BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
08/07/12 CBT WHEAT U.S. 13,960 3.0 6,364 1.4 463,143
NON U.S. 11,352 2.5 7,449 1.6
---- --------- ---- --------- ----
11 25,312 5.5 13,813 3.0
08/07/12 KCBT WHEAT U.S. 2,407 1.5 14 0.0 156,676
NON U.S. 2,005 1.3 3,876 2.5
---- --------- ---- --------- ----
6 4,412 2.8 3,890 2.5
08/07/12 CBT CORN U.S. 25,450 2.1 14,060 1.2 1,187,048
NON U.S. 18,170 1.5 1,135 0.1
---- --------- ---- --------- ----
10 43,620 3.7 15,195 1.3
08/07/12 CBT SOYBEANS U.S. 9,891 1.3 43,209 5.7 752,907
NON U.S. 3,425 0.5 2,346 0.3
---- --------- ---- --------- ----
9 13,316 1.8 45,555 6.1
08/07/12 CBT SOYBEAN OIL U.S. 14,354 4.3 4,366 1.3 331,467
NON U.S. 3,099 0.9 609 0.2
---- --------- ---- --------- ----
5 17,453 5.3 4,975 1.5
08/07/12 CBT U.S. TREASURY BONDS U.S. 5 5,547 0.9 4,728 0.8 605,807
NON U.S. 5 5,454 0.9 8,921 1.5
---- --------- ---- --------- ----
10 11,001 1.8 13,649 2.3
08/07/12 NYME MINI EUR 3.5%FOIL RTD CAL SWAP U.S. 78 1.1 1,263 18.2 6,954
NON U.S. 250 3.6 1,106 15.9
---- --------- ---- --------- ----
5 328 4.7 2,369 34.1
08/07/12 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 19,828 6.3 3,134 1.0 312,736
NON U.S. 3,586 1.1 16 0.0
---- --------- ---- --------- ----
6 23,414 7.5 3,150 1.0
08/07/12 NYME NATURAL GAS U.S. 25,004 2.2 15,219 1.4 1,112,252
NON U.S. 14,909 1.3 721 0.1
---- --------- ---- --------- ----
8 39,913 3.6 15,940 1.4
08/07/12 CBT SOYBEAN MEAL U.S. 6,538 2.7 4,151 1.7 244,787
NON U.S. 873 0.4 1,686 0.7
---- --------- ---- --------- ----
5 7,411 3.0 5,837 2.4
08/07/12 ICUS COTTON NO. 2 U.S. 8,619 4.8 1,185 0.7 181,424
NON U.S. 4,382 2.4 350 0.2
---- --------- ---- --------- ----
9 13,001 7.2 1,535 0.8
08/07/12 NYME NW PIPE ROCKIES BASIS SWAP U.S. 1,680 3.9 2,157 5.0 42,934
NON U.S. 3,847 9.0 0 0.0
---- --------- ---- --------- ----
5 5,527 12.9 2,157 5.0
08/07/12 NYME HENRY HUB SWAP U.S. 109,693 4.1 260,147 9.8 2,643,496
NON U.S. 18,374 0.7 179,393 6.8
---- --------- ---- --------- ----
8 128,067 4.8 439,540 16.6
08/07/12 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 80,677 6.5 31,299 2.5 1,244,002
NON U.S. 45,981 3.7 12,292 1.0
---- --------- ---- --------- ----
9 126,658 10.2 43,591 3.5
08/07/12 CBT 2-YEAR U.S. TREASURY NOTES U.S. 6 8,191 0.8 12,950 1.2 1,037,702
NON U.S. 6 8,873 0.9 14,608 1.4
---- --------- ---- --------- ----
12 17,064 1.6 27,558 2.7
08/07/12 CBT 10-YEAR U.S. TREASURY NOTES U.S. 8 29,897 1.8 42,264 2.6 1,655,120
NON U.S. 16 45,711 2.8 20,286 1.2
---- --------- ---- --------- ----
24 75,608 4.6 62,550 3.8
08/07/12 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 35,122 3.0 17,365 1.5 1,188,509
NON U.S. 10 3,405 0.3 28,145 2.4
---- --------- ---- --------- ----
15 38,527 3.2 45,510 3.8
08/07/12 CBT 30-DAY FEDERAL FUNDS U.S. 8 23,364 5.4 48,065 11.0 435,302
NON U.S. 9 28,861 6.6 45,354 10.4
---- --------- ---- --------- ----
17 52,225 12.0 93,419 21.5
08/07/12 CME LEAN HOGS U.S. 7,875 3.7 2 0.0 215,559
