BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
03/06/12 CBT WHEAT U.S. 17,746 4.0 1,342 0.3 438,188
NON U.S. 14,757 3.4 4,742 1.1
---- --------- ---- --------- ----
10 32,503 7.4 6,084 1.4
03/06/12 CBT CORN U.S. 37,652 2.9 10,762 0.8 1,289,545
NON U.S. 19,039 1.5 4,238 0.3
---- --------- ---- --------- ----
11 56,691 4.4 15,000 1.2
03/06/12 CBT SOYBEANS U.S. 15,148 2.7 8,344 1.5 568,715
NON U.S. 11,120 2.0 4,006 0.7
---- --------- ---- --------- ----
10 26,268 4.6 12,350 2.2
03/06/12 CBT SOYBEAN OIL U.S. 18,032 5.8 321 0.1 313,490
NON U.S. 4,162 1.3 1,369 0.4
---- --------- ---- --------- ----
6 22,194 7.1 1,690 0.5
03/06/12 CBT U.S. TREASURY BONDS U.S. 5 1,672 0.3 6,118 1.0 605,174
NON U.S. 9 7,271 1.2 11,538 1.9
---- --------- ---- --------- ----
14 8,943 1.5 17,656 2.9
03/06/12 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 13,828 4.8 552 0.2 286,118
NON U.S. 3,159 1.1 976 0.3
---- --------- ---- --------- ----
7 16,987 5.9 1,528 0.5
03/06/12 NYME GASOIL (ICE) MINI CAL SWAP U.S. 774 34.2 0 0.0 2,265
NON U.S. 0 0.0 695 30.7
---- --------- ---- --------- ----
5 774 34.2 695 30.7
03/06/12 NYME NATURAL GAS U.S. 35,568 2.9 23,310 1.9 1,216,428
NON U.S. 30,923 2.5 983 0.1
---- --------- ---- --------- ----
10 66,491 5.5 24,293 2.0
03/06/12 ICUS COTTON NO. 2 U.S. 6,535 3.7 154 0.1 176,384
NON U.S. 4,223 2.4 5,852 3.3
---- --------- ---- --------- ----
11 10,758 6.1 6,006 3.4
03/06/12 NYME NW PIPE ROCKIES BASIS SWAP U.S. 608 1.3 2,812 6.0 47,201
NON U.S. 3,213 6.8 123 0.3
---- --------- ---- --------- ----
5 3,821 8.1 2,935 6.2
03/06/12 NYME HENRY HUB SWAP U.S. 109,626 4.0 208,138 7.5 2,762,512
NON U.S. 6,851 0.2 157,302 5.7
---- --------- ---- --------- ----
8 116,477 4.2 365,440 13.2
03/06/12 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 108,475 8.2 41,141 3.1 1,325,843
NON U.S. 30,994 2.3 9,572 0.7
---- --------- ---- --------- ----
8 139,469 10.5 50,713 3.8
03/06/12 CBT ROUGH RICE U.S. 195 1.3 0 0.0 14,698
NON U.S. 877 6.0 600 4.1
---- --------- ---- --------- ----
5 1,072 7.3 600 4.1
03/06/12 CBT 2-YEAR U.S. TREASURY NOTES U.S. 6 33,351 3.9 8,044 0.9 851,489
NON U.S. 8 3,975 0.5 7,304 0.9
---- --------- ---- --------- ----
14 37,326 4.4 15,348 1.8
03/06/12 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 15,689 0.8 34,681 1.9 1,858,467
NON U.S. 19 46,049 2.5 95,607 5.1
---- --------- ---- --------- ----
25 61,738 3.3 130,288 7.0
03/06/12 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 53,161 3.9 34,683 2.5 1,377,653
NON U.S. 11 33,984 2.5 33,992 2.5
---- --------- ---- --------- ----
16 87,145 6.3 68,675 5.0
03/06/12 CBT 30-DAY FEDERAL FUNDS U.S. 7 49,350 9.6 58,471 11.4 512,829
NON U.S. 13 44,333 8.6 52,175 10.2
---- --------- ---- --------- ----
20 93,683 18.3 110,646 21.6
