BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
11/06/12 CBT WHEAT U.S. 25,134 5.4 10,189 2.2 466,690
NON U.S. 9,674 2.1 8,591 1.8
---- --------- ---- --------- ----
12 34,808 7.5 18,780 4.0
11/06/12 KCBT WHEAT U.S. 3,152 1.9 677 0.4 170,018
NON U.S. 1,727 1.0 3,448 2.0
---- --------- ---- --------- ----
5 4,879 2.9 4,125 2.4
11/06/12 CBT CORN U.S. 43,788 3.4 12,092 0.9 1,286,309
NON U.S. 17,028 1.3 1,757 0.1
---- --------- ---- --------- ----
10 60,816 4.7 13,849 1.1
11/06/12 CBT SOYBEANS U.S. 13,849 2.2 35,264 5.7 620,361
NON U.S. 5,539 0.9 7,624 1.2
---- --------- ---- --------- ----
10 19,388 3.1 42,888 6.9
11/06/12 CBT SOYBEAN OIL U.S. 14,434 4.0 3,557 1.0 364,993
NON U.S. 4,031 1.1 623 0.2
---- --------- ---- --------- ----
5 18,465 5.1 4,180 1.1
11/06/12 CBT U.S. TREASURY BONDS U.S. 5 5,712 1.0 2,748 0.5 555,028
NON U.S. 5 4,921 0.9 9,522 1.7
---- --------- ---- --------- ----
10 10,633 1.9 12,270 2.2
11/06/12 NYME GULF # 6 FUEL 3.0% SULFUR SWAP U.S. 1,573 3.7 967 2.2 43,055
NON U.S. 326 0.8 310 0.7
---- --------- ---- --------- ----
5 1,899 4.4 1,277 3.0
11/06/12 NYME MINI EUR 3.5%FOIL RTD CAL SWAP U.S. 3,183 35.5 649 7.2 8,973
NON U.S. 1,180 13.2 358 4.0
---- --------- ---- --------- ----
5 4,363 48.6 1,007 11.2
11/06/12 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 18,067 5.9 4,194 1.4 307,659
NON U.S. 3,800 1.2 113 0.0
---- --------- ---- --------- ----
6 21,867 7.1 4,307 1.4
11/06/12 NYME GULF COAST ULSD SWAP U.S. 1,238 6.4 1,990 10.4 19,214
NON U.S. 365 1.9 276 1.4
---- --------- ---- --------- ----
5 1,603 8.3 2,266 11.8
11/06/12 NYME UP DOWN GC ULSD VS HO SPR SWAP U.S. 2,541 6.6 180 0.5 38,529
NON U.S. 1,035 2.7 0 0.0
---- --------- ---- --------- ----
5 3,576 9.3 180 0.5
11/06/12 IFED NATURAL GAS ICE HENRY HUB U.S. 126,237 2.5 558,261 11.0 5,082,421
NON U.S. 28,951 0.6 402,681 7.9
---- --------- ---- --------- ----
11 155,188 3.1 960,942 18.9
11/06/12 IFED NATURAL GAS PENULTIMATE ICE U.S. 158,983 17.7 80,982 9.0 899,583
NON U.S. 16,956 1.9 9,343 1.0
---- --------- ---- --------- ----
6 175,939 19.6 90,325 10.0
11/06/12 IFED NWP ROCKIES FIN BASIS U.S. 506 0.2 7,766 3.5 219,483
NON U.S. 4,836 2.2 23,656 10.8
---- --------- ---- --------- ----
7 5,342 2.4 31,422 14.3
11/06/12 IFED AECO FIN BASIS U.S. 1,792 0.3 427 0.1 691,796
NON U.S. 42,985 6.2 225,296 32.6
---- --------- ---- --------- ----
8 44,777 6.5 225,723 32.6
11/06/12 IFED HSC FIN BASIS U.S. 0 0.0 9,172 3.7 249,976
NON U.S. 0 0.0 13,256 5.3
---- --------- ---- --------- ----
5 0 0.0 22,428 9.0
11/06/12 IFED COLORADO INTERSTATE GAS COMPANY - MAINLINE (BASIS SWAP)
U.S. 1,126 1.7 7,554 11.6 64,844
NON U.S. 88 0.1 6,194 9.6
---- --------- ---- --------- ----
