BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
02/07/12 CBT WHEAT U.S. 20,307 4.4 2,011 0.4 458,559
NON U.S. 14,284 3.1 5,125 1.1
---- --------- ---- --------- ----
11 34,591 7.5 7,136 1.6
02/07/12 CBT CORN U.S. 35,592 2.8 12,849 1.0 1,278,749
NON U.S. 18,119 1.4 4,006 0.3
---- --------- ---- --------- ----
10 53,711 4.2 16,855 1.3
02/07/12 CBT SOYBEANS U.S. 16,838 3.3 8,898 1.7 515,753
NON U.S. 13,930 2.7 6,656 1.3
---- --------- ---- --------- ----
10 30,768 6.0 15,554 3.0
02/07/12 CBT SOYBEAN OIL U.S. 12,540 4.0 341 0.1 315,496
NON U.S. 4,080 1.3 1,037 0.3
---- --------- ---- --------- ----
5 16,620 5.3 1,378 0.4
02/07/12 CBT U.S. TREASURY BONDS U.S. 942 0.2 4,144 0.7 621,121
NON U.S. 5,239 0.8 4,015 0.6
---- --------- ---- --------- ----
9 6,181 1.0 8,159 1.3
02/07/12 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 14,962 5.2 541 0.2 285,107
NON U.S. 1,019 0.4 872 0.3
---- --------- ---- --------- ----
5 15,981 5.6 1,413 0.5
02/07/12 NYME GASOIL (ICE) MINI CAL SWAP U.S. 873 34.0 0 0.0 2,566
NON U.S. 0 0.0 832 32.4
---- --------- ---- --------- ----
5 873 34.0 832 32.4
02/07/12 NYME NATURAL GAS U.S. 29,808 2.4 17,542 1.4 1,256,019
NON U.S. 29,222 2.3 1,486 0.1
---- --------- ---- --------- ----
9 59,030 4.7 19,028 1.5
02/07/12 CBT SOYBEAN MEAL U.S. 4,314 2.3 2,420 1.3 188,968
NON U.S. 1,290 0.7 74 0.0
---- --------- ---- --------- ----
5 5,604 3.0 2,494 1.3
02/07/12 ICUS COTTON NO. 2 U.S. 5,408 2.9 3,130 1.7 189,435
NON U.S. 3,947 2.1 5,339 2.8
---- --------- ---- --------- ----
11 9,355 4.9 8,469 4.5
02/07/12 NYME HOUSTON SHIP CH BASIS SWAP U.S. 0 0.0 5,821 11.9 49,009
NON U.S. 400 0.8 6,786 13.8
---- --------- ---- --------- ----
5 400 0.8 12,607 25.7
02/07/12 NYME NW PIPE ROCKIES BASIS SWAP U.S. 608 1.2 3,044 6.0 50,514
NON U.S. 2,911 5.8 93 0.2
---- --------- ---- --------- ----
5 3,519 7.0 3,137 6.2
02/07/12 NYME PANHANDLE BASIS SWAP U.S. 10,944 13.6 5,147 6.4 80,710
NON U.S. 0 0.0 6,548 8.1
---- --------- ---- --------- ----
5 10,944 13.6 11,695 14.5
02/07/12 NYME HENRY HUB SWAP U.S. 99,981 3.5 209,207 7.3 2,848,241
NON U.S. 6,364 0.2 142,132 5.0
---- --------- ---- --------- ----
9 106,345 3.7 351,339 12.3
02/07/12 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 101,181 7.5 46,439 3.5 1,345,386
NON U.S. 29,739 2.2 11,031 0.8
---- --------- ---- --------- ----
8 130,920 9.7 57,470 4.3
02/07/12 CBT ROUGH RICE U.S. 195 1.3 0 0.0 15,373
NON U.S. 842 5.5 600 3.9
---- --------- ---- --------- ----
5 1,037 6.7 600 3.9
02/07/12 CBT 2-YEAR U.S. TREASURY NOTES U.S. 6 53,876 5.8 25,655 2.8 926,616
NON U.S. 5 1,540 0.2 7,064 0.8
---- --------- ---- --------- ----
11 55,416 6.0 32,719 3.5
02/07/12 CBT 10-YEAR U.S. TREASURY NOTES U.S. 8 19,151 1.1 32,338 1.8 1,792,717
NON U.S. 19 55,327 3.1 32,894 1.8
---- --------- ---- --------- ----
