BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
03/05/13 CBT WHEAT U.S. 21,922 4.8 2,627 0.6 460,888
NON U.S. 11,555 2.5 7,502 1.6
---- --------- ---- --------- ----
13 33,477 7.3 10,129 2.2
03/05/13 KCBT WHEAT U.S. 6,947 4.2 0 0.0 164,037
NON U.S. 1,713 1.0 3,773 2.3
---- --------- ---- --------- ----
6 8,660 5.3 3,773 2.3
03/05/13 CBT CORN U.S. 40,612 3.4 4,122 0.3 1,204,304
NON U.S. 13,839 1.1 3,228 0.3
---- --------- ---- --------- ----
11 54,451 4.5 7,350 0.6
03/05/13 CBT SOYBEANS U.S. 13,452 2.3 12,163 2.1 593,117
NON U.S. 6,875 1.2 11,018 1.9
---- --------- ---- --------- ----
11 20,327 3.4 23,181 3.9
03/05/13 CBT SOYBEAN OIL U.S. 12,720 3.9 907 0.3 323,718
NON U.S. 2,500 0.8 1,418 0.4
---- --------- ---- --------- ----
5 15,220 4.7 2,325 0.7
03/05/13 CBT U.S. TREASURY BONDS U.S. 5 0.0 4,811 0.7 641,634
NON U.S. 149 0.0 7,880 1.2
---- --------- ---- --------- ----
7 154 0.0 12,691 2.0
03/05/13 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 12,690 4.2 2,781 0.9 298,756
NON U.S. 2,250 0.8 8 0.0
---- --------- ---- --------- ----
5 14,940 5.0 2,789 0.9
03/05/13 NYME GULF COAST ULSD SWAP U.S. 940 5.3 1,401 7.8 17,873
NON U.S. 345 1.9 134 0.7
---- --------- ---- --------- ----
5 1,285 7.2 1,535 8.6
03/05/13 NYME UP DOWN GC ULSD VS HO SPR SWAP U.S. 1,687 4.0 10 0.0 42,118
NON U.S. 195 0.5 14 0.0
---- --------- ---- --------- ----
5 1,882 4.5 24 0.1
03/05/13 IFED NATURAL GAS ICE HENRY HUB U.S. 58,175 1.1 512,896 9.6 5,326,776
NON U.S. 42,557 0.8 532,664 10.0
---- --------- ---- --------- ----
11 100,732 1.9 1,045,560 19.6
03/05/13 IFED NATURAL GAS PENULTIMATE ICE U.S. 152,714 17.1 43,422 4.9 892,753
NON U.S. 21,513 2.4 8,411 0.9
---- --------- ---- --------- ----
7 174,227 19.5 51,833 5.8
03/05/13 IFED SOCAL BORDER FIN BASIS U.S. 4,701 1.5 3,957 1.3 309,529
NON U.S. 1,316 0.4 548 0.2
---- --------- ---- --------- ----
5 6,017 1.9 4,505 1.5
03/05/13 IFED NWP ROCKIES FIN BASIS U.S. 61 0.0 8,435 3.6 234,998
NON U.S. 3,993 1.7 21,110 9.0
---- --------- ---- --------- ----
7 4,054 1.7 29,545 12.6
03/05/13 IFED AECO FIN BASIS U.S. 2,097 0.3 248 0.0 786,175
NON U.S. 46,299 5.9 280,789 35.7
---- --------- ---- --------- ----
8 48,396 6.2 281,037 35.7
03/05/13 IFED HSC FIN BASIS U.S. 0 0.0 12,776 6.2 206,771
NON U.S. 0 0.0 12,695 6.1
---- --------- ---- --------- ----
5 0 0.0 25,471 12.3
03/05/13 IFED COLUMBIA GAS CO. - TCO POOL (APPALACHIA) (BASIS SWAP)
U.S. 790 0.5 14,490 9.2 158,136
NON U.S. 0 0.0 3,614 2.3
---- --------- ---- --------- ----
5 790 0.5 18,104 11.4
03/05/13 IFED PANHANDLE EASTERN PIPE LINE CO. - POOL GAS (BASIS SWAP)