NON U.S. 2,387 1.1 4 0.0
---- --------- ---- --------- ----
5 10,262 4.8 6 0.0
08/07/12 CME LIVE CATTLE U.S. 8,443 2.9 212 0.1 292,193
NON U.S. 3,415 1.2 106 0.0
---- --------- ---- --------- ----
5 11,858 4.1 318 0.1
08/07/12 NYME CRUDE OIL, LIGHT SWEET U.S. 53,575 3.7 127,584 8.8 1,449,617
NON U.S. 28,764 2.0 144,051 9.9
---- --------- ---- --------- ----
17 82,339 5.7 271,635 18.7
08/07/12 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 14,540 7.9 32,763 17.7 184,779
NON U.S. 14,610 7.9 33,785 18.3
---- --------- ---- --------- ----
13 29,150 15.8 66,548 36.0
08/07/12 NYME WTI CRUDE OIL FINANCIAL U.S. 9,363 10.8 16,302 18.8 86,608
NON U.S. 5,221 6.0 4,535 5.2
---- --------- ---- --------- ----
7 14,584 16.8 20,837 24.1
08/07/12 NYME WTI-BRENT CALENDAR SWAP U.S. 2,265 4.7 2,480 5.1 48,173
NON U.S. 2,332 4.8 4,417 9.2
---- --------- ---- --------- ----
8 4,597 9.5 6,897 14.3
08/07/12 NYME BRENT (ICE) CALENDAR SWAP U.S. 6,538 10.5 3,803 6.1 62,328
NON U.S. 8,750 14.0 3,594 5.8
---- --------- ---- --------- ----
11 15,288 24.5 7,397 11.9
08/07/12 NYME BRENT CRUDE OIL LAST DAY U.S. 769 2.7 536 1.9 28,683
NON U.S. 190 0.7 346 1.2
---- --------- ---- --------- ----
5 959 3.3 882 3.1
08/07/12 ICUS COCOA U.S. 1,093 0.6 177 0.1 191,277
NON U.S. 2,447 1.3 12,069 6.3
---- --------- ---- --------- ----
7 3,540 1.9 12,246 6.4
08/07/12 NYME PALLADIUM U.S. 514 2.1 3,587 14.8 24,204
NON U.S. 2,420 10.0 2,727 11.3
---- --------- ---- --------- ----
15 2,934 12.1 6,314 26.1
08/07/12 NYME PLATINUM U.S. 4 339 0.6 7,632 14.3 53,246
NON U.S. 12 1,176 2.2 5,857 11.0
---- --------- ---- --------- ----
16 1,515 2.8 13,489 25.3
08/07/12 ICUS SUGAR NO. 11 U.S. 13,254 2.0 7,055 1.1 662,690
NON U.S. 10,823 1.6 14,119 2.1
---- --------- ---- --------- ----
11 24,077 3.6 21,174 3.2
08/07/12 ICUS COFFEE C U.S. 2,333 1.7 387 0.3 138,521
NON U.S. 1,739 1.3 2,452 1.8
---- --------- ---- --------- ----
11 4,072 2.9 2,839 2.0
08/07/12 CMX SILVER U.S. 4 6,685 5.4 27,150 21.8 124,276
NON U.S. 13 6,307 5.1 5,479 4.4
---- --------- ---- --------- ----
17 12,992 10.5 32,629 26.3
08/07/12 CMX COPPER-GRADE #1 U.S. 13,490 9.3 1,613 1.1 145,059
NON U.S. 787 0.5 190 0.1
---- --------- ---- --------- ----
7 14,277 9.8 1,803 1.2
08/07/12 CMX GOLD U.S. 4 36,865 9.5 94,554 24.4 388,254
NON U.S. 18 9,199 2.4 49,772 12.8
---- --------- ---- --------- ----
22 46,064 11.9 144,326 37.2
08/07/12 CME RUSSIAN RUBLE U.S. 8,164 7.8 3,145 3.0 105,159
NON U.S. 66,008 62.8 70,583 67.1
---- --------- ---- --------- ----
10 74,172 70.5 73,728 70.1
08/07/12 CME CANADIAN DOLLAR U.S. 4 872 0.8 7,941 7.3 109,258
NON U.S. 5 617 0.6 6,500 5.9
---- --------- ---- --------- ----
9 1,489 1.4 14,441 13.2
08/07/12 CME MEXICAN PESO U.S. 0 0.0 26,507 14.6 181,520
NON U.S. 63,426 34.9 0 0.0
---- --------- ---- --------- ----
5 63,426 34.9 26,507 14.6
08/07/12 CME BRITISH POUND STERLING U.S. 12,204 10.6 0 0.0 115,125
NON U.S. 1,853 1.6 928 0.8
