BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
08/02/11 CBT WHEAT U.S. 24,365 5.6 3,978 0.9 431,604
NON U.S. 2,755 0.6 5,131 1.2
---- --------- ---- --------- ----
8 27,120 6.3 9,109 2.1
08/02/11 CBT CORN U.S. 25,916 2.1 56,616 4.6 1,234,631
NON U.S. 3,600 0.3 2,404 0.2
---- --------- ---- --------- ----
6 29,516 2.4 59,020 4.8
08/02/11 CBT SOYBEANS U.S. 7,136 1.4 6,540 1.3 512,382
NON U.S. 4,919 1.0 517 0.1
---- --------- ---- --------- ----
7 12,055 2.4 7,057 1.4
08/02/11 CBT U.S. TREASURY BONDS U.S. 7 7,802 1.2 11,679 1.8 650,940
NON U.S. 7 7,152 1.1 7,294 1.1
---- --------- ---- --------- ----
14 14,954 2.3 18,973 2.9
08/02/11 NYME MINI EUR 3.5%FOIL RTD CAL SWAP U.S. 1,101 19.5 81 1.4 5,632
NON U.S. 205 3.6 956 17.0
---- --------- ---- --------- ----
5 1,306 23.2 1,037 18.4
08/02/11 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 20,298 6.7 802 0.3 302,304
NON U.S. 2,187 0.7 1,681 0.6
---- --------- ---- --------- ----
7 22,485 7.4 2,483 0.8
08/02/11 NYME GASOIL (ICE) MINI CAL SWAP U.S. 681 15.8 18 0.4 4,307
NON U.S. 0 0.0 1,251 29.0
---- --------- ---- --------- ----
5 681 15.8 1,269 29.5
08/02/11 NYME NATURAL GAS U.S. 23,167 2.4 13,590 1.4 968,004
NON U.S. 16,475 1.7 267 0.0
---- --------- ---- --------- ----
8 39,642 4.1 13,857 1.4
08/02/11 ICUS COTTON NO. 2 U.S. 1,053 0.7 4,137 2.9 144,447
NON U.S. 1,247 0.9 2,815 1.9
---- --------- ---- --------- ----
9 2,300 1.6 6,952 4.8
08/02/11 NYME NW PIPE ROCKIES BASIS SWAP U.S. 1,705 2.7 4,197 6.7 62,843
NON U.S. 2,822 4.5 1,708 2.7
---- --------- ---- --------- ----
5 4,527 7.2 5,905 9.4
08/02/11 NYME PANHANDLE BASIS SWAP U.S. 14,215 12.9 6,373 5.8 110,037
NON U.S. 0 0.0 8,851 8.0
---- --------- ---- --------- ----
5 14,215 12.9 15,224 13.8
08/02/11 NYME SAN JUAN BASIS SWAP U.S. 947 3.0 1,397 4.4 31,411
NON U.S. 923 2.9 2,206 7.0
---- --------- ---- --------- ----
5 1,870 6.0 3,603 11.5
08/02/11 NYME HENRY HUB SWAP U.S. 4 53,569 2.2 237,830 9.7 2,447,279
NON U.S. 6 5,924 0.2 154,307 6.3
---- --------- ---- --------- ----
10 59,493 2.4 392,137 16.0
08/02/11 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 91,138 9.8 69,779 7.5 929,793
NON U.S. 36,733 4.0 6,838 0.7
---- --------- ---- --------- ----
8 127,871 13.8 76,617 8.2
08/02/11 CBT 2-YEAR U.S. TREASURY NOTES U.S. 8 70,341 6.8 25,621 2.5 1,040,881
NON U.S. 19 8,994 0.9 34,524 3.3
---- --------- ---- --------- ----
27 79,335 7.6 60,145 5.8
08/02/11 CBT 10-YEAR U.S. TREASURY NOTES U.S. 7 12,012 0.6 111,193 6.0 1,863,628
NON U.S. 25 38,190 2.0 37,618 2.0
---- --------- ---- --------- ----
32 50,202 2.7 148,811 8.0
08/02/11 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 51,082 3.5 32,906 2.2 1,462,496
NON U.S. 12 7,532 0.5 39,585 2.7
---- --------- ---- --------- ----
