BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
02/05/13 CBT WHEAT U.S. 21,925 4.7 4,758 1.0 467,801
NON U.S. 12,104 2.6 8,983 1.9
---- --------- ---- --------- ----
12 34,029 7.3 13,741 2.9
02/05/13 KCBT WHEAT U.S. 7,179 3.9 87 0.0 186,194
NON U.S. 2,432 1.3 4,060 2.2
---- --------- ---- --------- ----
6 9,611 5.2 4,147 2.2
02/05/13 CBT CORN U.S. 40,318 3.1 14,545 1.1 1,282,117
NON U.S. 16,378 1.3 3,167 0.2
---- --------- ---- --------- ----
12 56,696 4.4 17,712 1.4
02/05/13 CBT SOYBEANS U.S. 3,628 0.6 20,970 3.4 607,911
NON U.S. 7,621 1.3 11,564 1.9
---- --------- ---- --------- ----
11 11,249 1.9 32,534 5.4
02/05/13 CBT SOYBEAN OIL U.S. 11,997 3.7 2,831 0.9 328,213
NON U.S. 3,516 1.1 2,140 0.7
---- --------- ---- --------- ----
5 15,513 4.7 4,971 1.5
02/05/13 CBT U.S. TREASURY BONDS U.S. 3,220 0.5 1,332 0.2 586,451
NON U.S. 0 0.0 12,361 2.1
---- --------- ---- --------- ----
8 3,220 0.5 13,693 2.3
02/05/13 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 13,571 4.4 1,123 0.4 311,647
NON U.S. 1,994 0.6 0 0.0
---- --------- ---- --------- ----
5 15,565 5.0 1,123 0.4
02/05/13 NYME GULF COAST ULSD SWAP U.S. 887 4.8 1,415 7.7 18,382
NON U.S. 355 1.9 160 0.9
---- --------- ---- --------- ----
5 1,242 6.8 1,575 8.6
02/05/13 NYME UP DOWN GC ULSD VS HO SPR SWAP U.S. 1,566 4.0 75 0.2 38,830
NON U.S. 400 1.0 0 0.0
---- --------- ---- --------- ----
5 1,966 5.1 75 0.2
02/05/13 IFED NATURAL GAS ICE HENRY HUB U.S. 87,909 1.7 528,509 10.4 5,099,569
NON U.S. 42,768 0.8 501,120 9.8
---- --------- ---- --------- ----
11 130,677 2.6 1,029,629 20.2
02/05/13 IFED NATURAL GAS PENULTIMATE ICE U.S. 149,324 16.1 53,089 5.7 929,173
NON U.S. 19,376 2.1 10,008 1.1
---- --------- ---- --------- ----
7 168,700 18.2 63,097 6.8
02/05/13 IFED SOCAL BORDER FIN BASIS U.S. 4,991 1.8 4,132 1.5 272,198
NON U.S. 1,499 0.6 766 0.3
---- --------- ---- --------- ----
5 6,490 2.4 4,898 1.8
02/05/13 IFED NWP ROCKIES FIN BASIS U.S. 214 0.1 9,685 4.4 219,537
NON U.S. 4,944 2.3 20,935 9.5
---- --------- ---- --------- ----
7 5,158 2.3 30,620 13.9
02/05/13 IFED AECO FIN BASIS U.S. 2,717 0.4 244 0.0 749,551
NON U.S. 48,013 6.4 276,212 36.9
---- --------- ---- --------- ----
8 50,730 6.8 276,456 36.9
02/05/13 IFED HSC FIN BASIS U.S. 0 0.0 12,934 6.6 196,429
NON U.S. 0 0.0 13,386 6.8
---- --------- ---- --------- ----
5 0 0.0 26,320 13.4
02/05/13 IFED NORTHWEST PIPELINE CORP. - CANADIAN BORDER (BASIS SWAP)
U.S. 0 0.0 0 0.0 75,092
NON U.S. 3,085 4.1 31 0.0
---- --------- ---- --------- ----
5 3,085 4.1 31 0.0
02/05/13 IFED PANHANDLE EASTERN PIPE LINE CO. - POOL GAS (BASIS SWAP)