03/06/12 CME LEAN HOGS U.S. 7,769 2.9 117 0.0 268,570
NON U.S. 3,300 1.2 226 0.1
---- --------- ---- --------- ----
6 11,069 4.1 343 0.1
03/06/12 CME LIVE CATTLE U.S. 7,951 2.2 2,164 0.6 364,976
NON U.S. 5,796 1.6 22 0.0
---- --------- ---- --------- ----
7 13,747 3.8 2,186 0.6
03/06/12 NYME CRUDE OIL, LIGHT SWEET U.S. 55,896 3.5 108,836 6.9 1,584,849
NON U.S. 26,261 1.7 164,597 10.4
---- --------- ---- --------- ----
17 82,157 5.2 273,433 17.3
03/06/12 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 13,226 6.8 32,093 16.4 195,830
NON U.S. 13,944 7.1 33,890 17.3
---- --------- ---- --------- ----
13 27,170 13.9 65,983 33.7
03/06/12 NYME WTI CRUDE OIL FINANCIAL U.S. 7,392 8.9 15,077 18.2 82,794
NON U.S. 3,638 4.4 2,892 3.5
---- --------- ---- --------- ----
7 11,030 13.3 17,969 21.7
03/06/12 NYME WTI-BRENT CALENDAR SWAP U.S. 2,220 4.3 2,510 4.9 51,427
NON U.S. 2,523 4.9 915 1.8
---- --------- ---- --------- ----
6 4,743 9.2 3,425 6.7
03/06/12 NYME BRENT (ICE) CALENDAR SWAP U.S. 5,014 9.1 3,592 6.5 55,381
NON U.S. 8,659 15.6 3,115 5.6
---- --------- ---- --------- ----
10 13,673 24.7 6,707 12.1
03/06/12 ICUS COCOA U.S. 2,871 1.7 2,165 1.3 169,390
NON U.S. 2,282 1.3 12,360 7.3
---- --------- ---- --------- ----
5 5,153 3.0 14,525 8.6
03/06/12 NYME PALLADIUM U.S. 343 1.7 4,632 22.9 20,262
NON U.S. 705 3.5 2,390 11.8
---- --------- ---- --------- ----
14 1,048 5.2 7,022 34.7
03/06/12 NYME PLATINUM U.S. 4 457 1.1 6,649 15.5 42,850
NON U.S. 10 692 1.6 6,995 16.3
---- --------- ---- --------- ----
14 1,149 2.7 13,644 31.8
03/06/12 ICUS SUGAR NO. 11 U.S. 16,584 2.3 3,820 0.5 720,785
NON U.S. 9,390 1.3 13,809 1.9
---- --------- ---- --------- ----
10 25,974 3.6 17,629 2.4
03/06/12 ICUS COFFEE C U.S. 1,637 1.2 1,909 1.4 139,102
NON U.S. 1,552 1.1 2,131 1.5
---- --------- ---- --------- ----
11 3,189 2.3 4,040 2.9
03/06/12 CMX SILVER U.S. 4 1,468 1.3 25,133 22.6 111,023
NON U.S. 14 4,003 3.6 6,576 5.9
---- --------- ---- --------- ----
18 5,471 4.9 31,709 28.6
03/06/12 CMX COPPER-GRADE #1 U.S. 12,608 8.3 3,097 2.0 152,741
NON U.S. 1,462 1.0 546 0.4
---- --------- ---- --------- ----
8 14,070 9.2 3,643 2.4
03/06/12 CMX GOLD U.S. 4 43,965 9.9 136,017 30.7 443,249
NON U.S. 20 11,152 2.5 47,409 10.7
---- --------- ---- --------- ----
24 55,117 12.4 183,426 41.4
03/06/12 CME RUSSIAN RUBLE U.S. 9,939 7.5 3,180 2.4 133,184
NON U.S. 83,712 62.9 85,333 64.1
---- --------- ---- --------- ----
8 93,651 70.3 88,513 66.5
03/06/12 CME CANADIAN DOLLAR U.S. 1,392 0.9 6,806 4.6 146,771
NON U.S. 1,267 0.9 5,566 3.8
---- --------- ---- --------- ----
6 2,659 1.8 12,372 8.4
03/06/12 CME SWISS FRANC U.S. 430 0.8 2,864 5.3 53,649
NON U.S. 7,234 13.5 4,800 8.9
---- --------- ---- --------- ----
6 7,664 14.3 7,664 14.3
