BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
11/01/11 CBT WHEAT U.S. 25,795 6.0 3,380 0.8 433,325
NON U.S. 12,270 2.8 4,548 1.0
---- --------- ---- --------- ----
10 38,065 8.8 7,928 1.8
11/01/11 CBT CORN U.S. 20,877 1.7 40,343 3.3 1,231,824
NON U.S. 13,434 1.1 3,264 0.3
---- --------- ---- --------- ----
10 34,311 2.8 43,607 3.5
11/01/11 CBT SOYBEANS U.S. 13,096 2.5 11,115 2.1 518,805
NON U.S. 12,156 2.3 971 0.2
---- --------- ---- --------- ----
9 25,252 4.9 12,086 2.3
11/01/11 CBT SOYBEAN OIL U.S. 8,758 2.8 1,319 0.4 308,260
NON U.S. 5,456 1.8 1,077 0.3
---- --------- ---- --------- ----
5 14,214 4.6 2,396 0.8
11/01/11 CBT U.S. TREASURY BONDS U.S. 4 1,768 0.3 6,480 1.0 622,374
NON U.S. 6 7,037 1.1 4,699 0.8
---- --------- ---- --------- ----
10 8,805 1.4 11,179 1.8
11/01/11 NYME MINI EUR 3.5%FOIL RTD CAL SWAP U.S. 805 7.3 633 5.8 11,004
NON U.S. 222 2.0 945 8.6
---- --------- ---- --------- ----
5 1,027 9.3 1,578 14.3
11/01/11 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 21,473 7.2 1,341 0.5 296,818
NON U.S. 1,648 0.6 411 0.1
---- --------- ---- --------- ----
7 23,121 7.8 1,752 0.6
11/01/11 NYME GASOIL (ICE) MINI CAL SWAP U.S. 972 25.4 144 3.8 3,825
NON U.S. 0 0.0 1,128 29.5
---- --------- ---- --------- ----
5 972 25.4 1,272 33.3
11/01/11 NYME NATURAL GAS U.S. 21,388 2.2 17,858 1.9 960,199
NON U.S. 36,041 3.8 1,139 0.1
---- --------- ---- --------- ----
9 57,429 6.0 18,997 2.0
11/01/11 CBT SOYBEAN MEAL U.S. 2,971 1.6 990 0.5 188,866
NON U.S. 3,449 1.8 270 0.1
---- --------- ---- --------- ----
5 6,420 3.4 1,260 0.7
11/01/11 ICUS COTTON NO. 2 U.S. 1,108 0.7 3,051 1.9 164,914
NON U.S. 3,688 2.2 2,497 1.5
---- --------- ---- --------- ----
12 4,796 2.9 5,548 3.4
11/01/11 NYME HOUSTON SHIP CH BASIS SWAP U.S. 0 0.0 7,046 11.9 59,223
NON U.S. 0 0.0 8,122 13.7
---- --------- ---- --------- ----
5 0 0.0 15,168 25.6
11/01/11 NYME NW PIPE ROCKIES BASIS SWAP U.S. 882 1.5 3,798 6.6 57,550
NON U.S. 2,545 4.4 496 0.9
---- --------- ---- --------- ----
5 3,427 6.0 4,294 7.5
11/01/11 NYME PANHANDLE BASIS SWAP U.S. 10,785 11.6 6,043 6.5 92,989
NON U.S. 0 0.0 8,405 9.0
---- --------- ---- --------- ----
5 10,785 11.6 14,448 15.5
11/01/11 NYME SAN JUAN BASIS SWAP U.S. 612 2.1 1,277 4.4 29,120
NON U.S. 1,270 4.4 1,448 5.0
---- --------- ---- --------- ----
5 1,882 6.5 2,725 9.4
11/01/11 NYME HENRY HUB SWAP U.S. 62,798 2.6 219,178 9.2 2,388,800
NON U.S. 5,735 0.2 144,349 6.0
---- --------- ---- --------- ----
9 68,533 2.9 363,527 15.2
11/01/11 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 91,803 8.7 63,616 6.1 1,050,908
NON U.S. 30,850 2.9 7,629 0.7
---- --------- ---- --------- ----
8 122,653 11.7 71,245 6.8
11/01/11 CBT ROUGH RICE U.S. 232 1.3 0 0.0 17,346
NON U.S. 795 4.6 600 3.5
---- --------- ---- --------- ----
5 1,027 5.9 600 3.5
11/01/11 CBT 2-YEAR U.S. TREASURY NOTES U.S. 6 70,869 9.9 12,399 1.7 712,419
NON U.S. 8 5,602 0.8 22,724 3.2
---- --------- ---- --------- ----
14 76,471 10.7 35,123 4.9
