BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
03/04/08 CBT WHEAT U.S. 1 6,906 1.7 0 0.0 397,308
NON U.S. 14 52,634 13.2 9,858 2.5
---- --------- ---- --------- ----
15 59,540 15.0 9,858 2.5
03/04/08 KCBT WHEAT U.S. 1 1,964 1.7 0 0.0 114,323
NON U.S. 6 5,418 4.7 226 0.2
---- --------- ---- --------- ----
7 7,382 6.5 226 0.2
03/04/08 CBT CORN U.S. 2 13,659 0.9 12,294 0.8 1,449,873
NON U.S. 11 121,730 8.4 15,659 1.1
---- --------- ---- --------- ----
13 135,389 9.3 27,953 1.9
03/04/08 CBT SOYBEANS U.S. 2 6,001 1.1 7,076 1.2 567,980
NON U.S. 13 41,293 7.3 2,292 0.4
---- --------- ---- --------- ----
15 47,294 8.3 9,368 1.6
03/04/08 CBT SOYBEAN OIL U.S. 1 1,787 0.6 0 0.0 297,721
NON U.S. 6 17,896 6.0 6,222 2.1
---- --------- ---- --------- ----
7 19,683 6.6 6,222 2.1
03/04/08 CBT U.S. TREASURY BONDS U.S. 3 20,891 2.0 6,512 0.6 1,064,263
NON U.S. 19 18,334 1.7 35,731 3.4
---- --------- ---- --------- ----
22 39,225 3.7 42,243 4.0
03/04/08 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 2 2,832 1.2 920 0.4 237,016
NON U.S. 5 15,964 6.7 7,429 3.1
---- --------- ---- --------- ----
7 18,796 7.9 8,349 3.5
03/04/08 NYME NY HARBOR HEATING OIL CAL SWAP U.S. 2 204 1.9 529 4.9 10,767
NON U.S. 3 1,088 10.1 700 6.5
---- --------- ---- --------- ----
5 1,292 12.0 1,229 11.4
03/04/08 NYME SING GASOIL SWAP U.S. 1 0 0.0 1,000 16.9 5,925
NON U.S. 4 1,255 21.2 370 6.2
---- --------- ---- --------- ----
5 1,255 21.2 1,370 23.1
03/04/08 NYME SING GASOIL/RDAM GASOIL SWAP U.S. 2 0 0.0 700 11.2 6,275
NON U.S. 4 525 8.4 1,400 22.3
---- --------- ---- --------- ----
6 525 8.4 2,100 33.5
03/04/08 NYME NATURAL GAS U.S. 4 53,820 5.7 44,822 4.8 940,141
NON U.S. 8 67,188 7.1 45,659 4.9
---- --------- ---- --------- ----
12 121,008 12.9 90,481 9.6
03/04/08 NYME PERMIAN BASIS SWAP U.S. 4 8,868 9.5 501 0.5 93,558
NON U.S. 4 273 0.3 3,789 4.0
---- --------- ---- --------- ----
8 9,141 9.8 4,290 4.6
03/04/08 NYME TCO BASIS SWAP U.S. 3 4,237 4.1 4,756 4.6 103,857
NON U.S. 4 8,560 8.2 7,598 7.3
---- --------- ---- --------- ----
7 12,797 12.3 12,354 11.9
03/04/08 NYME PG&E CITYGATE BASIS SWAP U.S. 3 0 0.0 2,530 3.7 68,377
NON U.S. 2 214 0.3 184 0.3
---- --------- ---- --------- ----
5 214 0.3 2,714 4.0
03/04/08 NYME NGPL TEXOK BASIS SWAP U.S. 3 13,837 16.5 2,541 3.0 83,724
NON U.S. 2 1,158 1.4 4,156 5.0
---- --------- ---- --------- ----
5 14,995 17.9 6,697 8.0
03/04/08 NYME ANR OK BASIS SWAP U.S. 2 0 0.0 2,933 6.8 42,879
NON U.S. 3 0 0.0 6,770 15.8
---- --------- ---- --------- ----
5 0 0.0 9,703 22.6
03/04/08 NYME SUMAS BASIS SWAP U.S. 2 1,654 10.7 122 0.8 15,529
NON U.S. 4 3,813 24.6 600 3.9
---- --------- ---- --------- ----
6 5,467 35.2 722 4.6
03/04/08 NYME WAHA BASIS SWAP U.S. 4 1,158 1.0 13,154 11.1 118,335
