BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
09/06/11 CBT WHEAT U.S. 24,069 6.0 4,464 1.1 401,087
NON U.S. 2,250 0.6 5,034 1.3
---- --------- ---- --------- ----
8 26,319 6.6 9,498 2.4
09/06/11 CBT CORN U.S. 17,848 1.4 42,960 3.5 1,239,567
NON U.S. 4,145 0.3 1,219 0.1
---- --------- ---- --------- ----
8 21,993 1.8 44,179 3.6
09/06/11 CBT SOYBEANS U.S. 5,816 1.0 7,256 1.2 598,896
NON U.S. 7,988 1.3 3,413 0.6
---- --------- ---- --------- ----
7 13,804 2.3 10,669 1.8
09/06/11 CBT U.S. TREASURY BONDS U.S. 7 6,975 1.1 8,114 1.3 642,580
NON U.S. 6 5,953 0.9 4,305 0.7
---- --------- ---- --------- ----
13 12,928 2.0 12,419 1.9
09/06/11 NYME MINI EUR 3.5%FOIL RTD CAL SWAP U.S. 919 8.1 81 0.7 11,392
NON U.S. 308 2.7 913 8.0
---- --------- ---- --------- ----
5 1,227 10.8 994 8.7
09/06/11 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 20,910 6.7 668 0.2 312,753
NON U.S. 877 0.3 1,560 0.5
---- --------- ---- --------- ----
5 21,787 7.0 2,228 0.7
09/06/11 NYME GASOIL (ICE) MINI CAL SWAP U.S. 639 16.2 18 0.5 3,949
NON U.S. 0 0.0 1,200 30.4
---- --------- ---- --------- ----
5 639 16.2 1,218 30.8
09/06/11 NYME NATURAL GAS U.S. 30,124 3.1 17,056 1.7 977,952
NON U.S. 20,739 2.1 1,126 0.1
---- --------- ---- --------- ----
8 50,863 5.2 18,182 1.9
09/06/11 ICUS COTTON NO. 2 U.S. 754 0.5 5,643 3.8 147,827
NON U.S. 1,202 0.8 2,468 1.7
---- --------- ---- --------- ----
8 1,956 1.3 8,111 5.5
09/06/11 NYME HENRY HUB SWAP U.S. 4 46,153 2.0 224,583 9.5 2,364,868
NON U.S. 6 5,521 0.2 151,198 6.4
---- --------- ---- --------- ----
10 51,674 2.2 375,781 15.9
09/06/11 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 94,234 9.8 72,403 7.5 965,690
NON U.S. 33,773 3.5 6,678 0.7
---- --------- ---- --------- ----
8 128,007 13.3 79,081 8.2
09/06/11 CBT 2-YEAR U.S. TREASURY NOTES U.S. 6 72,945 9.5 14,982 1.9 770,286
NON U.S. 10 6,899 0.9 13,098 1.7
---- --------- ---- --------- ----
16 79,844 10.4 28,080 3.6
09/06/11 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 5,148 0.3 108,110 6.1 1,766,216
NON U.S. 15 46,662 2.6 22,027 1.2
---- --------- ---- --------- ----
21 51,810 2.9 130,137 7.4
09/06/11 CBT 5-YEAR U.S. TREASURY NOTES U.S. 6 58,382 4.3 54,218 4.0 1,351,376
NON U.S. 12 5,906 0.4 32,621 2.4
---- --------- ---- --------- ----
18 64,288 4.8 86,839 6.4
09/06/11 CBT 30-DAY FEDERAL FUNDS U.S. 7 108,388 15.2 50,989 7.2 711,422
NON U.S. 17 41,399 5.8 63,267 8.9
---- --------- ---- --------- ----
24 149,787 21.1 114,256 16.1
09/06/11 CME LIVE CATTLE U.S. 6,247 2.0 809 0.3 319,453
NON U.S. 1,108 0.3 143 0.0
---- --------- ---- --------- ----
5 7,355 2.3 952 0.3
