BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
10/02/12 CBT WHEAT U.S. 21,651 4.7 8,143 1.8 456,198
NON U.S. 9,575 2.1 8,813 1.9
---- --------- ---- --------- ----
14 31,226 6.8 16,956 3.7
10/02/12 KCBT WHEAT U.S. 2,682 1.7 675 0.4 159,279
NON U.S. 1,950 1.2 4,082 2.6
---- --------- ---- --------- ----
6 4,632 2.9 4,757 3.0
10/02/12 CBT CORN U.S. 42,638 3.5 14,368 1.2 1,206,089
NON U.S. 17,398 1.4 918 0.1
---- --------- ---- --------- ----
10 60,036 5.0 15,286 1.3
10/02/12 CBT SOYBEANS U.S. 9,810 1.4 35,743 5.0 721,122
NON U.S. 4,547 0.6 4,042 0.6
---- --------- ---- --------- ----
10 14,357 2.0 39,785 5.5
10/02/12 CBT SOYBEAN OIL U.S. 15,396 5.2 1,688 0.6 296,713
NON U.S. 2,731 0.9 1,924 0.6
---- --------- ---- --------- ----
5 18,127 6.1 3,612 1.2
10/02/12 CBT U.S. TREASURY BONDS U.S. 5 1,495 0.3 4,999 0.9 574,605
NON U.S. 6 4,966 0.9 11,068 1.9
---- --------- ---- --------- ----
11 6,461 1.1 16,067 2.8
10/02/12 NYME GULF # 6 FUEL 3.0% SULFUR SWAP U.S. 2,173 5.4 1,148 2.9 40,021
NON U.S. 473 1.2 101 0.3
---- --------- ---- --------- ----
5 2,646 6.6 1,249 3.1
10/02/12 NYME MINI EUR 3.5%FOIL RTD CAL SWAP U.S. 3,066 33.5 737 8.0 9,163
NON U.S. 773 8.4 447 4.9
---- --------- ---- --------- ----
5 3,839 41.9 1,184 12.9
10/02/12 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 19,201 6.0 5,711 1.8 322,021
NON U.S. 3,790 1.2 141 0.0
---- --------- ---- --------- ----
6 22,991 7.1 5,852 1.8
10/02/12 NYME GULF COAST ULSD SWAP U.S. 1,238 6.6 2,195 11.7 18,841
NON U.S. 465 2.5 244 1.3
---- --------- ---- --------- ----
5 1,703 9.0 2,439 12.9
10/02/12 NYME UP DOWN GC ULSD VS HO SPR SWAP U.S. 3,550 8.0 204 0.5 44,536
NON U.S. 1,077 2.4 0 0.0
---- --------- ---- --------- ----
5 4,627 10.4 204 0.5
10/02/12 NYME NATURAL GAS U.S. 22,930 2.0 16,735 1.5 1,147,792
NON U.S. 16,848 1.5 736 0.1
---- --------- ---- --------- ----
9 39,778 3.5 17,471 1.5
10/02/12 CBT SOYBEAN MEAL U.S. 7,042 3.4 3,030 1.4 209,593
NON U.S. 3,436 1.6 2,552 1.2
---- --------- ---- --------- ----
6 10,478 5.0 5,582 2.7
10/02/12 ICUS COTTON NO. 2 U.S. 10,006 5.3 3,347 1.8 189,437
NON U.S. 4,666 2.5 560 0.3
---- --------- ---- --------- ----
10 14,672 7.7 3,907 2.1
10/02/12 NYME NW PIPE ROCKIES BASIS SWAP U.S. 1,500 3.9 2,030 5.3 38,659
NON U.S. 3,506 9.1 0 0.0
---- --------- ---- --------- ----
5 5,006 12.9 2,030 5.3
10/02/12 NYME HENRY HUB SWAP U.S. 110,855 4.5 262,259 10.5 2,490,757
NON U.S. 18,075 0.7 176,603 7.1
---- --------- ---- --------- ----
8 128,930 5.2 438,862 17.6
10/02/12 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 78,067 7.8 31,621 3.2 1,001,791
NON U.S. 48,316 4.8 7,846 0.8
---- --------- ---- --------- ----
8 126,383 12.6 39,467 3.9
10/02/12 CBT 2-YEAR U.S. TREASURY NOTES U.S. 4 26,210 2.8 2,492 0.3 921,816
NON U.S. 14 11,087 1.2 27,842 3.0
---- --------- ---- --------- ----
18 37,297 4.0 30,334 3.3
10/02/12 CBT 10-YEAR U.S. TREASURY NOTES U.S. 7 18,118 1.1 29,782 1.8 1,694,919
NON U.S. 19 31,071 1.8 30,283 1.8
