05/10 ICUS COTTON NO. 2 U.S. 372 0.2 7,218 3.1 232,633
NON U.S. 739 0.3 4,368 1.9
---- --------- ---- --------- ----
7 1,111 0.5 11,586 5.0
10/05/10 NYME HOUSTON SHIP CH BASIS SWAP U.S. 326 0.3 10,067 7.9 126,702
NON U.S. 0 0.0 15,046 11.9
---- --------- ---- --------- ----
5 326 0.3 25,113 19.8
10/05/10 NYME NW PIPE ROCKIES BASIS SWAP U.S. 3,449 3.3 5,509 5.3 103,383
NON U.S. 2,799 2.7 7,874 7.6
---- --------- ---- --------- ----
6 6,248 6.0 13,383 12.9
10/05/10 NYME PANHANDLE BASIS SWAP U.S. 24,925 15.1 5,690 3.4 165,397
NON U.S. 0 0.0 10,676 6.5
---- --------- ---- --------- ----
5 24,925 15.1 16,366 9.9
10/05/10 NYME SAN JUAN BASIS SWAP U.S. 1,804 4.7 1,986 5.1 38,598
NON U.S. 186 0.5 3,164 8.2
---- --------- ---- --------- ----
5 1,990 5.2 5,150 13.3
10/05/10 NYME HENRY HUB SWAP U.S. 4 81,384 3.1 201,609 7.6 2,660,234
NON U.S. 6 13,028 0.5 142,827 5.4
---- --------- ---- --------- ----
10 94,412 3.5 344,436 12.9
10/05/10 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 82,933 9.3 61,765 6.9 891,174
NON U.S. 46,474 5.2 6,232 0.7
---- --------- ---- --------- ----
8 129,407 14.5 67,997 7.6
10/05/10 CBT 2-YEAR U.S. TREASURY NOTES U.S. 6 30,835 4.2 18,342 2.5 733,189
NON U.S. 10 3,899 0.5 19,930 2.7
---- --------- ---- --------- ----
16 34,734 4.7 38,272 5.2
10/05/10 CBT 10-YEAR U.S. TREASURY NOTES U.S. 9 30,166 1.8 75,613 4.4 1,706,764
NON U.S. 20 27,397 1.6 44,868 2.6
---- --------- ---- --------- ----
29 57,563 3.4 120,481 7.1
10/05/10 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 44,492 4.7 47,789 5.0 946,385
NON U.S. 8 7,760 0.8 45,159 4.8
---- --------- ---- --------- ----
13 52,252 5.5 92,948 9.8
10/05/10 CBT 30-DAY FEDERAL FUNDS U.S. 7 71,509 12.3 80,803 13.9 582,320
NON U.S. 10 19,816 3.4 10,270 1.8
---- --------- ---- --------- ----
17 91,325 15.7 91,073 15.6
10/05/10 CME LEAN HOGS U.S. 5,191 2.3 0 0.0 221,845
NON U.S. 1,201 0.5 16 0.0
---- --------- ---- --------- ----
5 6,392 2.9 16 0.0
10/05/10 CME LIVE CATTLE U.S. 7,098 2.2 820 0.3 322,975
NON U.S. 1,528 0.5 274 0.1
---- --------- ---- --------- ----
6 8,626 2.7 1,094 0.3
10/05/10 NYME CRUDE OIL, LIGHT SWEET U.S. 19,798 1.4 100,832 7.2 1,407,933
NON U.S. 19,465 1.4 87,131 6.2
---- --------- ---- --------- ----
15 39,263 2.8 187,963 13.4
10/05/10 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 19,389 8.3 35,131 15.1 232,530
NON U.S. 7 26,973 11.6 13,325 5.7
---- --------- ---- --------- ----
11 46,362 19.9 48,456 20.8
10/05/10 NYME WTI CRUDE OIL FINANCIAL U.S. 15,737 14.9 9,281 8.8 105,298
NON U.S. 4,326 4.1 206 0.2
---- --------- ---- --------- ----
8 20,063 19.1 9,487 9.0
10/05/10 NYME BRENT (ICE) CALENDAR SWAP U.S. 2,368 3.7 11,695 18.2 64,165
NON U.S. 2,082 3.2 1,144 1.8
---- --------- ---- --------- ----
5 4,450 6.9 12,839 20.0
10/05/10 NYME PALLADIUM U.S. 40 0.2 5,380 22.1 24,364
NON U.S. 347 1.4 1,505 6.2
---- --------- ---- --------- ----
10 387 1.6 6,885 28.3
10/05/10 NYME PLATINUM U.S. 4 359 0.9 4,547 11.9 38,336
NON U.S. 6 958 2.5 2,725 7.1
---- --------- ---- --------- ----
10 1,317 3.4 7,272 19.0
10/05/10 ICUS SUGAR NO. 11 U.S. 10,097 1.7 8,470 1.5 578,944
NON U.S. 3,838 0.7 11,627 2.0
---- --------- ---- --------- ----
7 13,935 2.4 20,097 3.5
10/05/10 ICUS COFFEE C U.S. 1,399 1.1 1,566 1.2 132,541
NON U.S. 421 0.3 3,695 2.8
---- --------- ---- --------- ----