U.S. 0 0.0 24,937 10.3 241,865
NON U.S. 519 0.2 9,502 3.9
---- --------- ---- --------- ----
5 519 0.2 34,439 14.2
03/05/13 NYME NATURAL GAS U.S. 34,638 2.8 23,823 1.9 1,236,980
NON U.S. 15,288 1.2 1,915 0.2
---- --------- ---- --------- ----
13 49,926 4.0 25,738 2.1
03/05/13 CBT SOYBEAN MEAL U.S. 6,869 2.4 2,121 0.8 282,271
NON U.S. 10,181 3.6 1,299 0.5
---- --------- ---- --------- ----
8 17,050 6.0 3,420 1.2
03/05/13 ICUS COTTON NO. 2 U.S. 7,047 3.6 0 0.0 196,405
NON U.S. 5,001 2.5 2,448 1.2
---- --------- ---- --------- ----
10 12,048 6.1 2,448 1.2
03/05/13 NYME HENRY HUB SWAP U.S. 68,743 2.8 248,987 10.2 2,433,264
NON U.S. 19,932 0.8 180,206 7.4
---- --------- ---- --------- ----
9 88,675 3.6 429,193 17.6
03/05/13 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 66,153 7.5 31,590 3.6 882,729
NON U.S. 47,171 5.3 6,815 0.8
---- --------- ---- --------- ----
8 113,324 12.8 38,405 4.4
03/05/13 CBT 2-YEAR U.S. TREASURY NOTES U.S. 7 35,874 3.3 56,779 5.3 1,076,495
NON U.S. 10 6,727 0.6 26,578 2.5
---- --------- ---- --------- ----
17 42,601 4.0 83,357 7.7
03/05/13 CBT 10-YEAR U.S. TREASURY NOTES U.S. 8 22,417 1.1 61,815 2.9 2,122,625
NON U.S. 24 34,405 1.6 42,881 2.0
---- --------- ---- --------- ----
32 56,822 2.7 104,696 4.9
03/05/13 CBT 5-YEAR U.S. TREASURY NOTES U.S. 6 77,760 4.4 7,831 0.4 1,783,542
NON U.S. 10 85,275 4.8 35,223 2.0
---- --------- ---- --------- ----
16 163,035 9.1 43,054 2.4
03/05/13 CBT 30-DAY FEDERAL FUNDS U.S. 7 19,332 5.9 41,745 12.8 326,795
NON U.S. 8 16,145 4.9 26,219 8.0
---- --------- ---- --------- ----
15 35,477 10.9 67,964 20.8
03/05/13 CME LEAN HOGS U.S. 8,415 3.6 24 0.0 231,967
NON U.S. 3,929 1.7 289 0.1
---- --------- ---- --------- ----
6 12,344 5.3 313 0.1
03/05/13 CME LIVE CATTLE U.S. 9,490 2.8 185 0.1 337,694
NON U.S. 4,664 1.4 176 0.1
---- --------- ---- --------- ----
6 14,154 4.2 361 0.1
03/05/13 NYME CRUDE OIL, LIGHT SWEET U.S. 39,761 2.3 129,977 7.6 1,710,526
NON U.S. 21,407 1.3 196,464 11.5
---- --------- ---- --------- ----
18 61,168 3.6 326,441 19.1
03/05/13 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 10,709 6.2 34,267 20.0 171,519
NON U.S. 16,652 9.7 31,022 18.1
---- --------- ---- --------- ----
14 27,361 16.0 65,289 38.1
03/05/13 NYME DATED BRENT CALENDAR SWAP U.S. 1,749 42.4 244 5.9 4,124
NON U.S. 231 5.6 337 8.2
---- --------- ---- --------- ----
5 1,980 48.0 581 14.1
03/05/13 NYME WTI-BRENT CALENDAR SWAP U.S. 1,830 3.1 2,899 4.8 59,874
NON U.S. 1,180 2.0 3,862 6.5
---- --------- ---- --------- ----
6 3,010 5.0 6,761 11.3
03/05/13 NYME DATED TO FRONTLINE BRENT SWAP U.S. 515 5.5 985 10.5 9,386
