BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
12/06/11 CBT WHEAT U.S. 15,486 4.1 967 0.3 374,207
NON U.S. 13,266 3.5 4,244 1.1
---- --------- ---- --------- ----
10 28,752 7.7 5,211 1.4
12/06/11 CBT CORN U.S. 30,140 2.6 13,395 1.2 1,146,906
NON U.S. 16,343 1.4 1,224 0.1
---- --------- ---- --------- ----
10 46,483 4.1 14,619 1.3
12/06/11 CBT SOYBEANS U.S. 13,103 2.4 11,063 2.0 541,370
NON U.S. 13,165 2.4 372 0.1
---- --------- ---- --------- ----
9 26,268 4.9 11,435 2.1
12/06/11 CBT SOYBEAN OIL U.S. 10,639 3.4 59 0.0 315,566
NON U.S. 3,225 1.0 542 0.2
---- --------- ---- --------- ----
5 13,864 4.4 601 0.2
12/06/11 CBT U.S. TREASURY BONDS U.S. 6 2,958 0.5 10,188 1.7 591,861
NON U.S. 4 5,083 0.9 6,731 1.1
---- --------- ---- --------- ----
10 8,041 1.4 16,919 2.9
12/06/11 NYME GULF # 6 FUEL 3.0% SULFUR SWAP U.S. 1,709 4.3 948 2.4 39,592
NON U.S. 1,006 2.5 431 1.1
---- --------- ---- --------- ----
5 2,715 6.9 1,379 3.5
12/06/11 NYME MINI EUR 3.5%FOIL RTD CAL SWAP U.S. 353 3.5 1,449 14.2 10,215
NON U.S. 150 1.5 849 8.3
---- --------- ---- --------- ----
5 503 4.9 2,298 22.5
12/06/11 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 17,139 6.3 1,342 0.5 273,933
NON U.S. 1,334 0.5 608 0.2
---- --------- ---- --------- ----
6 18,473 6.7 1,950 0.7
12/06/11 NYME GASOIL (ICE) MINI CAL SWAP U.S. 972 29.8 48 1.5 3,258
NON U.S. 0 0.0 1,070 32.8
---- --------- ---- --------- ----
5 972 29.8 1,118 34.3
12/06/11 NYME NATURAL GAS U.S. 22,510 2.4 20,435 2.2 943,649
NON U.S. 39,200 4.2 1,505 0.2
---- --------- ---- --------- ----
8 61,710 6.5 21,940 2.3
12/06/11 CBT SOYBEAN MEAL U.S. 2,722 1.3 1,991 1.0 207,046
NON U.S. 1,282 0.6 108 0.1
---- --------- ---- --------- ----
5 4,004 1.9 2,099 1.0
12/06/11 ICUS COTTON NO. 2 U.S. 1,114 0.8 3,346 2.4 139,821
NON U.S. 3,562 2.5 1,967 1.4
---- --------- ---- --------- ----
11 4,676 3.3 5,313 3.8
12/06/11 NYME PANHANDLE BASIS SWAP U.S. 10,002 11.4 5,933 6.8 87,434
NON U.S. 0 0.0 8,108 9.3
---- --------- ---- --------- ----
5 10,002 11.4 14,041 16.1
12/06/11 NYME SAN JUAN BASIS SWAP U.S. 612 2.2 1,108 4.1 27,328
NON U.S. 1,810 6.6 1,200 4.4
---- --------- ---- --------- ----
5 2,422 8.9 2,308 8.4
12/06/11 NYME HENRY HUB SWAP U.S. 86,649 3.5 213,966 8.6 2,494,503
NON U.S. 6,839 0.3 136,289 5.5
---- --------- ---- --------- ----
9 93,488 3.7 350,255 14.0
12/06/11 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 89,208 8.4 62,708 5.9 1,061,770
NON U.S. 27,826 2.6 7,817 0.7
---- --------- ---- --------- ----
8 117,034 11.0 70,525 6.6
12/06/11 CBT ROUGH RICE U.S. 202 1.1 0 0.0 18,114
NON U.S. 795 4.4 600 3.3
---- --------- ---- --------- ----
5 997 5.5 600 3.3
12/06/11 CBT 2-YEAR U.S. TREASURY NOTES U.S. 6 59,702 8.9 11,987 1.8 669,366
NON U.S. 6 7,104 1.1 3,963 0.6
---- --------- ---- --------- ----
12 66,806 10.0 15,950 2.4
12/06/11 CBT 10-YEAR U.S. TREASURY NOTES U.S. 7 8,356 0.6 41,469 2.9 1,406,900
NON U.S. 12 37,968 2.7 32,951 2.3
---- --------- ---- --------- ----
19 46,324 3.3 74,420 5.3
12/06/11 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 50,680 4.1 38,279 3.1 1,244,361