27 74,478 4.2 65,232 3.6
02/07/12 CBT 5-YEAR U.S. TREASURY NOTES U.S. 6 49,844 3.4 37,841 2.6 1,464,817
NON U.S. 13 14,649 1.0 34,139 2.3
---- --------- ---- --------- ----
19 64,493 4.4 71,980 4.9
02/07/12 CBT 30-DAY FEDERAL FUNDS U.S. 6 49,219 9.6 63,668 12.5 510,111
NON U.S. 11 35,334 6.9 50,747 9.9
---- --------- ---- --------- ----
17 84,553 16.6 114,415 22.4
02/07/12 CME LEAN HOGS U.S. 6,753 2.7 194 0.1 254,310
NON U.S. 3,693 1.5 712 0.3
---- --------- ---- --------- ----
5 10,446 4.1 906 0.4
02/07/12 CME LIVE CATTLE U.S. 6,694 2.0 804 0.2 339,300
NON U.S. 5,999 1.8 529 0.2
---- --------- ---- --------- ----
7 12,693 3.7 1,333 0.4
02/07/12 NYME CRUDE OIL, LIGHT SWEET U.S. 59,942 4.0 79,281 5.3 1,484,546
NON U.S. 26,909 1.8 154,959 10.4
---- --------- ---- --------- ----
18 86,851 5.9 234,240 15.8
02/07/12 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 11,423 6.1 32,680 17.3 188,543
NON U.S. 10 13,292 7.0 30,620 16.2
---- --------- ---- --------- ----
14 24,715 13.1 63,300 33.6
02/07/12 NYME WTI CRUDE OIL FINANCIAL U.S. 2,942 4.1 10,520 14.6 72,111
NON U.S. 2,103 2.9 1,967 2.7
---- --------- ---- --------- ----
7 5,045 7.0 12,487 17.3
02/07/12 NYME WTI-BRENT CALENDAR SWAP U.S. 1,980 3.9 2,845 5.6 50,943
NON U.S. 3,360 6.6 900 1.8
---- --------- ---- --------- ----
6 5,340 10.5 3,745 7.4
02/07/12 NYME BRENT (ICE) CALENDAR SWAP U.S. 4,633 8.3 3,216 5.7 55,935
NON U.S. 9,784 17.5 3,120 5.6
---- --------- ---- --------- ----
9 14,417 25.8 6,336 11.3
02/07/12 NYME PALLADIUM U.S. 558 2.7 4,034 19.3 20,900
NON U.S. 663 3.2 3,267 15.6
---- --------- ---- --------- ----
13 1,221 5.8 7,301 34.9
02/07/12 NYME PLATINUM U.S. 4 259 0.6 7,035 15.8 44,584
NON U.S. 9 593 1.3 7,160 16.1
---- --------- ---- --------- ----
13 852 1.9 14,195 31.8
02/07/12 ICUS SUGAR NO. 11 U.S. 19,162 2.8 8,837 1.3 696,054
NON U.S. 9,018 1.3 14,766 2.1
---- --------- ---- --------- ----
12 28,180 4.0 23,603 3.4
02/07/12 ICUS COFFEE C U.S. 1,501 1.1 2,159 1.6 136,418
NON U.S. 1,563 1.1 3,533 2.6
---- --------- ---- --------- ----
13 3,064 2.2 5,692 4.2
02/07/12 CMX SILVER U.S. 4 1,443 1.4 22,283 21.0 106,008
NON U.S. 12 4,637 4.4 5,832 5.5
---- --------- ---- --------- ----
16 6,080 5.7 28,115 26.5
02/07/12 CMX COPPER-GRADE #1 U.S. 11,993 7.5 1,813 1.1 160,030
NON U.S. 1,679 1.0 611 0.4
---- --------- ---- --------- ----
8 13,672 8.5 2,424 1.5
02/07/12 CMX GOLD U.S. 5 43,591 10.0 148,308 34.0 436,061
NON U.S. 19 9,161 2.1 44,908 10.3
---- --------- ---- --------- ----
24 52,752 12.1 193,216 44.3
02/07/12 CME RUSSIAN RUBLE U.S. 9,488 7.7 2,936 2.4 123,008
NON U.S. 83,162 67.6 79,358 64.5
---- --------- ---- --------- ----
8 92,650 75.3 82,294 66.9
02/07/12 CME CANADIAN DOLLAR U.S. 379 0.3 3,142 2.6 122,955
NON U.S. 1,327 1.1 3,752 3.1
---- --------- ---- --------- ----