---- --------- ---- --------- ----
6 14,057 12.2 928 0.8
08/07/12 CME JAPANESE YEN U.S. 1,129 0.8 19,574 13.1 148,998
NON U.S. 2,814 1.9 1,399 0.9
---- --------- ---- --------- ----
7 3,943 2.6 20,973 14.1
08/07/12 CME EURO FX U.S. 5 59,716 18.5 4,706 1.5 322,243
NON U.S. 14 41,796 13.0 3,794 1.2
---- --------- ---- --------- ----
19 101,512 31.5 8,500 2.6
08/07/12 CME BRAZILIAN REAL U.S. 794 4.7 0 0.0 17,002
NON U.S. 325 1.9 13,598 80.0
---- --------- ---- --------- ----
5 1,119 6.6 13,598 80.0
08/07/12 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 5,833 2.2 3,720 1.4 259,957
NON U.S. 1,123 0.4 1,215 0.5
---- --------- ---- --------- ----
6 6,956 2.7 4,935 1.9
08/07/12 NYME RBOB CALENDAR SWAP U.S. 213 1.4 138 0.9 14,922
NON U.S. 911 6.1 0 0.0
---- --------- ---- --------- ----
5 1,124 7.5 138 0.9
08/07/12 E VIX FUTURES U.S. 0 0.0 7,394 2.2 335,902
NON U.S. 1,676 0.5 1,319 0.4
---- --------- ---- --------- ----
5 1,676 0.5 8,713 2.6
08/07/12 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 6,238 6.0 0 0.0 104,764
NON U.S. 0 0.0 17,067 16.3
---- --------- ---- --------- ----
5 6,238 6.0 17,067 16.3
08/07/12 CME 3-MONTH EURODOLLARS U.S. 12 711,847 9.0 788,287 10.0 7,907,058
NON U.S. 30 274,432 3.5 576,359 7.3
---- --------- ---- --------- ----
42 986,279 12.5 1,364,646 17.3
08/07/12 CME S&P 500 STOCK INDEX U.S. 2,996 1.3 62 0.0 236,347
NON U.S. 4,733 2.0 8,893 3.8
---- --------- ---- --------- ----
8 7,729 3.3 8,955 3.8
08/07/12 CME E-MINI S&P 500 STOCK INDEX U.S. 6 42,715 1.5 10,926 0.4 2,831,826
NON U.S. 24 41,294 1.5 72,860 2.6
---- --------- ---- --------- ----
30 84,009 3.0 83,786 3.0
08/07/12 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 577 0.1 935 0.2 392,754
NON U.S. 8,715 2.2 16,003 4.1
---- --------- ---- --------- ----
12 9,292 2.4 16,938 4.3
08/07/12 CME AUSTRALIAN DOLLAR U.S. 6 0.0 5,139 3.2 162,436
NON U.S. 10,896 6.7 610 0.4
---- --------- ---- --------- ----
6 10,902 6.7 5,749 3.5
08/07/12 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 1,625 0.4 7,877 1.8 432,094
NON U.S. 4 2,057 0.5 968 0.2
---- --------- ---- --------- ----
8 3,682 0.9 8,845 2.0
08/07/12 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 0 0.0 334 0.6 53,728
NON U.S. 4,817 9.0 2,643 4.9
---- --------- ---- --------- ----
8 4,817 9.0 2,977 5.5
08/07/12 NYL MSCI EMERGING MKTS MINI INDEX U.S. 0 0.0 0 0.0 120,756
NON U.S. 5,369 4.4 3,258 2.7
---- --------- ---- --------- ----
10 5,369 4.4 3,258 2.7
08/07/12 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 1,571 3.9 549 1.4 40,448
NON U.S. 1,784 4.4 1,656 4.1
---- --------- ---- --------- ----
8 3,355 8.3 2,205 5.5
08/07/12 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 1,035 6.3 775 4.7 16,507
NON U.S. 1,452 8.8 0 0.0
---- --------- ---- --------- ----
5 2,487 15.1 775 4.7
08/07/12 NYME GASOIL CRACK SPR SWAP U.S. 318 1.3 1,052 4.2 25,139
NON U.S. 772 3.1 250 1.0
---- --------- ---- --------- ----
6 1,090 4.3 1,302 5.2