NON U.S. 1 0 0.0 2,862 2.4
---- --------- ---- --------- ----
5 1,158 1.0 16,016 13.5
03/04/08 NYME CIG BASIS SWAP U.S. 4 58 0.2 3,786 11.4 33,248
NON U.S. 3 1,270 3.8 7,726 23.2
---- --------- ---- --------- ----
7 1,328 4.0 11,512 34.6
03/04/08 NYME CENTERPOINT BASIS SWAP U.S. 4 856 2.9 3,389 11.4 29,764
NON U.S. 3 5,324 17.9 4,670 15.7
---- --------- ---- --------- ----
7 6,180 20.8 8,059 27.1
03/04/08 CME 1-MONTH LIBOR RATE U.S. 1 9,803 30.2 2,072 6.4 32,465
NON U.S. 9 5,585 17.2 4,530 14.0
---- --------- ---- --------- ----
10 15,388 47.4 6,602 20.3
03/04/08 NYBT COTTON NO. 2 U.S. 1 2,090 0.7 0 0.0 299,206
NON U.S. 11 26,357 8.8 553 0.2
---- --------- ---- --------- ----
12 28,447 9.5 553 0.2
03/04/08 NYME ALBERTA BASIS SWAP U.S. 4 4,017 3.2 1,976 1.6 125,857
NON U.S. 9 13,129 10.4 31,718 25.2
---- --------- ---- --------- ----
13 17,146 13.6 33,694 26.8
03/04/08 NYME HOUSTON SHIP CH BASIS SWAP U.S. 5 3,032 1.3 13,808 5.7 240,422
NON U.S. 4 6,941 2.9 12,976 5.4
---- --------- ---- --------- ----
9 9,973 4.1 26,784 11.1
03/04/08 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 9,200 4.1 25,646 11.4 224,815
NON U.S. 5 18,557 8.3 20,917 9.3
---- --------- ---- --------- ----
10 27,757 12.3 46,563 20.7
03/04/08 NYME PANHANDLE BASIS SWAP U.S. 3 5,082 2.2 26,358 11.2 234,663
NON U.S. 4 6,793 2.9 34,424 14.7
---- --------- ---- --------- ----
7 11,875 5.1 60,782 25.9
03/04/08 NYME SAN JUAN BASIS SWAP U.S. 6 12,475 23.7 5,437 10.3 52,609
NON U.S. 4 3,508 6.7 4,280 8.1
---- --------- ---- --------- ----
10 15,983 30.4 9,717 18.5
03/04/08 NYME SOCAL BASIS SWAP U.S. 4 24,333 10.8 7,003 3.1 225,789
NON U.S. 5 5,503 2.4 16,053 7.1
---- --------- ---- --------- ----
9 29,836 13.2 23,056 10.2
03/04/08 NYME HENRY HUB GAS SWAP U.S. 6 93,160 3.0 299,201 9.6 3,108,393
NON U.S. 8 198,899 6.4 217,825 7.0
---- --------- ---- --------- ----
14 292,059 9.4 517,026 16.6
03/04/08 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 5 96,657 10.0 4,364 0.5 966,328
NON U.S. 9 166,492 17.2 80,981 8.4
---- --------- ---- --------- ----
14 263,149 27.2 85,345 8.8
03/04/08 NYBT FRZN CONCENTRATED ORANGE JUICE NON U.S. 5 4,137 13.6 0 0.0 30,403
03/04/08 CBT 2-YEAR U.S. TREASURY NOTES U.S. 5 79,118 6.1 27,339 2.1 1,305,218
NON U.S. 42 98,935 7.6 75,052 5.8
---- --------- ---- --------- ----
47 178,053 13.6 102,391 7.8
03/04/08 CBT 10-YEAR U.S. TREASURY NOTES U.S. 8 42,717 1.8 20,473 0.9 2,358,330
NON U.S. 46 71,559 3.0 209,720 8.9
---- --------- ---- --------- ----
54 114,276 4.8 230,193 9.8
03/04/08 CBT 5-YEAR U.S. TREASURY NOTES U.S. 6 39,150 1.9 52,651 2.6 2,028,217
NON U.S. 33 89,314 4.4 93,874 4.6
---- --------- ---- --------- ----
39 128,464 6.3 146,525 7.2
