BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
04/03/12 CBT WHEAT U.S. 24,869 5.3 2,310 0.5 466,165
NON U.S. 16,419 3.5 5,032 1.1
---- --------- ---- --------- ----
10 41,288 8.9 7,342 1.6
04/03/12 KCBT WHEAT U.S. 1,962 1.4 70 0.0 142,998
NON U.S. 2,811 2.0 1,634 1.1
---- --------- ---- --------- ----
5 4,773 3.3 1,704 1.2
04/03/12 CBT CORN U.S. 47,840 3.6 11,220 0.8 1,342,159
NON U.S. 20,737 1.5 4,850 0.4
---- --------- ---- --------- ----
13 68,577 5.1 16,070 1.2
04/03/12 CBT SOYBEANS U.S. 15,111 2.0 12,133 1.6 753,669
NON U.S. 10,434 1.4 5,399 0.7
---- --------- ---- --------- ----
11 25,545 3.4 17,532 2.3
04/03/12 CBT SOYBEAN OIL U.S. 17,955 5.0 209 0.1 362,335
NON U.S. 5,333 1.5 645 0.2
---- --------- ---- --------- ----
6 23,288 6.4 854 0.2
04/03/12 CBT U.S. TREASURY BONDS U.S. 4 1,882 0.3 7,951 1.4 573,636
NON U.S. 6 5,355 0.9 6,921 1.2
---- --------- ---- --------- ----
10 7,237 1.3 14,872 2.6
04/03/12 NYME GULF # 6 FUEL 3.0% SULFUR SWAP U.S. 1,086 2.6 300 0.7 41,049
NON U.S. 427 1.0 48 0.1
---- --------- ---- --------- ----
5 1,513 3.7 348 0.8
04/03/12 NYME EUR 3.5% FUEL OIL RTD CAL SWAP U.S. 349 3.4 318 3.1 10,233
NON U.S. 749 7.3 151 1.5
---- --------- ---- --------- ----
5 1,098 10.7 469 4.6
04/03/12 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 12,202 4.3 582 0.2 285,433
NON U.S. 1,587 0.6 1,049 0.4
---- --------- ---- --------- ----
6 13,789 4.8 1,631 0.6
04/03/12 NYME SING GASOIL SWAP U.S. 1,436 10.8 50 0.4 13,295
NON U.S. 973 7.3 301 2.3
---- --------- ---- --------- ----
5 2,409 18.1 351 2.6
04/03/12 NYME NATURAL GAS U.S. 35,441 2.9 23,307 1.9 1,234,227
NON U.S. 29,638 2.4 1,746 0.1
---- --------- ---- --------- ----
10 65,079 5.3 25,053 2.0
04/03/12 ICUS COTTON NO. 2 U.S. 6,245 3.3 132 0.1 191,444
NON U.S. 4,091 2.1 5,327 2.8
---- --------- ---- --------- ----
11 10,336 5.4 5,459 2.9
04/03/12 NYME NW PIPE ROCKIES BASIS SWAP U.S. 580 1.3 2,734 6.0 45,384
NON U.S. 3,153 6.9 214 0.5
---- --------- ---- --------- ----
5 3,733 8.2 2,948 6.5
04/03/12 NYME HENRY HUB SWAP U.S. 93,563 3.5 199,238 7.5 2,653,296
NON U.S. 15,000 0.6 161,792 6.1
---- --------- ---- --------- ----
9 108,563 4.1 361,030 13.6
04/03/12 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 112,935 8.0 35,571 2.5 1,403,523
NON U.S. 29,832 2.1 11,259 0.8
---- --------- ---- --------- ----
8 142,767 10.2 46,830 3.3
04/03/12 CBT ROUGH RICE U.S. 196 1.2 0 0.0 16,337
NON U.S. 833 5.1 600 3.7
---- --------- ---- --------- ----
5 1,029 6.3 600 3.7
04/03/12 CBT 2-YEAR U.S. TREASURY NOTES U.S. 7 34,827 4.4 1,606 0.2 785,415
NON U.S. 5 5,278 0.7 4,231 0.5
---- --------- ---- --------- ----
12 40,105 5.1 5,837 0.7
04/03/12 CBT 10-YEAR U.S. TREASURY NOTES U.S. 7 10,511 0.6 39,281 2.3 1,735,420
NON U.S. 27 59,798 3.4 65,686 3.8
---- --------- ---- --------- ----
34 70,309 4.1 104,967 6.0