6 1,706 1.4 6,894 5.6
02/07/12 CME MEXICAN PESO U.S. 0 0.0 13,077 9.0 145,645
NON U.S. 60,611 41.6 12,311 8.5
---- --------- ---- --------- ----
6 60,611 41.6 25,388 17.4
02/07/12 CME BRITISH POUND STERLING U.S. 24,138 12.3 140 0.1 195,733
NON U.S. 0 0.0 247 0.1
---- --------- ---- --------- ----
5 24,138 12.3 387 0.2
02/07/12 CME JAPANESE YEN U.S. 5 1,078 0.6 12,055 6.8 178,512
NON U.S. 5 2,870 1.6 973 0.5
---- --------- ---- --------- ----
10 3,948 2.2 13,028 7.3
02/07/12 CME EURO FX U.S. 5 61,777 21.4 937 0.3 288,657
NON U.S. 13 15,298 5.3 1,794 0.6
---- --------- ---- --------- ----
18 77,075 26.7 2,731 0.9
02/07/12 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 7,661 2.3 4,118 1.2 332,356
NON U.S. 2,130 0.6 1,839 0.6
---- --------- ---- --------- ----
7 9,791 2.9 5,957 1.8
02/07/12 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 5 4,792 4.4 0 0.0 109,780
NON U.S. 5 2,571 2.3 15,987 14.6
---- --------- ---- --------- ----
10 7,363 6.7 15,987 14.6
02/07/12 CME 3-MONTH EURODOLLARS U.S. 14 1,222,716 14.8 656,528 7.9 8,287,842
NON U.S. 28 335,955 4.1 535,377 6.5
---- --------- ---- --------- ----
42 1,558,671 18.8 1,191,905 14.4
02/07/12 CME S&P 500 STOCK INDEX U.S. 1,887 0.7 118 0.0 253,617
NON U.S. 6,258 2.5 8,006 3.2
---- --------- ---- --------- ----
9 8,145 3.2 8,124 3.2
02/07/12 CME E-MINI S&P 500 STOCK INDEX U.S. 7 26,115 1.0 16,774 0.6 2,724,897
NON U.S. 26 41,950 1.5 125,909 4.6
---- --------- ---- --------- ----
33 68,065 2.5 142,683 5.2
02/07/12 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 2,252 0.6 0 0.0 385,405
NON U.S. 8,682 2.3 10,684 2.8
---- --------- ---- --------- ----
13 10,934 2.8 10,684 2.8
02/07/12 CME AUSTRALIAN DOLLAR U.S. 1,695 1.1 6,301 4.2 148,879
NON U.S. 127 0.1 1,250 0.8
---- --------- ---- --------- ----
5 1,822 1.2 7,551 5.1
02/07/12 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 1,506 0.4 7,952 2.1 386,636
NON U.S. 4 3,150 0.8 203 0.1
---- --------- ---- --------- ----
8 4,656 1.2 8,155 2.1
02/07/12 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 0 0.0 531 1.2 44,693
NON U.S. 1,179 2.6 2,352 5.3
---- --------- ---- --------- ----
6 1,179 2.6 2,883 6.5
02/07/12 NYL MSCI EMERGING MKTS MINI INDEX U.S. 0 0.0 0 0.0 76,474
NON U.S. 5,339 7.0 10,013 13.1
---- --------- ---- --------- ----
10 5,339 7.0 10,013 13.1
02/07/12 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 1,282 5.5 494 2.1 23,140
NON U.S. 1,040 4.5 1,243 5.4
---- --------- ---- --------- ----
6 2,322 10.0 1,737 7.5
02/07/12 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 1,615 6.9 1,465 6.2 23,481
NON U.S. 790 3.4 0 0.0
---- --------- ---- --------- ----
6 2,405 10.2 1,465 6.2
02/07/12 NYME GASOIL CRACK SPR SWAP U.S. 116 0.4 1,819 6.6 27,674
NON U.S. 1,146 4.1 228 0.8
---- --------- ---- --------- ----
7 1,262 4.6 2,047 7.4