11/01/11 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 7,265 0.5 40,842 2.8 1,453,541
NON U.S. 16 30,540 2.1 49,557 3.4
---- --------- ---- --------- ----
22 37,805 2.6 90,399 6.2
11/01/11 CBT 5-YEAR U.S. TREASURY NOTES U.S. 6 61,201 5.0 41,178 3.4 1,221,831
NON U.S. 12 8,352 0.7 26,141 2.1
---- --------- ---- --------- ----
18 69,553 5.7 67,319 5.5
11/01/11 CBT 30-DAY FEDERAL FUNDS U.S. 7 84,903 14.2 44,678 7.5 596,589
NON U.S. 16 41,503 7.0 55,384 9.3
---- --------- ---- --------- ----
23 126,406 21.2 100,062 16.8
11/01/11 CME LEAN HOGS U.S. 6,579 2.4 0 0.0 275,395
NON U.S. 3,462 1.3 776 0.3
---- --------- ---- --------- ----
5 10,041 3.6 776 0.3
11/01/11 CME LIVE CATTLE U.S. 6,860 2.1 2,187 0.7 325,310
NON U.S. 6,197 1.9 601 0.2
---- --------- ---- --------- ----
7 13,057 4.0 2,788 0.9
11/01/11 CME FEEDER CATTLE U.S. 365 1.1 170 0.5 32,196
NON U.S. 186 0.6 207 0.6
---- --------- ---- --------- ----
5 551 1.7 377 1.2
11/01/11 NYME MT BELVIEU PROPANE (OPIS) SWAP U.S. 256 1.0 1,138 4.6 24,589
NON U.S. 17 0.1 1,332 5.4
---- --------- ---- --------- ----
5 273 1.1 2,470 10.0
11/01/11 NYME CRUDE OIL, LIGHT SWEET U.S. 45,686 3.4 71,340 5.3 1,345,024
NON U.S. 34,453 2.6 124,756 9.3
---- --------- ---- --------- ----
15 80,139 6.0 196,096 14.6
11/01/11 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 9,752 4.9 34,872 17.5 199,190
NON U.S. 9 9,269 4.7 31,693 15.9
---- --------- ---- --------- ----
13 19,021 9.5 66,565 33.4
11/01/11 NYME WTI CRUDE OIL FINANCIAL U.S. 3,527 4.7 10,650 14.2 74,939
NON U.S. 1,996 2.7 1,288 1.7
---- --------- ---- --------- ----
7 5,523 7.4 11,938 15.9
11/01/11 NYME WTI-BRENT CALENDAR SWAP U.S. 2,449 4.8 2,520 5.0 50,773
NON U.S. 3,282 6.5 0 0.0
---- --------- ---- --------- ----
5 5,731 11.3 2,520 5.0
11/01/11 NYME BRENT (ICE) CALENDAR SWAP U.S. 3,496 6.0 2,944 5.1 57,867
NON U.S. 7,885 13.6 2,282 3.9
---- --------- ---- --------- ----
8 11,381 19.7 5,226 9.0
11/01/11 NYME PALLADIUM U.S. 265 1.4 4,910 26.3 18,667
NON U.S. 441 2.4 3,045 16.3
---- --------- ---- --------- ----
13 706 3.8 7,955 42.6
11/01/11 NYME PLATINUM U.S. 162 0.4 5,632 14.8 37,948
NON U.S. 813 2.1 3,311 8.7
---- --------- ---- --------- ----
12 975 2.6 8,943 23.6
11/01/11 ICUS SUGAR NO. 11 U.S. 8,589 1.7 2,912 0.6 498,960
NON U.S. 7,452 1.5 14,129 2.8
---- --------- ---- --------- ----
10 16,041 3.2 17,041 3.4
11/01/11 ICUS COFFEE C U.S. 2,216 1.8 3,338 2.7 122,541
NON U.S. 1,497 1.2 6,391 5.2
---- --------- ---- --------- ----
11 3,713 3.0 9,729 7.9
11/01/11 CMX SILVER U.S. 2,738 2.5 18,859 17.4 108,675
NON U.S. 3,030 2.8 2,886 2.7
---- --------- ---- --------- ----
15 5,768 5.3 21,745 20.0
11/01/11 CMX COPPER-GRADE #1 U.S. 9,339 7.4 1,428 1.1 126,363
NON U.S. 1,409 1.1 481 0.4
---- --------- ---- --------- ----
8 10,748 8.5 1,909 1.5
11/01/11 CMX GOLD U.S. 4 41,555 9.4 124,230 28.1 442,435
NON U.S. 19 8,038 1.8 36,298 8.2
---- --------- ---- --------- ----
23 49,593 11.2 160,528 36.3
11/01/11 CME RUSSIAN RUBLE U.S. 10,461 10.8 3,709 3.8 97,060
NON U.S. 50,499 52.0 46,100 47.5