8 1,820 1.4 5,261 4.0
10/05/10 CMX SILVER U.S. 687 0.4 30,442 19.5 156,096
NON U.S. 2,214 1.4 2,926 1.9
---- --------- ---- --------- ----
12 2,901 1.9 33,368 21.4
10/05/10 CMX COPPER-GRADE #1 U.S. 5,899 3.8 1,061 0.7 153,457
NON U.S. 1,105 0.7 120 0.1
---- --------- ---- --------- ----
8 7,004 4.6 1,181 0.8
10/05/10 CMX GOLD U.S. 4 26,121 4.2 130,207 21.1 617,204
NON U.S. 15 11,187 1.8 34,841 5.6
---- --------- ---- --------- ----
19 37,308 6.0 165,048 26.7
10/05/10 CME CANADIAN DOLLAR U.S. 106 0.1 17,232 14.4 120,045
NON U.S. 0 0.0 2,135 1.8
---- --------- ---- --------- ----
7 106 0.1 19,367 16.1
10/05/10 CME SWISS FRANC U.S. 0 0.0 8,998 15.9 56,636
NON U.S. 0 0.0 3,919 6.9
---- --------- ---- --------- ----
5 0 0.0 12,917 22.8
10/05/10 CME MEXICAN PESO U.S. 267 0.2 56,146 40.2 139,575
NON U.S. 5,309 3.8 230 0.2
---- --------- ---- --------- ----
8 5,576 4.0 56,376 40.4
10/05/10 CME BRITISH POUND STERLING U.S. 3,015 3.5 4,168 4.8 86,536
NON U.S. 310 0.4 319 0.4
---- --------- ---- --------- ----
6 3,325 3.8 4,487 5.2
10/05/10 CME JAPANESE YEN U.S. 4 6 0.0 24,822 17.4 142,488
NON U.S. 6 5,462 3.8 3,180 2.2
---- --------- ---- --------- ----
10 5,468 3.8 28,002 19.7
10/05/10 CME EURO FX U.S. 4 19,715 10.0 3,673 1.9 197,406
NON U.S. 10 7,182 3.6 2,461 1.2
---- --------- ---- --------- ----
14 26,897 13.6 6,134 3.1
10/05/10 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 4,902 1.9 2,990 1.2 259,571
NON U.S. 828 0.3 375 0.1
---- --------- ---- --------- ----
7 5,730 2.2 3,365 1.3
10/05/10 CME NEW ZEALAND DOLLAR U.S. 0 0.0 2,645 10.2 26,042
NON U.S. 0 0.0 47 0.2
---- --------- ---- --------- ----
5 0 0.0 2,692 10.3
10/05/10 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2,353 2.4 1,112 1.1 98,014
NON U.S. 2,561 2.6 5,083 5.2
---- --------- ---- --------- ----
8 4,914 5.0 6,195 6.3
10/05/10 CME 3-MONTH EURODOLLARS U.S. 13 1,175,148 15.1 1,566,216 20.2 7,769,907
NON U.S. 34 327,310 4.2 614,033 7.9
---- --------- ---- --------- ----
47 1,502,458 19.3 2,180,249 28.1
10/05/10 CME S&P 500 STOCK INDEX U.S. 4 4,780 1.6 0 0.0 301,055
NON U.S. 9 3,657 1.2 6,153 2.0
---- --------- ---- --------- ----
13 8,437 2.8 6,153 2.0
10/05/10 CME E-MINI S&P 500 STOCK INDEX U.S. 8 28,417 1.1 4,703 0.2 2,643,979
NON U.S. 24 22,035 0.8 55,333 2.1
---- --------- ---- --------- ----
32 50,452 1.9 60,036 2.3
10/05/10 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 7 2,760 0.6 1,164 0.3 459,878
NON U.S. 12 8,739 1.9 4,911 1.1
---- --------- ---- --------- ----
19 11,499 2.5 6,075 1.3
10/05/10 CME AUSTRALIAN DOLLAR U.S. 2 0.0 17,880 12.8 139,447
NON U.S. 1,271 0.9 2,104 1.5
---- --------- ---- --------- ----
7 1,273 0.9 19,984 14.3
10/05/10 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 612 0.2 4,727 1.2 395,167
NON U.S. 2,454 0.6 869 0.2
---- --------- ---- --------- ----
10 3,066 0.8 5,596 1.4
10/05/10 CME NIKKEI STOCK AVERAGE U.S. 0 0.0 609 1.9 32,389
NON U.S. 1,533 4.7 500 1.5
---- --------- ---- --------- ----
9 1,533 4.7 1,109 3.4
10/05/10 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 450 1.1 0 0.0 40,795
NON U.S. 489 1.2 7,720 18.9
---- --------- ---- --------- ----
6 939 2.3 7,720 18.9
10/05/10 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 5,224 21.5 778 3.2 24,285
NON U.S. 1,014 4.2 0 0.0
---- --------- ---- --------- ----
5 6,238 25.7 778 3.2