5 1,214 1.9 13,748 21.2
11/06/12 IFED PANHANDLE EASTERN PIPE LINE CO. - POOL GAS (BASIS SWAP)
U.S. 180 0.1 27,680 11.8 234,615
NON U.S. 152 0.1 10,316 4.4
---- --------- ---- --------- ----
5 332 0.1 37,996 16.2
11/06/12 NYME NATURAL GAS U.S. 30,560 2.6 20,661 1.8 1,175,941
NON U.S. 11,745 1.0 365 0.0
---- --------- ---- --------- ----
9 42,305 3.6 21,026 1.8
11/06/12 CBT SOYBEAN MEAL U.S. 5,013 2.2 2,647 1.2 222,845
NON U.S. 7,710 3.5 2,061 0.9
---- --------- ---- --------- ----
6 12,723 5.7 4,708 2.1
11/06/12 ICUS COTTON NO. 2 U.S. 10,119 5.0 3,532 1.7 202,043
NON U.S. 5,191 2.6 193 0.1
---- --------- ---- --------- ----
9 15,310 7.6 3,725 1.8
11/06/12 NYME NW PIPE ROCKIES BASIS SWAP U.S. 1,500 4.0 1,894 5.0 37,769
NON U.S. 3,086 8.2 0 0.0
---- --------- ---- --------- ----
5 4,586 12.1 1,894 5.0
11/06/12 NYME HENRY HUB SWAP U.S. 112,879 4.5 272,694 10.8 2,522,338
NON U.S. 18,488 0.7 181,774 7.2
---- --------- ---- --------- ----
9 131,367 5.2 454,468 18.0
11/06/12 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 71,603 7.2 35,427 3.6 991,547
NON U.S. 56,373 5.7 6,339 0.6
---- --------- ---- --------- ----
9 127,976 12.9 41,766 4.2
11/06/12 CBT 2-YEAR U.S. TREASURY NOTES U.S. 6 39,928 4.1 4,957 0.5 963,711
NON U.S. 13 16,093 1.7 28,850 3.0
---- --------- ---- --------- ----
19 56,021 5.8 33,807 3.5
11/06/12 CBT 10-YEAR U.S. TREASURY NOTES U.S. 9 36,165 2.1 38,176 2.3 1,694,764
NON U.S. 24 41,225 2.4 22,931 1.4
---- --------- ---- --------- ----
33 77,390 4.6 61,107 3.6
11/06/12 CBT 5-YEAR U.S. TREASURY NOTES U.S. 6 71,741 5.3 6,212 0.5 1,347,859
NON U.S. 12 60,196 4.5 40,279 3.0
---- --------- ---- --------- ----
18 131,937 9.8 46,491 3.4
11/06/12 CBT 30-DAY FEDERAL FUNDS U.S. 6 33,024 9.2 27,921 7.8 360,034
NON U.S. 9 25,301 7.0 31,767 8.8
---- --------- ---- --------- ----
15 58,325 16.2 59,688 16.6
11/06/12 CME LEAN HOGS U.S. 8,273 3.9 54 0.0 214,648
NON U.S. 3,425 1.6 158 0.1
---- --------- ---- --------- ----
6 11,698 5.4 212 0.1
11/06/12 CME LIVE CATTLE U.S. 9,827 3.1 274 0.1 316,317
NON U.S. 3,753 1.2 0 0.0
---- --------- ---- --------- ----
6 13,580 4.3 274 0.1
11/06/12 NYME CRUDE OIL, LIGHT SWEET U.S. 53,122 3.3 131,553 8.1 1,614,897
NON U.S. 29,351 1.8 151,194 9.4
---- --------- ---- --------- ----
17 82,473 5.1 282,747 17.5
11/06/12 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 12,958 7.5 34,468 20.0 172,513
NON U.S. 17,315 10.0 30,288 17.6
---- --------- ---- --------- ----
14 30,273 17.5 64,756 37.5
11/06/12 NYME WTI CRUDE OIL FINANCIAL U.S. 12,331 13.6 23,969 26.5 90,474
NON U.S. 4,721 5.2 3,910 4.3
---- --------- ---- --------- ----
7 17,052 18.8 27,879 30.8
11/06/12 NYME WTI-BRENT CALENDAR SWAP U.S. 2,220 4.4 2,726 5.4 50,824