09/06/11 NYME CRUDE OIL, LIGHT SWEET U.S. 52,336 3.4 88,120 5.8 1,523,907
NON U.S. 32,165 2.1 113,288 7.4
---- --------- ---- --------- ----
15 84,501 5.5 201,408 13.2
09/06/11 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 9,567 4.6 37,684 18.3 206,435
NON U.S. 9 14,072 6.8 30,169 14.6
---- --------- ---- --------- ----
13 23,639 11.5 67,853 32.9
09/06/11 NYME WTI CRUDE OIL FINANCIAL U.S. 2,793 3.5 10,800 13.7 78,863
NON U.S. 1,988 2.5 1,281 1.6
---- --------- ---- --------- ----
7 4,781 6.1 12,081 15.3
09/06/11 NYME BRENT (ICE) CALENDAR SWAP U.S. 1,559 2.7 3,224 5.7 56,783
NON U.S. 1,560 2.7 3,204 5.6
---- --------- ---- --------- ----
6 3,119 5.5 6,428 11.3
09/06/11 NYME PALLADIUM U.S. 226 1.1 5,163 24.8 20,813
NON U.S. 668 3.2 3,407 16.4
---- --------- ---- --------- ----
11 894 4.3 8,570 41.2
09/06/11 NYME PLATINUM U.S. 0 0.0 7,221 17.1 42,146
NON U.S. 679 1.6 3,396 8.1
---- --------- ---- --------- ----
13 679 1.6 10,617 25.2
09/06/11 ICUS SUGAR NO. 11 U.S. 12,786 2.1 4,999 0.8 597,645
NON U.S. 4,603 0.8 17,493 2.9
---- --------- ---- --------- ----
8 17,389 2.9 22,492 3.8
09/06/11 ICUS COFFEE C U.S. 1,132 1.0 3,355 3.0 113,221
NON U.S. 393 0.3 5,989 5.3
---- --------- ---- --------- ----
8 1,525 1.3 9,344 8.3
09/06/11 CMX SILVER U.S. 725 0.6 24,584 21.7 113,449
NON U.S. 3,096 2.7 2,781 2.5
---- --------- ---- --------- ----
14 3,821 3.4 27,365 24.1
09/06/11 CMX COPPER-GRADE #1 U.S. 9,584 8.3 2,337 2.0 115,872
NON U.S. 849 0.7 129 0.1
---- --------- ---- --------- ----
7 10,433 9.0 2,466 2.1
09/06/11 CMX GOLD U.S. 4 45,116 8.6 129,470 24.7 523,294
NON U.S. 18 7,398 1.4 45,684 8.7
---- --------- ---- --------- ----
22 52,514 10.0 175,154 33.5
09/06/11 CME RUSSIAN RUBLE U.S. 4,867 4.8 4,457 4.4 101,144
NON U.S. 46,779 46.2 43,510 43.0
---- --------- ---- --------- ----
6 51,646 51.1 47,967 47.4
09/06/11 CME CANADIAN DOLLAR U.S. 4 1,957 1.8 6,824 6.2 109,190
NON U.S. 5 162 0.1 12,154 11.1
---- --------- ---- --------- ----
9 2,119 1.9 18,978 17.4
09/06/11 CME SWISS FRANC U.S. 3,041 6.6 5,369 11.7 45,785
NON U.S. 482 1.1 0 0.0
---- --------- ---- --------- ----
5 3,523 7.7 5,369 11.7
09/06/11 CME MEXICAN PESO U.S. 13,408 12.1 38,154 34.3 111,130
NON U.S. 30,367 27.3 4,525 4.1
---- --------- ---- --------- ----
9 43,775 39.4 42,679 38.4
09/06/11 CME BRITISH POUND STERLING U.S. 5,872 5.3 577 0.5 110,372
NON U.S. 3,640 3.3 1,801 1.6
---- --------- ---- --------- ----
6 9,512 8.6 2,378 2.2
09/06/11 CME JAPANESE YEN U.S. 3,171 2.6 12,776 10.4 123,412
NON U.S. 2,748 2.2 25 0.0
---- --------- ---- --------- ----
7 5,919 4.8 12,801 10.4
