BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
07/03/12 CBT WHEAT U.S. 14,487 3.4 4,337 1.0 423,551
NON U.S. 12,083 2.9 5,531 1.3
---- --------- ---- --------- ----
11 26,570 6.3 9,868 2.3
07/03/12 KCBT WHEAT U.S. 2,828 1.9 84 0.1 145,874
NON U.S. 2,058 1.4 607 0.4
---- --------- ---- --------- ----
6 4,886 3.3 691 0.5
07/03/12 CBT CORN U.S. 30,398 2.9 4,644 0.4 1,036,438
NON U.S. 17,814 1.7 2,045 0.2
---- --------- ---- --------- ----
11 48,212 4.7 6,689 0.6
07/03/12 CBT SOYBEANS U.S. 12,070 1.6 27,329 3.5 775,157
NON U.S. 3,844 0.5 2,255 0.3
---- --------- ---- --------- ----
9 15,914 2.1 29,584 3.8
07/03/12 CBT SOYBEAN OIL U.S. 14,973 4.4 4,544 1.3 337,964
NON U.S. 4,626 1.4 637 0.2
---- --------- ---- --------- ----
5 19,599 5.8 5,181 1.5
07/03/12 CBT U.S. TREASURY BONDS U.S. 5 1,189 0.2 4,514 0.7 626,502
NON U.S. 5 5,705 0.9 7,238 1.2
---- --------- ---- --------- ----
10 6,894 1.1 11,752 1.9
07/03/12 NYME MINI EUR 3.5%FOIL RTD CAL SWAP U.S. 0 0.0 1,467 24.8 5,904
NON U.S. 123 2.1 813 13.8
---- --------- ---- --------- ----
5 123 2.1 2,280 38.6
07/03/12 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 19,853 6.3 2,369 0.8 315,102
NON U.S. 5,342 1.7 76 0.0
---- --------- ---- --------- ----
7 25,195 8.0 2,445 0.8
07/03/12 NYME GASOIL (ICE) MINI CAL SWAP U.S. 408 18.5 15 0.7 2,209
NON U.S. 504 22.8 138 6.2
---- --------- ---- --------- ----
5 912 41.3 153 6.9
07/03/12 NYME NATURAL GAS U.S. 30,772 2.8 21,316 1.9 1,115,630
NON U.S. 23,927 2.1 1,160 0.1
---- --------- ---- --------- ----
8 54,699 4.9 22,476 2.0
07/03/12 CBT SOYBEAN MEAL U.S. 8,058 3.0 846 0.3 266,531
NON U.S. 1,130 0.4 245 0.1
---- --------- ---- --------- ----
5 9,188 3.4 1,091 0.4
07/03/12 ICUS COTTON NO. 2 U.S. 7,430 4.5 14 0.0 165,480
NON U.S. 3,930 2.4 291 0.2
---- --------- ---- --------- ----
10 11,360 6.9 305 0.2
07/03/12 NYME NW PIPE ROCKIES BASIS SWAP U.S. 308 0.7 2,494 5.5 45,379
NON U.S. 3,847 8.5 0 0.0
---- --------- ---- --------- ----
5 4,155 9.2 2,494 5.5
07/03/12 NYME HENRY HUB SWAP U.S. 100,944 3.8 246,709 9.2 2,676,744
NON U.S. 17,488 0.7 190,044 7.1
---- --------- ---- --------- ----
8 118,432 4.4 436,753 16.3
07/03/12 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 83,729 6.5 41,740 3.2 1,297,321
NON U.S. 43,299 3.3 14,288 1.1
---- --------- ---- --------- ----
9 127,028 9.8 56,028 4.3
07/03/12 CBT 2-YEAR U.S. TREASURY NOTES U.S. 4 21,587 2.7 4,980 0.6 795,701
NON U.S. 10 22,253 2.8 6,060 0.8
---- --------- ---- --------- ----
14 43,840 5.5 11,040 1.4
07/03/12 CBT 10-YEAR U.S. TREASURY NOTES U.S. 7 24,369 1.4 50,154 2.8 1,770,490
NON U.S. 19 46,117 2.6 35,355 2.0
---- --------- ---- --------- ----
26 70,486 4.0 85,509 4.8
07/03/12 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 52,403 4.6 10,462 0.9 1,138,496
NON U.S. 9 8,180 0.7 23,937 2.1