NON U.S. 2,394 4.7 4,192 8.2
---- --------- ---- --------- ----
8 4,614 9.1 6,918 13.6
11/06/12 NYME DATED TO FRONTLINE BRENT SWAP U.S. 520 6.2 950 11.4 8,358
NON U.S. 749 9.0 2,410 28.8
---- --------- ---- --------- ----
5 1,269 15.2 3,360 40.2
11/06/12 NYME BRENT (ICE) CALENDAR SWAP U.S. 4,449 7.8 5,266 9.3 56,805
NON U.S. 9,200 16.2 3,124 5.5
---- --------- ---- --------- ----
11 13,649 24.0 8,390 14.8
11/06/12 ICUS COCOA U.S. 1,965 1.0 384 0.2 193,492
NON U.S. 1,752 0.9 12,376 6.4
---- --------- ---- --------- ----
6 3,717 1.9 12,760 6.6
11/06/12 NYME PALLADIUM U.S. 0 0.0 4,138 19.1 21,665
NON U.S. 1,457 6.7 1,981 9.1
---- --------- ---- --------- ----
16 1,457 6.7 6,119 28.2
11/06/12 NYME PLATINUM U.S. 4 267 0.4 17,577 29.2 60,132
NON U.S. 13 2,096 3.5 6,933 11.5
---- --------- ---- --------- ----
17 2,363 3.9 24,510 40.8
11/06/12 ICUS SUGAR NO. 11 U.S. 30,807 4.3 3,944 0.6 716,401
NON U.S. 14,256 2.0 11,136 1.6
---- --------- ---- --------- ----
11 45,063 6.3 15,080 2.1
11/06/12 ICUS COFFEE C U.S. 5,809 3.8 1,423 0.9 152,787
NON U.S. 2,696 1.8 1,761 1.2
---- --------- ---- --------- ----
13 8,505 5.6 3,184 2.1
11/06/12 CMX SILVER U.S. 4 720 0.5 35,972 25.8 139,313
NON U.S. 15 13,302 9.5 27,588 19.8
---- --------- ---- --------- ----
19 14,022 10.1 63,560 45.6
11/06/12 CMX COPPER-GRADE #1 U.S. 14,629 9.4 1,155 0.7 155,396
NON U.S. 1,060 0.7 426 0.3
---- --------- ---- --------- ----
8 15,689 10.1 1,581 1.0
11/06/12 CMX GOLD U.S. 5 35,703 8.0 133,804 29.9 447,154
NON U.S. 21 37,503 8.4 96,939 21.7
---- --------- ---- --------- ----
26 73,206 16.4 230,743 51.6
11/06/12 CME RUSSIAN RUBLE U.S. 7,545 8.9 4,306 5.1 84,904
NON U.S. 49,984 58.9 52,996 62.4
---- --------- ---- --------- ----
10 57,529 67.8 57,302 67.5
11/06/12 CME CANADIAN DOLLAR U.S. 4,125 2.5 2,058 1.2 166,422
NON U.S. 48 0.0 8,593 5.2
---- --------- ---- --------- ----
6 4,173 2.5 10,651 6.4
11/06/12 CME SWISS FRANC U.S. 3,532 8.8 716 1.8 40,311
NON U.S. 0 0.0 7,778 19.3
---- --------- ---- --------- ----
5 3,532 8.8 8,494 21.1
11/06/12 CME MEXICAN PESO U.S. 0 0.0 7,067 3.7 189,659
NON U.S. 28,003 14.8 0 0.0
---- --------- ---- --------- ----
5 28,003 14.8 7,067 3.7
11/06/12 CME BRITISH POUND STERLING U.S. 4 2,809 1.7 18,094 11.0 164,481
NON U.S. 6 0 0.0 7,759 4.7
---- --------- ---- --------- ----
10 2,809 1.7 25,853 15.7
11/06/12 CME JAPANESE YEN U.S. 5 13,603 8.4 18,775 11.6 161,552
NON U.S. 7 3,758 2.3 2,113 1.3
---- --------- ---- --------- ----
12 17,361 10.7 20,888 12.9
11/06/12 CME EURO FX U.S. 5 15,625 6.9 2,007 0.9 227,725
NON U.S. 18 18,514 8.1 6,542 2.9
---- --------- ---- --------- ----
23 34,139 15.0 8,549 3.8
11/06/12 CME BRAZILIAN REAL U.S. 11,455 35.1 1,039 3.2 32,590