---- --------- ---- --------- ----
7 60,960 62.8 49,809 51.3
11/01/11 CME CANADIAN DOLLAR U.S. 4 881 0.7 2,838 2.4 119,841
NON U.S. 4 2,297 1.9 1,977 1.6
---- --------- ---- --------- ----
8 3,178 2.7 4,815 4.0
11/01/11 CME MEXICAN PESO U.S. 808 0.8 25,773 24.3 105,956
NON U.S. 57,008 53.8 122 0.1
---- --------- ---- --------- ----
7 57,816 54.6 25,895 24.4
11/01/11 CME BRITISH POUND STERLING U.S. 19,742 11.6 1,454 0.9 169,466
NON U.S. 9,114 5.4 95 0.1
---- --------- ---- --------- ----
8 28,856 17.0 1,549 0.9
11/01/11 CME JAPANESE YEN U.S. 1,762 1.3 35,097 25.4 138,045
NON U.S. 2,906 2.1 38 0.0
---- --------- ---- --------- ----
7 4,668 3.4 35,135 25.5
11/01/11 CME EURO FX U.S. 5 34,801 15.1 614 0.3 231,229
NON U.S. 13 12,326 5.3 1,829 0.8
---- --------- ---- --------- ----
18 47,127 20.4 2,443 1.1
11/01/11 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 5,282 2.0 4,009 1.5 267,417
NON U.S. 1,608 0.6 622 0.2
---- --------- ---- --------- ----
8 6,890 2.6 4,631 1.7
11/01/11 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 5 5,981 7.1 0 0.0 83,909
NON U.S. 5 3,155 3.8 4,882 5.8
---- --------- ---- --------- ----
10 9,136 10.9 4,882 5.8
11/01/11 CME 3-MONTH EURODOLLARS U.S. 14 925,766 10.9 1,062,035 12.5 8,490,494
NON U.S. 30 321,795 3.8 712,710 8.4
---- --------- ---- --------- ----
44 1,247,561 14.7 1,774,745 20.9
11/01/11 CME S&P 500 STOCK INDEX U.S. 2,301 0.8 3,679 1.3 290,124
NON U.S. 6,482 2.2 4,943 1.7
---- --------- ---- --------- ----
8 8,783 3.0 8,622 3.0
11/01/11 CME E-MINI S&P 500 STOCK INDEX U.S. 8 63,953 2.2 7,940 0.3 2,885,919
NON U.S. 30 35,953 1.2 148,854 5.2
---- --------- ---- --------- ----
38 99,906 3.5 156,794 5.4
11/01/11 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 2,257 0.7 307 0.1 339,730
NON U.S. 12,124 3.6 8,874 2.6
---- --------- ---- --------- ----
17 14,381 4.2 9,181 2.7
11/01/11 CME AUSTRALIAN DOLLAR U.S. 2,137 1.5 13,439 9.7 139,057
NON U.S. 0 0.0 1,312 0.9
---- --------- ---- --------- ----
5 2,137 1.5 14,751 10.6
11/01/11 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 1,411 0.3 8,389 1.8 456,276
NON U.S. 5 4,584 1.0 349 0.1
---- --------- ---- --------- ----
9 5,995 1.3 8,738 1.9
11/01/11 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 1,355 2.9 0 0.0 47,083
NON U.S. 1,350 2.9 4,397 9.3
---- --------- ---- --------- ----
8 2,705 5.7 4,397 9.3
11/01/11 CME E-MINI S&P 400 STOCK INDEX U.S. 635 0.6 42 0.0 111,401
NON U.S. 0 0.0 420 0.4
---- --------- ---- --------- ----
5 635 0.6 462 0.4
11/01/11 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 1,164 6.0 916 4.7 19,391
NON U.S. 776 4.0 1,047 5.4
---- --------- ---- --------- ----
7 1,940 10.0 1,963 10.1
11/01/11 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 2,060 8.2 1,730 6.9 25,168
NON U.S. 780 3.1 251 1.0
---- --------- ---- --------- ----
6 2,840 11.3 1,981 7.9
11/01/11 NYME GASOIL CRACK SPR SWAP U.S. 441 1.4 1,701 5.3 31,956
NON U.S. 782 2.4 515 1.6
---- --------- ---- --------- ----
5 1,223 3.8 2,216 6.9