NON U.S. 951 10.1 1,590 16.9
---- --------- ---- --------- ----
6 1,466 15.6 2,575 27.4
03/05/13 NYME BRENT (ICE) CALENDAR SWAP U.S. 2,328 5.1 6,110 13.3 45,883
NON U.S. 7,678 16.7 3,374 7.4
---- --------- ---- --------- ----
12 10,006 21.8 9,484 20.7
03/05/13 NYME BRENT CRUDE OIL LAST DAY U.S. 2,553 5.4 870 1.8 47,074
NON U.S. 150 0.3 316 0.7
---- --------- ---- --------- ----
6 2,703 5.7 1,186 2.5
03/05/13 ICUS COCOA U.S. 2,705 1.3 267 0.1 200,892
NON U.S. 1,962 1.0 12,105 6.0
---- --------- ---- --------- ----
7 4,667 2.3 12,372 6.2
03/05/13 NYME PALLADIUM U.S. 331 1.0 10,633 30.8 34,479
NON U.S. 1,411 4.1 5,214 15.1
---- --------- ---- --------- ----
17 1,742 5.1 15,847 46.0
03/05/13 NYME PLATINUM U.S. 4 343 0.5 19,526 30.2 64,689
NON U.S. 14 2,826 4.4 6,822 10.5
---- --------- ---- --------- ----
18 3,169 4.9 26,348 40.7
03/05/13 ICUS SUGAR NO. 11 U.S. 41,340 5.3 2,045 0.3 785,424
NON U.S. 17,829 2.3 8,416 1.1
---- --------- ---- --------- ----
10 59,169 7.5 10,461 1.3
03/05/13 ICUS COFFEE C U.S. 7,108 4.2 1 0.0 167,363
NON U.S. 2,626 1.6 1,214 0.7
---- --------- ---- --------- ----
12 9,734 5.8 1,215 0.7
03/05/13 CMX SILVER U.S. 4,014 2.7 35,679 24.3 147,100
NON U.S. 13,430 9.1 22,666 15.4
---- --------- ---- --------- ----
17 17,444 11.9 58,345 39.7
03/05/13 CMX COPPER-GRADE #1 U.S. 15,895 10.0 2,466 1.5 159,485
NON U.S. 1,614 1.0 1,502 0.9
---- --------- ---- --------- ----
12 17,509 11.0 3,968 2.5
03/05/13 CMX GOLD U.S. 4 40,685 9.4 86,924 20.0 434,586
NON U.S. 21 29,219 6.7 72,545 16.7
---- --------- ---- --------- ----
25 69,904 16.1 159,469 36.7
03/05/13 CME RUSSIAN RUBLE U.S. 8,008 11.6 4,527 6.6 68,906
NON U.S. 32,012 46.5 33,723 48.9
---- --------- ---- --------- ----
10 40,020 58.1 38,250 55.5
03/05/13 CME CANADIAN DOLLAR U.S. 20,462 9.3 0 0.0 221,062
NON U.S. 6,862 3.1 5,808 2.6
---- --------- ---- --------- ----
8 27,324 12.4 5,808 2.6
03/05/13 CME SWISS FRANC U.S. 0 0.0 691 1.2 55,311
NON U.S. 519 0.9 9,622 17.4
---- --------- ---- --------- ----
6 519 0.9 10,313 18.6
03/05/13 CME MEXICAN PESO U.S. 18,834 11.7 5,305 3.3 160,919
NON U.S. 12,016 7.5 228 0.1
---- --------- ---- --------- ----
8 30,850 19.2 5,533 3.4
03/05/13 CME BRITISH POUND STERLING U.S. 7 10,868 4.6 18,808 8.0 236,181
NON U.S. 6 2,168 0.9 4,309 1.8
---- --------- ---- --------- ----
13 13,036 5.5 23,117 9.8
03/05/13 CME JAPANESE YEN U.S. 6 32,005 13.2 12,960 5.4 241,938
NON U.S. 7 42,601 17.6 5,456 2.3
---- --------- ---- --------- ----
13 74,606 30.8 18,416 7.6
03/05/13 CME EURO FX U.S. 4 7,207 3.3 2,114 1.0 218,469
NON U.S. 17 9,825 4.5 3,225 1.5
---- --------- ---- --------- ----