03/06/12 CME MEXICAN PESO U.S. 4 316 0.2 12,964 6.2 207,994
NON U.S. 4 57,015 27.4 15,926 7.7
---- --------- ---- --------- ----
8 57,331 27.6 28,890 13.9
03/06/12 CME BRITISH POUND STERLING U.S. 27,947 15.2 749 0.4 184,104
NON U.S. 0 0.0 245 0.1
---- --------- ---- --------- ----
7 27,947 15.2 994 0.5
03/06/12 CME JAPANESE YEN U.S. 5 10,267 6.9 7,405 5.0 147,952
NON U.S. 4 2,691 1.8 1,192 0.8
---- --------- ---- --------- ----
9 12,958 8.8 8,597 5.8
03/06/12 CME EURO FX U.S. 4 63,793 22.4 1,589 0.6 284,739
NON U.S. 16 12,876 4.5 8,071 2.8
---- --------- ---- --------- ----
20 76,669 26.9 9,660 3.4
03/06/12 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 7,992 2.1 5,812 1.6 372,660
NON U.S. 1,915 0.5 2,062 0.6
---- --------- ---- --------- ----
8 9,907 2.7 7,874 2.1
03/06/12 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 5 5,379 5.0 0 0.0 108,007
NON U.S. 6 2,538 2.3 16,382 15.2
---- --------- ---- --------- ----
11 7,917 7.3 16,382 15.2
03/06/12 CME 3-MONTH EURODOLLARS U.S. 13 1,616,138 18.5 603,852 6.9 8,722,939
NON U.S. 36 314,756 3.6 534,344 6.1
---- --------- ---- --------- ----
49 1,930,894 22.1 1,138,196 13.0
03/06/12 CME S&P 500 STOCK INDEX U.S. 3,047 1.2 118 0.0 252,705
NON U.S. 5,504 2.2 6,797 2.7
---- --------- ---- --------- ----
8 8,551 3.4 6,915 2.7
03/06/12 CME E-MINI S&P 500 STOCK INDEX U.S. 7 26,036 0.9 18,527 0.6 2,970,409
NON U.S. 27 35,524 1.2 109,411 3.7
---- --------- ---- --------- ----
34 61,560 2.1 127,938 4.3
03/06/12 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 2,967 0.6 0 0.0 480,559
NON U.S. 10,746 2.2 11,197 2.3
---- --------- ---- --------- ----
12 13,713 2.9 11,197 2.3
03/06/12 CME AUSTRALIAN DOLLAR U.S. 3,168 1.9 8,339 5.1 164,007
NON U.S. 108 0.1 1,302 0.8
---- --------- ---- --------- ----
6 3,276 2.0 9,641 5.9
03/06/12 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 2,323 0.6 8,301 2.0 416,621
NON U.S. 4 3,484 0.8 981 0.2
---- --------- ---- --------- ----
8 5,807 1.4 9,282 2.2
03/06/12 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 0 0.0 506 0.7 68,640
NON U.S. 879 1.3 5,151 7.5
---- --------- ---- --------- ----
8 879 1.3 5,657 8.2
03/06/12 NYL MSCI EMERGING MKTS MINI INDEX U.S. 0 0.0 0 0.0 82,327
NON U.S. 4,592 5.6 9,613 11.7
---- --------- ---- --------- ----
10 4,592 5.6 9,613 11.7
03/06/12 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 1,152 5.1 378 1.7 22,468
NON U.S. 1,233 5.5 1,257 5.6
---- --------- ---- --------- ----
8 2,385 10.6 1,635 7.3
03/06/12 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 1,520 7.1 1,355 6.3 21,363
NON U.S. 728 3.4 0 0.0
---- --------- ---- --------- ----
6 2,248 10.5 1,355 6.3
03/06/12 NYME GASOIL CRACK SPR SWAP U.S. 66 0.3 1,837 7.1 25,976
NON U.S. 1,062 4.1 288 1.1
---- --------- ---- --------- ----
7 1,128 4.3 2,125 8.2