---- --------- ---- --------- ----
26 49,189 2.9 60,065 3.5
10/02/12 CBT 5-YEAR U.S. TREASURY NOTES U.S. 6 38,159 2.6 14,116 1.0 1,445,346
NON U.S. 9 40,306 2.8 36,366 2.5
---- --------- ---- --------- ----
15 78,465 5.4 50,482 3.5
10/02/12 CBT 30-DAY FEDERAL FUNDS U.S. 6 28,140 7.6 31,090 8.4 369,890
NON U.S. 11 25,293 6.8 33,111 9.0
---- --------- ---- --------- ----
17 53,433 14.4 64,201 17.4
10/02/12 CME LEAN HOGS U.S. 8,654 3.9 104 0.0 223,253
NON U.S. 3,342 1.5 14 0.0
---- --------- ---- --------- ----
6 11,996 5.4 118 0.1
10/02/12 CME LIVE CATTLE U.S. 9,503 3.3 297 0.1 287,430
NON U.S. 4,142 1.4 109 0.0
---- --------- ---- --------- ----
7 13,645 4.7 406 0.1
10/02/12 NYME CRUDE OIL, LIGHT SWEET U.S. 54,096 3.5 142,186 9.1 1,556,877
NON U.S. 25,588 1.6 158,826 10.2
---- --------- ---- --------- ----
16 79,684 5.1 301,012 19.3
10/02/12 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 15,087 8.5 32,967 18.6 176,949
NON U.S. 17,665 10.0 30,207 17.1
---- --------- ---- --------- ----
13 32,752 18.5 63,174 35.7
10/02/12 NYME WTI CRUDE OIL FINANCIAL U.S. 10,933 12.6 17,829 20.6 86,542
NON U.S. 4,721 5.5 3,910 4.5
---- --------- ---- --------- ----
7 15,654 18.1 21,739 25.1
10/02/12 NYME WTI-BRENT CALENDAR SWAP U.S. 2,265 5.0 2,310 5.1 45,547
NON U.S. 2,630 5.8 4,237 9.3
---- --------- ---- --------- ----
8 4,895 10.7 6,547 14.4
10/02/12 NYME BRENT (ICE) CALENDAR SWAP U.S. 4,893 8.0 5,194 8.5 60,953
NON U.S. 9,445 15.5 2,823 4.6
---- --------- ---- --------- ----
11 14,338 23.5 8,017 13.2
10/02/12 ICUS COCOA U.S. 1,410 0.7 219 0.1 199,186
NON U.S. 2,013 1.0 12,894 6.5
---- --------- ---- --------- ----
7 3,423 1.7 13,113 6.6
10/02/12 NYME PALLADIUM U.S. 124 0.6 3,906 19.1 20,458
NON U.S. 1,228 6.0 2,282 11.2
---- --------- ---- --------- ----
15 1,352 6.6 6,188 30.2
10/02/12 NYME PLATINUM U.S. 4 290 0.5 14,699 24.1 60,889
NON U.S. 13 1,435 2.4 8,767 14.4
---- --------- ---- --------- ----
17 1,725 2.8 23,466 38.5
10/02/12 ICUS SUGAR NO. 11 U.S. 22,148 3.3 2,567 0.4 674,997
NON U.S. 10,221 1.5 10,740 1.6
---- --------- ---- --------- ----
11 32,369 4.8 13,307 2.0
10/02/12 ICUS COFFEE C U.S. 4,512 3.2 20 0.0 140,954
NON U.S. 2,365 1.7 1,738 1.2
---- --------- ---- --------- ----
13 6,877 4.9 1,758 1.2
10/02/12 CMX SILVER U.S. 4 631 0.5 38,415 27.6 139,117
NON U.S. 15 11,475 8.2 28,587 20.5
---- --------- ---- --------- ----
19 12,106 8.7 67,002 48.2
10/02/12 CMX COPPER-GRADE #1 U.S. 14,348 9.4 2,607 1.7 152,264
NON U.S. 1,356 0.9 451 0.3
---- --------- ---- --------- ----
9 15,704 10.3 3,058 2.0
10/02/12 CMX GOLD U.S. 4 40,625 8.4 146,809 30.5 480,908
NON U.S. 20 34,881 7.3 113,445 23.6
---- --------- ---- --------- ----
24 75,506 15.7 260,254 54.1
10/02/12 CME RUSSIAN RUBLE U.S. 7,545 8.6 4,599 5.3 87,588
NON U.S. 51,262 58.5 55,843 63.8
---- --------- ---- --------- ----
10 58,807 67.1 60,442 69.0
10/02/12 CME CANADIAN DOLLAR U.S. 3,896 2.0 1,990 1.0 196,895
NON U.S. 688 0.3 13,314 6.8