03/04/08 CBT 30-DAY FEDERAL FUNDS U.S. 4 8,082 3.0 17,265 6.5 267,644
NON U.S. 19 27,782 10.4 51,023 19.1
---- --------- ---- --------- ----
23 35,864 13.4 68,288 25.5
03/04/08 CME LEAN HOGS U.S. 2 1,557 0.7 219 0.1 222,230
NON U.S. 7 19,734 8.9 976 0.4
---- --------- ---- --------- ----
9 21,291 9.6 1,195 0.5
03/04/08 CME LIVE CATTLE U.S. 2 6,393 2.3 1,878 0.7 283,138
NON U.S. 9 24,260 8.6 1,046 0.4
---- --------- ---- --------- ----
11 30,653 10.8 2,924 1.0
03/04/08 CME FEEDER CATTLE U.S. 2 0 0.0 783 2.0 39,146
NON U.S. 3 650 1.7 0 0.0
---- --------- ---- --------- ----
5 650 1.7 783 2.0
03/04/08 NYME PJM ELECTRICITY MONTHLY U.S. 2 2,720 8.4 3,476 10.7 32,353
NON U.S. 3 1,018 3.1 1,231 3.8
---- --------- ---- --------- ----
5 3,738 11.6 4,707 14.5
03/04/08 NYME PJM CAL MONTH OFF PK LMP SWAP U.S. 2 5,852 22.0 2,132 8.0 26,616
NON U.S. 3 2,770 10.4 834 3.1
---- --------- ---- --------- ----
5 8,622 32.4 2,966 11.1
03/04/08 NYME NORTH ILL OFF PK LMP SWAP U.S. 2 3,482 15.1 804 3.5 23,108
NON U.S. 3 3,086 13.4 2,288 9.9
---- --------- ---- --------- ----
5 6,568 28.4 3,092 13.4
03/04/08 NYME CRUDE OIL, LIGHT SWEET U.S. 5 24,265 1.7 57,801 4.0 1,450,956
NON U.S. 18 131,296 9.0 105,817 7.3
---- --------- ---- --------- ----
23 155,561 10.7 163,618 11.3
03/04/08 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 3 10,516 9.0 4,836 4.2 116,229
NON U.S. 6 10,249 8.8 11,743 10.1
---- --------- ---- --------- ----
9 20,765 17.9 16,579 14.3
03/04/08 NYME WTI CRUDE OIL FINANCIAL U.S. 5 6,184 3.8 5,238 3.3 160,994
NON U.S. 9 23,001 14.3 17,667 11.0
---- --------- ---- --------- ----
14 29,185 18.1 22,905 14.2
03/04/08 NYME DATED TO FRONTLINE BRENT SWAP U.S. 2 1,460 8.0 1,090 6.0 18,202
NON U.S. 3 100 0.5 3,300 18.1
---- --------- ---- --------- ----
5 1,560 8.6 4,390 24.1
03/04/08 NYME BRENT-DUBAI SWAP U.S. 2 0 0.0 2,225 34.6 6,435
NON U.S. 4 600 9.3 775 12.0
---- --------- ---- --------- ----
6 600 9.3 3,000 46.6
03/04/08 NYBT COCOA U.S. 1 3,195 1.8 0 0.0 179,090
NON U.S. 8 4,342 2.4 8,862 4.9
---- --------- ---- --------- ----
9 7,537 4.2 8,862 4.9
03/04/08 NYME PALLADIUM U.S. 3 0 0.0 4,349 20.3 21,466
NON U.S. 8 550 2.6 3,728 17.4
---- --------- ---- --------- ----
11 550 2.6 8,077 37.6
03/04/08 NYME PLATINUM U.S. 2 0 0.0 158 1.1 15,014
NON U.S. 9 866 5.8 1,061 7.1
---- --------- ---- --------- ----
11 866 5.8 1,219 8.1
03/04/08 NYBT SUGAR NO. 11 U.S. 2 8,675 0.9 2,956 0.3 1,013,151
NON U.S. 10 97,995 9.7 51,425 5.1
---- --------- ---- --------- ----
12 106,670 10.5 54,381 5.4
03/04/08 NYBT COFFEE C U.S. 1 1,522 0.8 0 0.0 192,088
NON U.S. 13 19,262 10.0 12,382 6.4
---- --------- ---- --------- ----
14 20,784 10.8 12,382 6.4
03/04/08 CMX SILVER U.S. 3 1 0.0 12,382 7.4 166,625
NON U.S. 8 4,252 2.6 1,918 1.2