21 17,032 7.8 5,339 2.4
03/05/13 CME BRAZILIAN REAL U.S. 12,423 35.4 50 0.1 35,104
NON U.S. 120 0.3 27,060 77.1
---- --------- ---- --------- ----
7 12,543 35.7 27,110 77.2
03/05/13 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 6,954 2.2 2,847 0.9 317,253
NON U.S. 2,388 0.8 1,633 0.5
---- --------- ---- --------- ----
8 9,342 2.9 4,480 1.4
03/05/13 NYME RBOB CALENDAR SWAP U.S. 90 0.7 503 4.2 12,086
NON U.S. 126 1.0 40 0.3
---- --------- ---- --------- ----
5 216 1.8 543 4.5
03/05/13 CME NEW ZEALAND DOLLAR U.S. 884 2.8 3,553 11.3 31,547
NON U.S. 249 0.8 317 1.0
---- --------- ---- --------- ----
6 1,133 3.6 3,870 12.3
03/05/13 E VIX FUTURES U.S. 0 0.0 12,372 3.0 413,877
NON U.S. 3,028 0.7 2,020 0.5
---- --------- ---- --------- ----
5 3,028 0.7 14,392 3.5
03/05/13 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 3,089 2.2 0 0.0 138,439
NON U.S. 597 0.4 2,604 1.9
---- --------- ---- --------- ----
8 3,686 2.7 2,604 1.9
03/05/13 CME 3-MONTH EURODOLLARS U.S. 10 923,376 9.8 751,816 7.9 9,469,337
NON U.S. 29 299,489 3.2 883,153 9.3
---- --------- ---- --------- ----
39 1,222,865 12.9 1,634,969 17.3
03/05/13 CME S&P 500 STOCK INDEX U.S. 1,896 0.8 0 0.0 237,188
NON U.S. 8,798 3.7 6,304 2.7
---- --------- ---- --------- ----
6 10,694 4.5 6,304 2.7
03/05/13 CME E-MINI S&P 500 STOCK INDEX U.S. 6 88,118 2.7 13,610 0.4 3,275,893
NON U.S. 28 37,015 1.1 47,251 1.4
---- --------- ---- --------- ----
34 125,133 3.8 60,861 1.9
03/05/13 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 1,688 0.5 0 0.0 354,078
NON U.S. 1,984 0.6 5,643 1.6
---- --------- ---- --------- ----
12 3,672 1.0 5,643 1.6
03/05/13 CME AUSTRALIAN DOLLAR U.S. 4 14,373 9.1 0 0.0 157,595
NON U.S. 6 1,638 1.0 14,739 9.4
---- --------- ---- --------- ----
10 16,011 10.2 14,739 9.4
03/05/13 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 1,649 0.4 3,948 1.0 378,750
NON U.S. 3,735 1.0 0 0.0
---- --------- ---- --------- ----
7 5,384 1.4 3,948 1.0
03/05/13 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 60 0.1 854 0.9 95,807
NON U.S. 3,769 3.9 4,279 4.5
---- --------- ---- --------- ----
9 3,829 4.0 5,133 5.4
03/05/13 NYL MSCI EMERGING MKTS MINI INDEX U.S. 471 0.2 0 0.0 193,856
NON U.S. 9,481 4.9 4,164 2.1
---- --------- ---- --------- ----
14 9,952 5.1 4,164 2.1
03/05/13 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 2,611 6.0 730 1.7 43,869
NON U.S. 4,340 9.9 998 2.3
---- --------- ---- --------- ----
7 6,951 15.8 1,728 3.9
03/05/13 NYME EUROBOB OXY NWE CRK SPR U.S. 1,925 5.5 839 2.4 34,820
NON U.S. 402 1.2 929 2.7
---- --------- ---- --------- ----
5 2,327 6.7 1,768 5.1