17 58,614 4.0 72,491 5.0
08/02/11 CBT 30-DAY FEDERAL FUNDS U.S. 8 111,284 13.0 86,619 10.1 858,944
NON U.S. 16 47,835 5.6 57,889 6.7
---- --------- ---- --------- ----
24 159,119 18.5 144,508 16.8
08/02/11 CME LEAN HOGS U.S. 6,459 2.5 60 0.0 260,019
NON U.S. 1,473 0.6 8 0.0
---- --------- ---- --------- ----
5 7,932 3.1 68 0.0
08/02/11 CME LIVE CATTLE U.S. 5,659 1.8 755 0.2 311,162
NON U.S. 1,210 0.4 269 0.1
---- --------- ---- --------- ----
7 6,869 2.2 1,024 0.3
08/02/11 NYME CRUDE OIL, LIGHT SWEET U.S. 47,089 3.1 94,769 6.2 1,528,978
NON U.S. 28,243 1.8 110,728 7.2
---- --------- ---- --------- ----
15 75,332 4.9 205,497 13.4
08/02/11 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 9,714 4.7 37,579 18.1 207,189
NON U.S. 9 14,852 7.2 30,131 14.5
---- --------- ---- --------- ----
13 24,566 11.9 67,710 32.7
08/02/11 NYME WTI CRUDE OIL FINANCIAL U.S. 2,773 3.5 10,774 13.5 79,676
NON U.S. 1,856 2.3 1,336 1.7
---- --------- ---- --------- ----
8 4,629 5.8 12,110 15.2
08/02/11 NYME BRENT (ICE) CALENDAR SWAP U.S. 1,316 2.3 3,749 6.6 57,201
NON U.S. 1,594 2.8 3,075 5.4
---- --------- ---- --------- ----
6 2,910 5.1 6,824 11.9
08/02/11 NYME PALLADIUM U.S. 180 0.7 5,713 22.8 25,086
NON U.S. 295 1.2 4,459 17.8
---- --------- ---- --------- ----
12 475 1.9 10,172 40.5
08/02/11 NYME PLATINUM U.S. 46 0.1 5,527 15.7 35,099
NON U.S. 499 1.4 4,026 11.5
---- --------- ---- --------- ----
12 545 1.6 9,553 27.2
08/02/11 ICUS SUGAR NO. 11 U.S. 12,988 2.1 5,186 0.8 623,987
NON U.S. 5,001 0.8 17,983 2.9
---- --------- ---- --------- ----
8 17,989 2.9 23,169 3.7
08/02/11 ICUS COFFEE C U.S. 4 1,495 1.3 3,067 2.7 111,530
NON U.S. 6 541 0.5 5,200 4.7
---- --------- ---- --------- ----
10 2,036 1.8 8,267 7.4
08/02/11 CMX SILVER U.S. 1,040 0.9 23,775 19.7 120,385
NON U.S. 2,796 2.3 3,573 3.0
---- --------- ---- --------- ----
14 3,836 3.2 27,348 22.7
08/02/11 CMX COPPER-GRADE #1 U.S. 9,117 5.8 2,084 1.3 156,089
NON U.S. 977 0.6 128 0.1
---- --------- ---- --------- ----
8 10,094 6.5 2,212 1.4
08/02/11 CMX GOLD U.S. 4 33,296 6.3 139,677 26.4 529,403
NON U.S. 19 7,700 1.5 42,277 8.0
---- --------- ---- --------- ----
23 40,996 7.7 181,954 34.4
08/02/11 CME RUSSIAN RUBLE U.S. 4,115 3.9 4,422 4.2 106,179
NON U.S. 44,410 41.8 46,559 43.8
---- --------- ---- --------- ----
6 48,525 45.7 50,981 48.0
08/02/11 CME CANADIAN DOLLAR U.S. 4 135 0.1 11,147 8.4 133,150
NON U.S. 4 2,058 1.5 11,683 8.8
---- --------- ---- --------- ----
8 2,193 1.6 22,830 17.1
08/02/11 CME SWISS FRANC U.S. 2,712 4.8 4,460 7.8 56,911
NON U.S. 463 0.8 0 0.0
---- --------- ---- --------- ----
6 3,175 5.6 4,460 7.8
08/02/11 CME MEXICAN PESO U.S. 5,487 4.2 46,055 35.4 130,240
NON U.S. 470 0.4 6,919 5.3
---- --------- ---- --------- ----
8 5,957 4.6 52,974 40.7