---- --------- ---- --------- ----
13 60,583 5.3 34,399 3.0
07/03/12 CBT 30-DAY FEDERAL FUNDS U.S. 7 24,742 5.1 37,003 7.6 485,980
NON U.S. 11 32,092 6.6 43,470 8.9
---- --------- ---- --------- ----
18 56,834 11.7 80,473 16.6
07/03/12 CME LEAN HOGS U.S. 8,423 3.3 0 0.0 253,306
NON U.S. 3,181 1.3 1,159 0.5
---- --------- ---- --------- ----
5 11,604 4.6 1,159 0.5
07/03/12 CME LIVE CATTLE U.S. 8,979 2.9 100 0.0 314,169
NON U.S. 3,666 1.2 802 0.3
---- --------- ---- --------- ----
5 12,645 4.0 902 0.3
07/03/12 NYME CRUDE OIL, LIGHT SWEET U.S. 71,188 5.0 110,024 7.7 1,432,999
NON U.S. 29,851 2.1 143,762 10.0
---- --------- ---- --------- ----
17 101,039 7.1 253,786 17.7
07/03/12 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 14,309 7.4 34,586 18.0 192,464
NON U.S. 15,251 7.9 33,529 17.4
---- --------- ---- --------- ----
13 29,560 15.4 68,115 35.4
07/03/12 NYME WTI CRUDE OIL FINANCIAL U.S. 9,601 10.9 16,549 18.8 87,834
NON U.S. 5,221 5.9 4,785 5.4
---- --------- ---- --------- ----
7 14,822 16.9 21,334 24.3
07/03/12 NYME WTI-BRENT CALENDAR SWAP U.S. 2,265 4.6 2,745 5.6 48,789
NON U.S. 2,783 5.7 4,372 9.0
---- --------- ---- --------- ----
8 5,048 10.3 7,117 14.6
07/03/12 NYME BRENT (ICE) CALENDAR SWAP U.S. 6,471 10.5 2,966 4.8 61,905
NON U.S. 9,112 14.7 3,364 5.4
---- --------- ---- --------- ----
10 15,583 25.2 6,330 10.2
07/03/12 ICUS COCOA U.S. 556 0.3 11 0.0 179,152
NON U.S. 2,509 1.4 13,032 7.3
---- --------- ---- --------- ----
6 3,065 1.7 13,043 7.3
07/03/12 NYME PALLADIUM U.S. 822 3.7 3,244 14.8 21,977
NON U.S. 1,172 5.3 1,999 9.1
---- --------- ---- --------- ----
15 1,994 9.1 5,243 23.9
07/03/12 NYME PLATINUM U.S. 4 223 0.5 7,095 14.4 49,442
NON U.S. 10 1,543 3.1 5,964 12.1
---- --------- ---- --------- ----
14 1,766 3.6 13,059 26.4
07/03/12 ICUS SUGAR NO. 11 U.S. 12,634 1.9 5,346 0.8 678,681
NON U.S. 12,213 1.8 11,851 1.7
---- --------- ---- --------- ----
11 24,847 3.7 17,197 2.5
07/03/12 ICUS COFFEE C U.S. 2,191 1.6 254 0.2 137,944
NON U.S. 1,537 1.1 2,288 1.7
---- --------- ---- --------- ----
9 3,728 2.7 2,542 1.8
07/03/12 CMX SILVER U.S. 4 8,389 6.9 26,661 21.8 122,128
NON U.S. 11 5,263 4.3 4,359 3.6
---- --------- ---- --------- ----
15 13,652 11.2 31,020 25.4
07/03/12 CMX COPPER-GRADE #1 U.S. 13,421 9.9 918 0.7 135,682
NON U.S. 678 0.5 1,191 0.9
---- --------- ---- --------- ----
9 14,099 10.4 2,109 1.6
07/03/12 CMX GOLD U.S. 4 33,496 7.9 109,391 25.7 425,068
NON U.S. 18 8,530 2.0 58,479 13.8
---- --------- ---- --------- ----
22 42,026 9.9 167,870 39.5
07/03/12 CME RUSSIAN RUBLE U.S. 7,278 7.0 3,087 3.0 104,539
NON U.S. 67,526 64.6 69,477 66.5
---- --------- ---- --------- ----
9 74,804 71.6 72,564 69.4
07/03/12 CME CANADIAN DOLLAR U.S. 441 0.5 1,080 1.2 93,160
NON U.S. 248 0.3 1,878 2.0