---- --------- ---- --------- ----
8 4,584 2.3 15,304 7.8
10/02/12 CME BRITISH POUND STERLING U.S. 1,661 0.9 19,792 11.1 177,746
NON U.S. 0 0.0 7,285 4.1
---- --------- ---- --------- ----
8 1,661 0.9 27,077 15.2
10/02/12 CME JAPANESE YEN U.S. 5 2,906 2.1 24,699 17.4 141,693
NON U.S. 5 3,470 2.4 2,060 1.5
---- --------- ---- --------- ----
10 6,376 4.5 26,759 18.9
10/02/12 CME EURO FX U.S. 4 12,893 5.9 5,688 2.6 217,516
NON U.S. 16 16,260 7.5 2,549 1.2
---- --------- ---- --------- ----
20 29,153 13.4 8,237 3.8
10/02/12 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 5,845 2.1 4,394 1.6 277,184
NON U.S. 2,150 0.8 320 0.1
---- --------- ---- --------- ----
7 7,995 2.9 4,714 1.7
10/02/12 NYME RBOB CALENDAR SWAP U.S. 145 0.7 264 1.3 20,398
NON U.S. 134 0.7 0 0.0
---- --------- ---- --------- ----
5 279 1.4 264 1.3
10/02/12 E VIX FUTURES U.S. 1,065 0.3 3,029 0.8 390,364
NON U.S. 3,011 0.8 1,294 0.3
---- --------- ---- --------- ----
5 4,076 1.0 4,323 1.1
10/02/12 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 6,348 5.1 0 0.0 124,083
NON U.S. 479 0.4 12,652 10.2
---- --------- ---- --------- ----
6 6,827 5.5 12,652 10.2
10/02/12 CME 3-MONTH EURODOLLARS U.S. 11 698,106 8.7 866,453 10.8 8,041,081
NON U.S. 29 278,435 3.5 707,409 8.8
---- --------- ---- --------- ----
40 976,541 12.1 1,573,862 19.6
10/02/12 CME S&P 500 STOCK INDEX U.S. 2,174 1.1 0 0.0 192,396
NON U.S. 3,046 1.6 5,309 2.8
---- --------- ---- --------- ----
7 5,220 2.7 5,309 2.8
10/02/12 CME E-MINI S&P 500 STOCK INDEX U.S. 6 57,120 2.0 8,071 0.3 2,926,111
NON U.S. 24 32,486 1.1 38,999 1.3
---- --------- ---- --------- ----
30 89,606 3.1 47,070 1.6
10/02/12 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 1,181 0.3 0 0.0 412,593
NON U.S. 2,700 0.7 1,868 0.5
---- --------- ---- --------- ----
9 3,881 0.9 1,868 0.5
10/02/12 CME AUSTRALIAN DOLLAR U.S. 4 18,083 11.1 5,068 3.1 162,699
NON U.S. 4 1,490 0.9 7,890 4.8
---- --------- ---- --------- ----
8 19,573 12.0 12,958 8.0
10/02/12 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 5 1,654 0.4 3,259 0.9 380,623
NON U.S. 4 2,182 0.6 323 0.1
---- --------- ---- --------- ----
9 3,836 1.0 3,582 0.9
10/02/12 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 0 0.0 220 0.7 32,548
NON U.S. 1,025 3.1 5,201 16.0
---- --------- ---- --------- ----
8 1,025 3.1 5,421 16.7
10/02/12 NYL MSCI EMERGING MKTS MINI INDEX U.S. 0 0.0 0 0.0 115,210
NON U.S. 5,038 4.4 3,297 2.9
---- --------- ---- --------- ----
11 5,038 4.4 3,297 2.9
10/02/12 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 1,080 2.1 1,490 3.0 50,430
NON U.S. 2,248 4.5 1,386 2.7
---- --------- ---- --------- ----
8 3,328 6.6 2,876 5.7
10/02/12 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 540 3.9 495 3.6 13,775
NON U.S. 1,429 10.4 0 0.0
---- --------- ---- --------- ----
5 1,969 14.3 495 3.6
10/02/12 NYME GASOIL CRACK SPR SWAP U.S. 318 1.5 852 4.1 20,634
NON U.S. 861 4.2 250 1.2
---- --------- ---- --------- ----
7 1,179 5.7 1,102 5.3