---- --------- ---- --------- ----
11 4,253 2.6 14,300 8.6
03/04/08 CMX COPPER-GRADE #1 U.S. 2 2,050 2.0 0 0.0 101,867
NON U.S. 12 8,613 8.5 1,977 1.9
---- --------- ---- --------- ----
14 10,663 10.5 1,977 1.9
03/04/08 CMX GOLD U.S. 3 4,060 0.8 58,307 12.0 486,992
NON U.S. 22 26,258 5.4 58,755 12.1
---- --------- ---- --------- ----
25 30,318 6.2 117,062 24.0
03/04/08 CME RUSSIAN RUBLE NON U.S. 6 11,340 71.1 10,351 64.9 15,954
03/04/08 CME CANADIAN DOLLAR U.S. 5 809 0.7 3,488 3.0 117,986
NON U.S. 8 5,923 5.0 36,823 31.2
---- --------- ---- --------- ----
13 6,732 5.7 40,311 34.2
03/04/08 CME SWISS FRANC U.S. 3 1,199 1.5 2,865 3.5 81,574
NON U.S. 6 22,981 28.2 14,566 17.9
---- --------- ---- --------- ----
9 24,180 29.6 17,431 21.4
03/04/08 CME MEXICAN PESO U.S. 3 4,687 2.7 1,437 0.8 170,510
NON U.S. 9 811 0.5 105,992 62.2
---- --------- ---- --------- ----
12 5,498 3.2 107,429 63.0
03/04/08 CME BRITISH POUND STERLING U.S. 1 1,168 1.2 0 0.0 100,067
NON U.S. 5 21,141 21.1 29,400 29.4
---- --------- ---- --------- ----
6 22,309 22.3 29,400 29.4
03/04/08 CME JAPANESE YEN U.S. 3 3,624 1.4 20,599 8.1 254,859
NON U.S. 12 10,123 4.0 20,426 8.0
---- --------- ---- --------- ----
15 13,747 5.4 41,025 16.1
03/04/08 CME EURO FX U.S. 4 2,032 0.9 2,459 1.1 226,280
NON U.S. 17 69,066 30.5 31,063 13.7
---- --------- ---- --------- ----
21 71,098 31.4 33,522 14.8
03/04/08 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 4 2,799 1.2 896 0.4 230,924
NON U.S. 9 6,006 2.6 7,526 3.3
---- --------- ---- --------- ----
13 8,805 3.8 8,422 3.6
03/04/08 CME NEW ZEALAND DOLLAR U.S. 2 178 0.7 308 1.3 24,541
NON U.S. 5 5,271 21.5 6,374 26.0
---- --------- ---- --------- ----
7 5,449 22.2 6,682 27.2
03/04/08 CME SOUTH AFRICAN RAND U.S. 2 1,178 16.8 0 0.0 7,027
NON U.S. 3 2,229 31.7 30 0.4
---- --------- ---- --------- ----
5 3,407 48.5 30 0.4
03/04/08 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 2 1,570 4.5 22 0.1 35,075
NON U.S. 7 2,021 5.8 3,389 9.7
---- --------- ---- --------- ----
9 3,591 10.2 3,411 9.7
03/04/08 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2 600 0.6 0 0.0 107,440
NON U.S. 8 661 0.6 5,402 5.0
---- --------- ---- --------- ----
10 1,261 1.2 5,402 5.0
03/04/08 CME 3-MONTH EURODOLLARS U.S. 11 807,699 7.1 1,204,182 10.6 11,321,416
NON U.S. 63 1,497,173 13.2 1,991,262 17.6
---- --------- ---- --------- ----
74 2,304,872 20.4 3,195,444 28.2
03/04/08 CME S&P 500 STOCK INDEX U.S. 4 4,721 0.8 13 0.0 596,261
NON U.S. 20 8,102 1.4 69,609 11.7
---- --------- ---- --------- ----
24 12,823 2.2 69,622 11.7
03/04/08 CME E-MINI S&P 500 STOCK INDEX U.S. 8 13,691 0.6 71,263 3.0 2,402,309
NON U.S. 44 76,536 3.2 214,258 8.9
---- --------- ---- --------- ----
52 90,227 3.8 285,521 11.9