09/06/11 CME EURO FX U.S. 4 14,189 6.8 2,020 1.0 209,515
NON U.S. 14 10,233 4.9 7,662 3.7
---- --------- ---- --------- ----
18 24,422 11.7 9,682 4.6
09/06/11 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 5,955 2.3 4,831 1.8 261,739
NON U.S. 958 0.4 1,668 0.6
---- --------- ---- --------- ----
7 6,913 2.6 6,499 2.5
09/06/11 CME NEW ZEALAND DOLLAR U.S. 747 2.7 4,910 17.6 27,939
NON U.S. 0 0.0 1,135 4.1
---- --------- ---- --------- ----
5 747 2.7 6,045 21.6
09/06/11 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 5 4,754 6.4 1,385 1.9 74,801
NON U.S. 5 1,707 2.3 5,336 7.1
---- --------- ---- --------- ----
10 6,461 8.6 6,721 9.0
09/06/11 CME 3-MONTH EURODOLLARS U.S. 12 898,654 9.3 1,460,564 15.1 9,701,993
NON U.S. 32 335,481 3.5 730,026 7.5
---- --------- ---- --------- ----
44 1,234,135 12.7 2,190,590 22.6
09/06/11 CME S&P 500 STOCK INDEX U.S. 650 0.1 7,914 1.8 440,478
NON U.S. 6,944 1.6 5,620 1.3
---- --------- ---- --------- ----
8 7,594 1.7 13,534 3.1
09/06/11 CME E-MINI S&P 500 STOCK INDEX U.S. 9 46,021 1.2 18,354 0.5 3,762,716
NON U.S. 30 32,331 0.9 115,460 3.1
---- --------- ---- --------- ----
39 78,352 2.1 133,814 3.6
09/06/11 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 4 4,056 1.0 551 0.1 392,734
NON U.S. 12 7,949 2.0 2,963 0.8
---- --------- ---- --------- ----
16 12,005 3.1 3,514 0.9
09/06/11 CME AUSTRALIAN DOLLAR U.S. 4,829 3.7 17,396 13.2 131,598
NON U.S. 443 0.3 3,057 2.3
---- --------- ---- --------- ----
7 5,272 4.0 20,453 15.5
09/06/11 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 3,022 0.7 7,543 1.7 456,901
NON U.S. 6 5,128 1.1 349 0.1
---- --------- ---- --------- ----
10 8,150 1.8 7,892 1.7
09/06/11 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 2,644 3.4 225 0.3 78,673
NON U.S. 2,749 3.5 14,203 18.1
---- --------- ---- --------- ----
8 5,393 6.9 14,428 18.3
09/06/11 NYL MSCI EMERGING MKTS MINI INDEX U.S. 0 0.0 0 0.0 55,242
NON U.S. 4,031 7.3 9,462 17.1
---- --------- ---- --------- ----
7 4,031 7.3 9,462 17.1
09/06/11 CBT INTEREST RATE SWAPS 5YR U.S. 15,879 70.7 3,815 17.0 22,469
NON U.S. 1,044 4.6 0 0.0
---- --------- ---- --------- ----
5 16,923 75.3 3,815 17.0
09/06/11 CME E-MINI S&P 400 STOCK INDEX U.S. 681 0.6 564 0.5 110,220
NON U.S. 0 0.0 0 0.0
---- --------- ---- --------- ----
5 681 0.6 564 0.5
09/06/11 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 1,231 6.4 436 2.3 19,354
NON U.S. 1,378 7.1 1,141 5.9
---- --------- ---- --------- ----
8 2,609 13.5 1,577 8.1
09/06/11 NYME GASOIL CRACK SPR SWAP U.S. 1,261 4.8 935 3.5 26,448
NON U.S. 1,308 4.9 753 2.8
---- --------- ---- --------- ----
5 2,569 9.7 1,688 6.4