NON U.S. 142 0.4 28,798 88.4
---- --------- ---- --------- ----
7 11,597 35.6 29,837 91.6
11/06/12 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 6,832 2.6 3,107 1.2 265,501
NON U.S. 2,185 0.8 510 0.2
---- --------- ---- --------- ----
8 9,017 3.4 3,617 1.4
11/06/12 NYME RBOB CALENDAR SWAP U.S. 231 1.4 393 2.3 16,725
NON U.S. 250 1.5 0 0.0
---- --------- ---- --------- ----
5 481 2.9 393 2.3
11/06/12 E VIX FUTURES U.S. 0 0.0 4,281 1.1 384,223
NON U.S. 3,286 0.9 1,360 0.4
---- --------- ---- --------- ----
6 3,286 0.9 5,641 1.5
11/06/12 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 6,507 6.4 0 0.0 102,224
NON U.S. 558 0.5 12,398 12.1
---- --------- ---- --------- ----
7 7,065 6.9 12,398 12.1
11/06/12 CME 3-MONTH EURODOLLARS U.S. 11 764,676 9.0 722,332 8.5 8,492,632
NON U.S. 32 350,643 4.1 774,224 9.1
---- --------- ---- --------- ----
43 1,115,319 13.1 1,496,556 17.6
11/06/12 CME S&P 500 STOCK INDEX U.S. 2,150 1.0 0 0.0 208,302
NON U.S. 2,948 1.4 5,435 2.6
---- --------- ---- --------- ----
8 5,098 2.4 5,435 2.6
11/06/12 CME E-MINI S&P 500 STOCK INDEX U.S. 6 52,228 1.7 8,092 0.3 2,996,323
NON U.S. 29 39,212 1.3 38,751 1.3
---- --------- ---- --------- ----
35 91,440 3.1 46,843 1.6
11/06/12 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 1,184 0.3 0 0.0 360,969
NON U.S. 2,980 0.8 1,277 0.4
---- --------- ---- --------- ----
11 4,164 1.2 1,277 0.4
11/06/12 CME AUSTRALIAN DOLLAR U.S. 5 20,410 11.4 4,786 2.7 178,421
NON U.S. 5 2,780 1.6 8,411 4.7
---- --------- ---- --------- ----
10 23,190 13.0 13,197 7.4
11/06/12 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 1,502 0.4 2,929 0.8 366,433
NON U.S. 4 2,104 0.6 280 0.1
---- --------- ---- --------- ----
8 3,606 1.0 3,209 0.9
11/06/12 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 0 0.0 390 1.2 32,596
NON U.S. 1,762 5.4 4,867 14.9
---- --------- ---- --------- ----
8 1,762 5.4 5,257 16.1
11/06/12 NYL MSCI EMERGING MKTS MINI INDEX U.S. 0 0.0 0 0.0 116,743
NON U.S. 5,524 4.7 3,156 2.7
---- --------- ---- --------- ----
12 5,524 4.7 3,156 2.7
11/06/12 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 1,222 2.0 1,447 2.4 61,165
NON U.S. 4,441 7.3 2,256 3.7
---- --------- ---- --------- ----
8 5,663 9.3 3,703 6.1
11/06/12 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 430 3.4 330 2.6 12,569
NON U.S. 1,376 10.9 0 0.0
---- --------- ---- --------- ----
5 1,806 14.4 330 2.6
11/06/12 NYME GASOIL CRACK SPR SWAP U.S. 318 1.6 568 2.8 20,061
NON U.S. 554 2.8 118 0.6
---- --------- ---- --------- ----
7 872 4.3 686 3.4
11/06/12 NYME EUROBOB OXY NWE CRK SPR U.S. 957 3.7 888 3.5 25,544
NON U.S. 126 0.5 415 1.6
---- --------- ---- --------- ----
5 1,083 4.2 1,303 5.1