04/03/12 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 40,865 3.2 31,035 2.4 1,274,872
NON U.S. 12 23,117 1.8 33,657 2.6
---- --------- ---- --------- ----
17 63,982 5.0 64,692 5.1
04/03/12 CBT 30-DAY FEDERAL FUNDS U.S. 7 52,070 10.0 57,103 11.0 519,960
NON U.S. 11 32,260 6.2 46,970 9.0
---- --------- ---- --------- ----
18 84,330 16.2 104,073 20.0
04/03/12 CME LEAN HOGS U.S. 8,047 3.1 0 0.0 259,416
NON U.S. 5,393 2.1 2,196 0.8
---- --------- ---- --------- ----
6 13,440 5.2 2,196 0.8
04/03/12 CME LIVE CATTLE U.S. 7,839 2.2 186 0.1 361,339
NON U.S. 5,856 1.6 2,057 0.6
---- --------- ---- --------- ----
6 13,695 3.8 2,243 0.6
04/03/12 NYME CRUDE OIL, LIGHT SWEET U.S. 60,254 3.8 113,364 7.2 1,569,070
NON U.S. 26,440 1.7 164,159 10.5
---- --------- ---- --------- ----
17 86,694 5.5 277,523 17.7
04/03/12 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 13,842 6.9 35,855 17.8 201,820
NON U.S. 14,660 7.3 33,935 16.8
---- --------- ---- --------- ----
13 28,502 14.1 69,790 34.6
04/03/12 NYME WTI CRUDE OIL FINANCIAL U.S. 8,642 10.3 16,300 19.5 83,800
NON U.S. 3,670 4.4 2,892 3.5
---- --------- ---- --------- ----
7 12,312 14.7 19,192 22.9
04/03/12 NYME WTI-BRENT CALENDAR SWAP U.S. 2,220 4.2 2,355 4.5 52,780
NON U.S. 2,316 4.4 840 1.6
---- --------- ---- --------- ----
6 4,536 8.6 3,195 6.1
04/03/12 NYME BRENT (ICE) CALENDAR SWAP U.S. 4,894 8.9 3,337 6.0 55,212
NON U.S. 7,723 14.0 4,101 7.4
---- --------- ---- --------- ----
10 12,617 22.9 7,438 13.5
04/03/12 ICUS COCOA U.S. 1,762 1.0 970 0.5 176,650
NON U.S. 2,240 1.3 13,437 7.6
---- --------- ---- --------- ----
5 4,002 2.3 14,407 8.2
04/03/12 NYME PALLADIUM U.S. 337 1.6 3,728 17.7 21,003
NON U.S. 1,587 7.6 2,112 10.1
---- --------- ---- --------- ----
16 1,924 9.2 5,840 27.8
04/03/12 NYME PLATINUM U.S. 417 1.0 6,626 16.4 40,490
NON U.S. 1,117 2.8 7,122 17.6
---- --------- ---- --------- ----
16 1,534 3.8 13,748 34.0
04/03/12 ICUS SUGAR NO. 11 U.S. 19,623 2.7 7,287 1.0 735,961
NON U.S. 10,242 1.4 15,933 2.2
---- --------- ---- --------- ----
11 29,865 4.1 23,220 3.2
04/03/12 ICUS COFFEE C U.S. 2,315 1.5 2,456 1.6 157,812
NON U.S. 1,546 1.0 2,480 1.6
---- --------- ---- --------- ----
11 3,861 2.4 4,936 3.1
04/03/12 CMX SILVER U.S. 4 2,363 2.0 22,259 19.1 116,434
NON U.S. 14 4,206 3.6 6,481 5.6
---- --------- ---- --------- ----
18 6,569 5.6 28,740 24.7
04/03/12 CMX COPPER-GRADE #1 U.S. 12,744 8.1 3,493 2.2 156,569
NON U.S. 1,318 0.8 2,142 1.4
---- --------- ---- --------- ----
10 14,062 9.0 5,635 3.6
04/03/12 CMX GOLD U.S. 4 38,670 9.5 108,143 26.5 407,761
NON U.S. 19 13,044 3.2 50,846 12.5
---- --------- ---- --------- ----
23 51,714 12.7 158,989 39.0
04/03/12 CME RUSSIAN RUBLE U.S. 9,492 7.7 3,180 2.6 123,769
NON U.S. 79,817 64.5 82,517 66.7
---- --------- ---- --------- ----
8 89,309 72.2 85,697 69.2
04/03/12 CME JAPANESE YEN U.S. 13,385 8.9 3,140 2.1 150,382