U.S. 0 0.0 25,403 10.1 251,293
NON U.S. 519 0.2 9,659 3.8
---- --------- ---- --------- ----
5 519 0.2 35,062 14.0
02/05/13 NYME NATURAL GAS U.S. 31,362 2.6 18,603 1.5 1,201,259
NON U.S. 18,319 1.5 1,009 0.1
---- --------- ---- --------- ----
11 49,681 4.1 19,612 1.6
02/05/13 CBT SOYBEAN MEAL U.S. 11,987 4.1 3,088 1.1 293,791
NON U.S. 13,112 4.5 2,055 0.7
---- --------- ---- --------- ----
8 25,099 8.5 5,143 1.8
02/05/13 ICUS COTTON NO. 2 U.S. 11,075 5.2 0 0.0 212,738
NON U.S. 5,620 2.6 2,041 1.0
---- --------- ---- --------- ----
11 16,695 7.8 2,041 1.0
02/05/13 NYME HENRY HUB SWAP U.S. 69,525 2.9 249,559 10.6 2,363,059
NON U.S. 19,950 0.8 184,977 7.8
---- --------- ---- --------- ----
9 89,475 3.8 434,536 18.4
02/05/13 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 58,727 6.5 32,746 3.6 905,617
NON U.S. 49,295 5.4 5,834 0.6
---- --------- ---- --------- ----
9 108,022 11.9 38,580 4.3
02/05/13 CBT 2-YEAR U.S. TREASURY NOTES U.S. 7 27,689 2.6 35,848 3.4 1,057,234
NON U.S. 14 18,730 1.8 23,624 2.2
---- --------- ---- --------- ----
21 46,419 4.4 59,472 5.6
02/05/13 CBT 10-YEAR U.S. TREASURY NOTES U.S. 8 27,669 1.4 44,411 2.2 2,032,227
NON U.S. 23 33,967 1.7 117,186 5.8
---- --------- ---- --------- ----
31 61,636 3.0 161,597 8.0
02/05/13 CBT 5-YEAR U.S. TREASURY NOTES U.S. 6 60,049 3.8 3,822 0.2 1,566,469
NON U.S. 16 88,348 5.6 69,586 4.4
---- --------- ---- --------- ----
22 148,397 9.5 73,408 4.7
02/05/13 CBT 30-DAY FEDERAL FUNDS U.S. 6 23,849 7.4 45,755 14.2 321,671
NON U.S. 10 21,353 6.6 27,599 8.6
---- --------- ---- --------- ----
16 45,202 14.1 73,354 22.8
02/05/13 CME LEAN HOGS U.S. 7,559 3.2 24 0.0 235,353
NON U.S. 4,750 2.0 159 0.1
---- --------- ---- --------- ----
6 12,309 5.2 183 0.1
02/05/13 CME LIVE CATTLE U.S. 9,172 2.8 355 0.1 330,758
NON U.S. 5,329 1.6 97 0.0
---- --------- ---- --------- ----
6 14,501 4.4 452 0.1
02/05/13 NYME CRUDE OIL, LIGHT SWEET U.S. 42,420 2.7 136,599 8.6 1,594,844
NON U.S. 24,924 1.6 203,268 12.7
---- --------- ---- --------- ----
18 67,344 4.2 339,867 21.3
02/05/13 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 11,392 6.9 34,264 20.6 166,295
NON U.S. 16,833 10.1 29,554 17.8
---- --------- ---- --------- ----
13 28,225 17.0 63,818 38.4
02/05/13 NYME DATED BRENT CALENDAR SWAP U.S. 1,665 36.8 310 6.9 4,520
NON U.S. 216 4.8 596 13.2
---- --------- ---- --------- ----
5 1,881 41.6 906 20.0
02/05/13 NYME WTI-BRENT CALENDAR SWAP U.S. 2,130 4.2 2,810 5.6 50,614
NON U.S. 1,295 2.6 3,947 7.8
---- --------- ---- --------- ----
6 3,425 6.8 6,757 13.4
02/05/13 NYME DATED TO FRONTLINE BRENT SWAP U.S. 515 5.6 1,090 11.8 9,259