---- --------- ---- --------- ----
6 689 0.7 2,958 3.2
07/03/12 CME BRITISH POUND STERLING U.S. 10,325 9.5 0 0.0 108,208
NON U.S. 1,713 1.6 928 0.9
---- --------- ---- --------- ----
6 12,038 11.1 928 0.9
07/03/12 CME JAPANESE YEN U.S. 979 0.8 16,666 14.2 117,403
NON U.S. 2,356 2.0 400 0.3
---- --------- ---- --------- ----
5 3,335 2.8 17,066 14.5
07/03/12 CME EURO FX U.S. 4 56,044 18.5 256 0.1 302,289
NON U.S. 10 32,386 10.7 2,033 0.7
---- --------- ---- --------- ----
14 88,430 29.3 2,289 0.8
07/03/12 CME BRAZILIAN REAL U.S. 910 5.1 0 0.0 17,905
NON U.S. 290 1.6 14,069 78.6
---- --------- ---- --------- ----
5 1,200 6.7 14,069 78.6
07/03/12 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 6,900 2.7 5,702 2.2 253,521
NON U.S. 1,516 0.6 1,133 0.4
---- --------- ---- --------- ----
7 8,416 3.3 6,835 2.7
07/03/12 E VIX FUTURES U.S. 0 0.0 13,207 3.9 334,634
NON U.S. 2,119 0.6 1,543 0.5
---- --------- ---- --------- ----
5 2,119 0.6 14,750 4.4
07/03/12 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 6,139 6.8 0 0.0 90,905
NON U.S. 217 0.2 16,994 18.7
---- --------- ---- --------- ----
6 6,356 7.0 16,994 18.7
07/03/12 CME 3-MONTH EURODOLLARS U.S. 11 889,528 11.4 654,301 8.4 7,827,764
NON U.S. 32 252,669 3.2 609,669 7.8
---- --------- ---- --------- ----
43 1,142,197 14.6 1,263,970 16.1
07/03/12 CME S&P 500 STOCK INDEX U.S. 3,263 1.4 62 0.0 227,230
NON U.S. 5,015 2.2 10,093 4.4
---- --------- ---- --------- ----
9 8,278 3.6 10,155 4.5
07/03/12 CME E-MINI S&P 500 STOCK INDEX U.S. 6 43,554 1.6 10,852 0.4 2,730,453
NON U.S. 27 37,071 1.4 65,027 2.4
---- --------- ---- --------- ----
33 80,625 3.0 75,879 2.8
07/03/12 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 701 0.2 397 0.1 353,795
NON U.S. 8,936 2.5 16,010 4.5
---- --------- ---- --------- ----
12 9,637 2.7 16,407 4.6
07/03/12 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 3,256 0.7 3,426 0.8 440,281
NON U.S. 4 1,175 0.3 1,027 0.2
---- --------- ---- --------- ----
8 4,431 1.0 4,453 1.0
07/03/12 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 0 0.0 0 0.0 36,247
NON U.S. 2,874 7.9 2,176 6.0
---- --------- ---- --------- ----
8 2,874 7.9 2,176 6.0
07/03/12 NYL MSCI EMERGING MKTS MINI INDEX U.S. 0 0.0 124 0.1 113,521
NON U.S. 5,388 4.7 4,343 3.8
---- --------- ---- --------- ----
13 5,388 4.7 4,467 3.9
07/03/12 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 796 2.2 669 1.8 36,418
NON U.S. 2,086 5.7 1,541 4.2
---- --------- ---- --------- ----
8 2,882 7.9 2,210 6.1
07/03/12 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 690 4.7 915 6.3 14,621
NON U.S. 1,289 8.8 0 0.0
---- --------- ---- --------- ----
7 1,979 13.5 915 6.3
07/03/12 NYME GASOIL CRACK SPR SWAP U.S. 306 1.1 1,731 6.0 28,847
NON U.S. 726 2.5 250 0.9
---- --------- ---- --------- ----
6 1,032 3.6 1,981 6.9