08/02/11 CME BRITISH POUND STERLING U.S. 1,395 1.4 4,505 4.4 103,172
NON U.S. 912 0.9 554 0.5
---- --------- ---- --------- ----
6 2,307 2.2 5,059 4.9
08/02/11 CME JAPANESE YEN U.S. 5 3,166 2.1 15,930 10.7 148,888
NON U.S. 4 1,579 1.1 1,488 1.0
---- --------- ---- --------- ----
9 4,745 3.2 17,418 11.7
08/02/11 CME EURO FX U.S. 5 10,565 5.5 1,666 0.9 190,722
NON U.S. 13 7,837 4.1 5,834 3.1
---- --------- ---- --------- ----
18 18,402 9.6 7,500 3.9
08/02/11 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 4,270 1.7 3,965 1.6 251,600
NON U.S. 1,075 0.4 1,644 0.7
---- --------- ---- --------- ----
7 5,345 2.1 5,609 2.2
08/02/11 CME NEW ZEALAND DOLLAR U.S. 0 0.0 6,603 19.5 33,788
NON U.S. 0 0.0 1,521 4.5
---- --------- ---- --------- ----
5 0 0.0 8,124 24.0
08/02/11 E VIX FUTURES U.S. 4,561 2.1 8,066 3.8 213,494
NON U.S. 3,026 1.4 2,010 0.9
---- --------- ---- --------- ----
5 7,587 3.6 10,076 4.7
08/02/11 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 4,723 4.3 993 0.9 110,291
NON U.S. 2,543 2.3 4,647 4.2
---- --------- ---- --------- ----
7 7,266 6.6 5,640 5.1
08/02/11 CME 3-MONTH EURODOLLARS U.S. 12 743,685 7.1 1,619,713 15.6 10,415,536
NON U.S. 36 376,874 3.6 1,015,064 9.7
---- --------- ---- --------- ----
48 1,120,559 10.8 2,634,777 25.3
08/02/11 CME S&P 500 STOCK INDEX U.S. 1,637 0.6 680 0.2 293,350
NON U.S. 5,924 2.0 8,617 2.9
---- --------- ---- --------- ----
9 7,561 2.6 9,297 3.2
08/02/11 CME E-MINI S&P 500 STOCK INDEX U.S. 10 31,984 1.1 12,053 0.4 2,811,337
NON U.S. 26 36,117 1.3 65,739 2.3
---- --------- ---- --------- ----
36 68,101 2.4 77,792 2.8
08/02/11 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 4 4,284 1.2 664 0.2 353,814
NON U.S. 15 9,592 2.7 2,247 0.6
---- --------- ---- --------- ----
19 13,876 3.9 2,911 0.8
08/02/11 CME AUSTRALIAN DOLLAR U.S. 847 0.6 15,737 11.8 133,930
NON U.S. 246 0.2 2,951 2.2
---- --------- ---- --------- ----
7 1,093 0.8 18,688 14.0
08/02/11 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 3,181 0.8 3,865 0.9 416,793
NON U.S. 4 2,929 0.7 1,099 0.3
---- --------- ---- --------- ----
8 6,110 1.5 4,964 1.2
08/02/11 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 0 0.0 0 0.0 60,274
NON U.S. 2,899 4.8 13,312 22.1
---- --------- ---- --------- ----
7 2,899 4.8 13,312 22.1
08/02/11 NYL MSCI EMERGING MKTS MINI INDEX U.S. 0 0.0 0 0.0 48,361
NON U.S. 4,139 8.6 3,062 6.3
---- --------- ---- --------- ----
7 4,139 8.6 3,062 6.3
08/02/11 CBT INTEREST RATE SWAPS 5YR U.S. 14,083 59.9 3,715 15.8 23,523
NON U.S. 1,044 4.4 0 0.0
---- --------- ---- --------- ----
5 15,127 64.3 3,715 15.8
08/02/11 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 1,081 6.4 388 2.3 16,822
NON U.S. 879 5.2 1,168 6.9
---- --------- ---- --------- ----
7 1,960 11.7 1,556 9.2