NON U.S. 409 4.4 2,385 25.8
---- --------- ---- --------- ----
6 924 10.0 3,475 37.5
02/05/13 NYME BRENT (ICE) CALENDAR SWAP U.S. 1,528 3.5 4,836 11.1 43,574
NON U.S. 8,055 18.5 3,169 7.3
---- --------- ---- --------- ----
11 9,583 22.0 8,005 18.4
02/05/13 NYME BRENT CRUDE OIL LAST DAY U.S. 1,769 5.6 550 1.8 31,381
NON U.S. 150 0.5 254 0.8
---- --------- ---- --------- ----
5 1,919 6.1 804 2.6
02/05/13 ICUS COCOA U.S. 2,904 1.4 414 0.2 202,479
NON U.S. 2,143 1.1 12,379 6.1
---- --------- ---- --------- ----
7 5,047 2.5 12,793 6.3
02/05/13 NYME PALLADIUM U.S. 0 0.0 9,373 24.9 37,627
NON U.S. 991 2.6 4,294 11.4
---- --------- ---- --------- ----
17 991 2.6 13,667 36.3
02/05/13 NYME PLATINUM U.S. 168 0.2 19,274 26.8 71,955
NON U.S. 2,124 3.0 7,012 9.7
---- --------- ---- --------- ----
17 2,292 3.2 26,286 36.5
02/05/13 ICUS SUGAR NO. 11 U.S. 36,470 4.3 2,227 0.3 841,251
NON U.S. 14,390 1.7 10,486 1.2
---- --------- ---- --------- ----
11 50,860 6.0 12,713 1.5
02/05/13 ICUS COFFEE C U.S. 7,051 4.3 1 0.0 162,774
NON U.S. 3,001 1.8 1,468 0.9
---- --------- ---- --------- ----
12 10,052 6.2 1,469 0.9
02/05/13 CMX SILVER U.S. 1,292 0.9 41,484 27.4 151,512
NON U.S. 15,164 10.0 30,534 20.2
---- --------- ---- --------- ----
17 16,456 10.9 72,018 47.5
02/05/13 CMX COPPER-GRADE #1 U.S. 14,911 8.1 3,693 2.0 183,941
NON U.S. 2,879 1.6 1,841 1.0
---- --------- ---- --------- ----
14 17,790 9.7 5,534 3.0
02/05/13 CMX GOLD U.S. 4 37,677 8.9 106,977 25.2 423,982
NON U.S. 20 30,272 7.1 79,006 18.6
---- --------- ---- --------- ----
24 67,949 16.0 185,983 43.9
02/05/13 CME RUSSIAN RUBLE U.S. 7,539 10.1 3,865 5.2 74,813
NON U.S. 37,520 50.2 39,947 53.4
---- --------- ---- --------- ----
10 45,059 60.2 43,812 58.6
02/05/13 CME CANADIAN DOLLAR U.S. 12,177 8.6 0 0.0 141,807
NON U.S. 3,687 2.6 4,975 3.5
---- --------- ---- --------- ----
7 15,864 11.2 4,975 3.5
02/05/13 CME SWISS FRANC U.S. 0 0.0 1,643 3.8 43,585
NON U.S. 646 1.5 9,090 20.9
---- --------- ---- --------- ----
7 646 1.5 10,733 24.6
02/05/13 CME MEXICAN PESO U.S. 0 0.0 7,570 4.2 181,131
NON U.S. 9,746 5.4 644 0.4
---- --------- ---- --------- ----
6 9,746 5.4 8,214 4.5
02/05/13 CME BRITISH POUND STERLING U.S. 6 7,901 4.8 27,731 16.8 165,369
NON U.S. 6 1,794 1.1 3,479 2.1
---- --------- ---- --------- ----
12 9,695 5.9 31,210 18.9
02/05/13 CME JAPANESE YEN U.S. 4 17,950 8.2 4,032 1.9 217,709
NON U.S. 6 31,387 14.4 3,255 1.5
---- --------- ---- --------- ----
10 49,337 22.7 7,287 3.3
02/05/13 CME EURO FX U.S. 4 736 0.3 3,440 1.4 251,236
NON U.S. 13 9,817 3.9 3,223 1.3
---- --------- ---- --------- ----
17 10,553 4.2 6,663 2.7