NON U.S. 11 17,210 1.4 23,464 1.9
---- --------- ---- --------- ----
16 67,890 5.5 61,743 5.0
12/06/11 CBT 30-DAY FEDERAL FUNDS U.S. 7 72,429 12.9 50,591 9.0 559,953
NON U.S. 13 32,720 5.8 57,125 10.2
---- --------- ---- --------- ----
20 105,149 18.8 107,716 19.2
12/06/11 CME LEAN HOGS U.S. 5,867 2.2 28 0.0 261,218
NON U.S. 4,530 1.7 1,302 0.5
---- --------- ---- --------- ----
5 10,397 4.0 1,330 0.5
12/06/11 CME LIVE CATTLE U.S. 7,304 2.3 857 0.3 319,039
NON U.S. 5,496 1.7 4 0.0
---- --------- ---- --------- ----
7 12,800 4.0 861 0.3
12/06/11 CME FEEDER CATTLE U.S. 754 2.4 581 1.9 31,152
NON U.S. 141 0.5 167 0.5
---- --------- ---- --------- ----
5 895 2.9 748 2.4
12/06/11 NYME MT BELVIEU PROPANE (OPIS) SWAP U.S. 161 0.8 739 3.8 19,200
NON U.S. 13 0.1 1,269 6.6
---- --------- ---- --------- ----
5 174 0.9 2,008 10.5
12/06/11 NYME CRUDE OIL, LIGHT SWEET U.S. 58,240 4.4 70,601 5.3 1,332,544
NON U.S. 22,661 1.7 149,599 11.2
---- --------- ---- --------- ----
16 80,901 6.1 220,200 16.5
12/06/11 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 10,653 5.4 34,030 17.3 196,946
NON U.S. 10 13,467 6.8 32,115 16.3
---- --------- ---- --------- ----
14 24,120 12.2 66,145 33.6
12/06/11 NYME WTI CRUDE OIL FINANCIAL U.S. 2,048 3.6 9,420 16.5 57,181
NON U.S. 1,478 2.6 1,342 2.3
---- --------- ---- --------- ----
7 3,526 6.2 10,762 18.8
12/06/11 NYME WTI-BRENT CALENDAR SWAP U.S. 2,039 4.0 3,240 6.3 51,335
NON U.S. 3,990 7.8 1,125 2.2
---- --------- ---- --------- ----
6 6,029 11.7 4,365 8.5
12/06/11 NYME BRENT (ICE) CALENDAR SWAP U.S. 3,858 6.5 3,705 6.2 59,655
NON U.S. 9,350 15.7 3,891 6.5
---- --------- ---- --------- ----
9 13,208 22.1 7,596 12.7
12/06/11 ICUS COCOA U.S. 1,324 0.8 46 0.0 163,752
NON U.S. 1,792 1.1 7,805 4.8
---- --------- ---- --------- ----
5 3,116 1.9 7,851 4.8
12/06/11 NYME PALLADIUM U.S. 451 2.3 4,228 21.4 19,774
NON U.S. 705 3.6 2,667 13.5
---- --------- ---- --------- ----
12 1,156 5.8 6,895 34.9
12/06/11 NYME PLATINUM U.S. 133 0.3 5,923 14.1 41,893
NON U.S. 687 1.6 4,731 11.3
---- --------- ---- --------- ----
13 820 2.0 10,654 25.4
12/06/11 ICUS SUGAR NO. 11 U.S. 10,394 2.0 3,568 0.7 517,967
NON U.S. 7,256 1.4 12,277 2.4
---- --------- ---- --------- ----
11 17,650 3.4 15,845 3.1
12/06/11 ICUS COFFEE C U.S. 2,837 2.8 2,122 2.1 100,602
NON U.S. 1,234 1.2 3,180 3.2
---- --------- ---- --------- ----
12 4,071 4.0 5,302 5.3
12/06/11 CMX SILVER U.S. 1,452 1.5 17,114 17.9 95,684
NON U.S. 3,686 3.9 4,890 5.1
---- --------- ---- --------- ----
14 5,138 5.4 22,004 23.0
12/06/11 CMX COPPER-GRADE #1 U.S. 10,174 9.0 1,423 1.3 113,252
NON U.S. 1,426 1.3 698 0.6
---- --------- ---- --------- ----
7 11,600 10.2 2,121 1.9
12/06/11 CMX GOLD U.S. 4 40,481 9.6 141,500 33.5 422,956
NON U.S. 18 7,540 1.8 47,080 11.1
---- --------- ---- --------- ----
22 48,021 11.4 188,580 44.6
12/06/11 CME RUSSIAN RUBLE U.S. 9,781 9.0 3,337 3.1 108,244
NON U.S. 64,955 60.0 55,354 51.1
---- --------- ---- --------- ----
8 74,736 69.0 58,691 54.2
12/06/11 CME CANADIAN DOLLAR U.S. 5 1,895 1.3 4,602 3.1 150,326