NON U.S. 2,158 1.4 63 0.0
---- --------- ---- --------- ----
7 15,543 10.3 3,203 2.1
04/03/12 CME EURO FX U.S. 46,884 19.5 448 0.2 241,006
NON U.S. 8,094 3.4 8,964 3.7
---- --------- ---- --------- ----
17 54,978 22.8 9,412 3.9
04/03/12 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 7,255 2.1 7,027 2.0 345,747
NON U.S. 1,921 0.6 2,905 0.8
---- --------- ---- --------- ----
8 9,176 2.7 9,932 2.9
04/03/12 E VIX FUTURES U.S. 0 0.0 17,510 5.6 310,512
NON U.S. 2,480 0.8 1,564 0.5
---- --------- ---- --------- ----
7 2,480 0.8 19,074 6.1
04/03/12 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 4 4,926 4.7 0 0.0 104,930
NON U.S. 4 1,824 1.7 21,959 20.9
---- --------- ---- --------- ----
8 6,750 6.4 21,959 20.9
04/03/12 CME 3-MONTH EURODOLLARS U.S. 12 1,381,835 16.4 570,641 6.8 8,438,012
NON U.S. 34 345,280 4.1 581,668 6.9
---- --------- ---- --------- ----
46 1,727,115 20.5 1,152,309 13.7
04/03/12 CME S&P 500 STOCK INDEX U.S. 1,775 0.8 463 0.2 225,382
NON U.S. 5,607 2.5 9,526 4.2
---- --------- ---- --------- ----
8 7,382 3.3 9,989 4.4
04/03/12 CME E-MINI S&P 500 STOCK INDEX U.S. 8 44,610 1.6 10,548 0.4 2,753,427
NON U.S. 31 35,365 1.3 106,374 3.9
---- --------- ---- --------- ----
39 79,975 2.9 116,922 4.2
04/03/12 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 1,681 0.4 0 0.0 447,118
NON U.S. 11,221 2.5 16,987 3.8
---- --------- ---- --------- ----
14 12,902 2.9 16,987 3.8
04/03/12 CME AUSTRALIAN DOLLAR U.S. 1,359 0.9 2,861 1.9 151,825
NON U.S. 0 0.0 4,249 2.8
---- --------- ---- --------- ----
5 1,359 0.9 7,110 4.7
04/03/12 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 4,540 1.2 3,496 0.9 379,294
NON U.S. 5 4,195 1.1 971 0.3
---- --------- ---- --------- ----
9 8,735 2.3 4,467 1.2
04/03/12 CME NIKKEI STOCK AVERAGE U.S. 0 0.0 0 0.0 49,658
NON U.S. 3,705 7.5 173 0.3
---- --------- ---- --------- ----
5 3,705 7.5 173 0.3
04/03/12 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 0 0.0 0 0.0 49,439
NON U.S. 1,351 2.7 1,549 3.1
---- --------- ---- --------- ----
7 1,351 2.7 1,549 3.1
04/03/12 NYL MSCI EMERGING MKTS MINI INDEX U.S. 0 0.0 0 0.0 84,703
NON U.S. 5,587 6.6 8,226 9.7
---- --------- ---- --------- ----
11 5,587 6.6 8,226 9.7
04/03/12 CME E-MINI S&P 400 STOCK INDEX U.S. 668 0.7 0 0.0 100,269
NON U.S. 0 0.0 3,500 3.5
---- --------- ---- --------- ----
5 668 0.7 3,500 3.5
04/03/12 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 1,102 4.5 321 1.3 24,275
NON U.S. 1,756 7.2 1,695 7.0
---- --------- ---- --------- ----
8 2,858 11.8 2,016 8.3
04/03/12 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 1,425 7.3 1,245 6.4 19,417
NON U.S. 666 3.4 0 0.0
---- --------- ---- --------- ----
6 2,091 10.8 1,245 6.4
04/03/12 NYME GASOIL CRACK SPR SWAP U.S. 66 0.3 1,855 7.6 24,290
NON U.S. 1,078 4.4 298 1.2
---- --------- ---- --------- ----
7 1,144 4.7 2,153 8.9