02/05/13 CME BRAZILIAN REAL U.S. 12,333 33.7 3,514 9.6 36,636
NON U.S. 200 0.5 28,464 77.7
---- --------- ---- --------- ----
6 12,533 34.2 31,978 87.3
02/05/13 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 8,934 2.8 4,238 1.3 319,552
NON U.S. 2,547 0.8 700 0.2
---- --------- ---- --------- ----
8 11,481 3.6 4,938 1.5
02/05/13 NYME RBOB CALENDAR SWAP U.S. 114 1.4 541 6.8 7,932
NON U.S. 67 0.8 40 0.5
---- --------- ---- --------- ----
5 181 2.3 581 7.3
02/05/13 E VIX FUTURES U.S. 2,024 0.5 3,558 0.8 429,820
NON U.S. 3,052 0.7 1,855 0.4
---- --------- ---- --------- ----
6 5,076 1.2 5,413 1.3
02/05/13 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 3,019 2.6 0 0.0 117,218
NON U.S. 887 0.8 1,743 1.5
---- --------- ---- --------- ----
8 3,906 3.3 1,743 1.5
02/05/13 CME 3-MONTH EURODOLLARS U.S. 10 900,128 10.4 749,097 8.6 8,688,167
NON U.S. 28 342,424 3.9 735,182 8.5
---- --------- ---- --------- ----
38 1,242,552 14.3 1,484,279 17.1
02/05/13 CME S&P 500 STOCK INDEX U.S. 1,896 0.9 0 0.0 207,632
NON U.S. 2,307 1.1 3,001 1.4
---- --------- ---- --------- ----
5 4,203 2.0 3,001 1.4
02/05/13 CME E-MINI S&P 500 STOCK INDEX U.S. 6 79,160 2.6 4,275 0.1 3,001,463
NON U.S. 24 42,035 1.4 32,208 1.1
---- --------- ---- --------- ----
30 121,195 4.0 36,483 1.2
02/05/13 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 1,741 0.5 0 0.0 335,692
NON U.S. 738 0.2 5,369 1.6
---- --------- ---- --------- ----
11 2,479 0.7 5,369 1.6
02/05/13 CME AUSTRALIAN DOLLAR U.S. 4 7,873 4.4 2,693 1.5 180,781
NON U.S. 4 2,452 1.4 14,455 8.0
---- --------- ---- --------- ----
8 10,325 5.7 17,148 9.5
02/05/13 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 1,213 0.3 3,541 1.0 361,902
NON U.S. 3,331 0.9 0 0.0
---- --------- ---- --------- ----
7 4,544 1.3 3,541 1.0
02/05/13 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 0 0.0 0 0.0 77,012
NON U.S. 1,277 1.7 2,329 3.0
---- --------- ---- --------- ----
7 1,277 1.7 2,329 3.0
02/05/13 NYL MSCI EMERGING MKTS MINI INDEX U.S. 494 0.3 0 0.0 181,184
NON U.S. 5,980 3.3 4,499 2.5
---- --------- ---- --------- ----
15 6,474 3.6 4,499 2.5
02/05/13 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 1,644 3.4 345 0.7 48,042
NON U.S. 4,279 8.9 1,466 3.1
---- --------- ---- --------- ----
6 5,923 12.3 1,811 3.8
02/05/13 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 105 1.4 90 1.2 7,634
NON U.S. 1,555 20.4 0 0.0
---- --------- ---- --------- ----
5 1,660 21.7 90 1.2
02/05/13 NYME EUROBOB OXY NWE CRK SPR U.S. 437 1.4 889 2.9 30,748
NON U.S. 67 0.2 339 1.1
---- --------- ---- --------- ----
5 504 1.6 1,228 4.0