NON U.S. 4 4,457 3.0 3,214 2.1
---- --------- ---- --------- ----
9 6,352 4.2 7,816 5.2
12/06/11 CME MEXICAN PESO U.S. 808 0.6 26,394 20.3 130,231
NON U.S. 67,767 52.0 7,999 6.1
---- --------- ---- --------- ----
7 68,575 52.7 34,393 26.4
12/06/11 CME BRITISH POUND STERLING U.S. 27,798 13.3 1,308 0.6 209,514
NON U.S. 5,050 2.4 59 0.0
---- --------- ---- --------- ----
8 32,848 15.7 1,367 0.7
12/06/11 CME JAPANESE YEN U.S. 4 696 0.4 34,920 19.5 178,625
NON U.S. 4 2,875 1.6 14,112 7.9
---- --------- ---- --------- ----
8 3,571 2.0 49,032 27.4
12/06/11 CME EURO FX U.S. 6 41,134 14.5 300 0.1 283,309
NON U.S. 14 12,614 4.5 4,045 1.4
---- --------- ---- --------- ----
20 53,748 19.0 4,345 1.5
12/06/11 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 6,867 2.5 4,178 1.5 270,399
NON U.S. 1,555 0.6 636 0.2
---- --------- ---- --------- ----
8 8,422 3.1 4,814 1.8
12/06/11 CME NEW ZEALAND DOLLAR U.S. 603 2.2 2,802 10.2 27,597
NON U.S. 0 0.0 1,423 5.2
---- --------- ---- --------- ----
5 603 2.2 4,225 15.3
12/06/11 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 5 6,158 6.4 0 0.0 96,046
NON U.S. 6 2,987 3.1 6,943 7.2
---- --------- ---- --------- ----
11 9,145 9.5 6,943 7.2
12/06/11 CME 3-MONTH EURODOLLARS U.S. 14 1,152,394 13.6 900,193 10.6 8,495,479
NON U.S. 29 313,746 3.7 519,665 6.1
---- --------- ---- --------- ----
43 1,466,140 17.3 1,419,858 16.7
12/06/11 CME S&P 500 STOCK INDEX U.S. 3,201 1.0 2,514 0.8 323,580
NON U.S. 3,989 1.2 11,657 3.6
---- --------- ---- --------- ----
7 7,190 2.2 14,171 4.4
12/06/11 CME E-MINI S&P 500 STOCK INDEX U.S. 8 77,717 2.6 20,379 0.7 3,017,064
NON U.S. 25 40,771 1.4 142,320 4.7
---- --------- ---- --------- ----
33 118,488 3.9 162,699 5.4
12/06/11 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 1,994 0.6 0 0.0 321,602
NON U.S. 12,953 4.0 3,116 1.0
---- --------- ---- --------- ----
12 14,947 4.6 3,116 1.0
12/06/11 CME AUSTRALIAN DOLLAR U.S. 4,336 3.0 17,964 12.6 142,807
NON U.S. 6,620 4.6 1,707 1.2
---- --------- ---- --------- ----
9 10,956 7.7 19,671 13.8
12/06/11 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 1,357 0.3 8,426 1.9 444,543
NON U.S. 4 4,356 1.0 0 0.0
---- --------- ---- --------- ----
8 5,713 1.3 8,426 1.9
12/06/11 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 0 0.0 0 0.0 50,054
NON U.S. 1,993 4.0 4,528 9.0
---- --------- ---- --------- ----
8 1,993 4.0 4,528 9.0
12/06/11 NYL MSCI EMERGING MKTS MINI INDEX U.S. 0 0.0 0 0.0 66,773
NON U.S. 5,452 8.2 11,013 16.5
---- --------- ---- --------- ----
10 5,452 8.2 11,013 16.5
12/06/11 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 1,272 5.4 568 2.4 23,494
NON U.S. 761 3.2 1,016 4.3
---- --------- ---- --------- ----
7 2,033 8.7 1,584 6.7
12/06/11 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 1,810 7.0 1,555 6.0 25,721
NON U.S. 888 3.5 227 0.9
---- --------- ---- --------- ----
7 2,698 10.5 1,782 6.9
12/06/11 NYME GASOIL CRACK SPR SWAP U.S. 193 0.6 1,886 5.7 32,840
NON U.S. 1,312 4.0 290 0.9
---- --------- ---- --------- ----
6 1,505 4.6 2,176 6.6