03/04/08 CME NASDAQ-100 STOCK INDEX U.S. 3 720 1.2 3,115 5.2 60,053
NON U.S. 6 10,827 18.0 3 0.0
---- --------- ---- --------- ----
9 11,547 19.2 3,118 5.2
03/04/08 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 6 5,957 1.3 5,004 1.1 451,704
NON U.S. 27 23,685 5.2 21,558 4.8
---- --------- ---- --------- ----
33 29,642 6.6 26,562 5.9
03/04/08 CME AUSTRALIAN DOLLAR U.S. 2 0 0.0 1,510 1.7 90,774
NON U.S. 5 9 0.0 25,523 28.1
---- --------- ---- --------- ----
7 9 0.0 27,033 29.8
03/04/08 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 3 285 0.6 1,138 2.4 47,137
NON U.S. 7 1,271 2.7 5,164 11.0
---- --------- ---- --------- ----
10 1,556 3.3 6,302 13.4
03/04/08 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 7 2,526 0.4 9,713 1.4 696,549
NON U.S. 19 26,196 3.8 17,980 2.6
---- --------- ---- --------- ----
26 28,722 4.1 27,693 4.0
03/04/08 CME NIKKEI STOCK AVERAGE U.S. 4 327 0.4 8,456 10.1 83,490
NON U.S. 17 18,919 22.7 10,662 12.8
---- --------- ---- --------- ----
21 19,246 23.1 19,118 22.9
03/04/08 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 3 1,751 2.0 1,965 2.3 86,600
NON U.S. 16 5,565 6.4 34,072 39.3
---- --------- ---- --------- ----
19 7,316 8.4 36,037 41.6
03/04/08 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 2 1,300 2.6 13,491 26.5 50,975
NON U.S. 3 413 0.8 1,223 2.4
---- --------- ---- --------- ----
5 1,713 3.4 14,714 28.9
03/04/08 CBT INTEREST RATE SWAPS 5YR - 3MO U.S. 2 6,055 26.8 423 1.9 22,630
NON U.S. 3 1,622 7.2 111 0.5
---- --------- ---- --------- ----
5 7,677 33.9 534 2.4
03/04/08 NYBT EURO FX/JAPANESE YEN XRATE U.S. 1 0 0.0 626 5.8 10,884
NON U.S. 6 683 6.3 2,343 21.5
---- --------- ---- --------- ----
7 683 6.3 2,969 27.3
03/04/08 CME E-MINI S&P 400 STOCK INDEX U.S. 3 593 0.5 537 0.5 110,720
NON U.S. 3 0 0.0 10,300 9.3
---- --------- ---- --------- ----
6 593 0.5 10,837 9.8
03/04/08 CME EURO FX/JAPANESE YEN XRATE NON U.S. 5 4,824 48.7 4,390 44.3 9,906
03/04/08 NYBT EURO FX/SWISS FRANC XRATE U.S. 1 173 1.7 0 0.0 10,370
NON U.S. 5 2,346 22.6 4,108 39.6
---- --------- ---- --------- ----
6 2,519 24.3 4,108 39.6
03/04/08 CME 3-MO. EUROYEN TIBOR U.S. 4 1,422 4.2 2,084 6.2 33,629
NON U.S. 13 12,168 36.2 5,232 15.6
---- --------- ---- --------- ----
17 13,590 40.4 7,316 21.8
03/04/08 NYME SING JET KERO GASOIL SPR SWAP U.S. 2 150 3.2 300 6.4 4,695
NON U.S. 3 300 6.4 300 6.4
---- --------- ---- --------- ----
5 450 9.6 600 12.8
03/04/08 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 3 340 4.4 330 4.3 7,715
NON U.S. 2 1,585 20.5 540 7.0
---- --------- ---- --------- ----
5 1,925 25.0 870 11.3
03/04/08 NYME GASOIL CRACK SPR SWAP U.S. 2 1,722 19.0 0 0.0 9,055
NON U.S. 3 537 5.9 529 5.8
---- --------- ---- --------- ----
5 2,259 24.9 529 5.8