BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
12/04/12 CBT WHEAT U.S. 24,229 5.5 3,632 0.8 444,444
NON U.S. 8,698 2.0 9,117 2.1
---- --------- ---- --------- ----
13 32,927 7.4 12,749 2.9
12/04/12 KCBT WHEAT U.S. 3,988 2.4 0 0.0 162,902
NON U.S. 1,762 1.1 2,647 1.6
---- --------- ---- --------- ----
5 5,750 3.5 2,647 1.6
12/04/12 CBT CORN U.S. 44,275 3.7 13,220 1.1 1,203,365
NON U.S. 12,794 1.1 1,417 0.1
---- --------- ---- --------- ----
8 57,069 4.7 14,637 1.2
12/04/12 CBT SOYBEANS U.S. 15,886 2.7 35,815 6.0 593,935
NON U.S. 5,907 1.0 8,623 1.5
---- --------- ---- --------- ----
11 21,793 3.7 44,438 7.5
12/04/12 CBT SOYBEAN OIL U.S. 13,448 4.3 1,540 0.5 310,022
NON U.S. 3,687 1.2 540 0.2
---- --------- ---- --------- ----
6 17,135 5.5 2,080 0.7
12/04/12 CBT U.S. TREASURY BONDS U.S. 546 0.1 2,991 0.5 654,492
NON U.S. 2,160 0.3 12,846 2.0
---- --------- ---- --------- ----
9 2,706 0.4 15,837 2.4
12/04/12 NYME GULF # 6 FUEL 3.0% SULFUR SWAP U.S. 2,217 5.8 400 1.0 38,193
NON U.S. 301 0.8 78 0.2
---- --------- ---- --------- ----
5 2,518 6.6 478 1.3
12/04/12 NYME MINI EUR 3.5%FOIL RTD CAL SWAP U.S. 3,045 38.8 452 5.8 7,851
NON U.S. 1,156 14.7 269 3.4
---- --------- ---- --------- ----
5 4,201 53.5 721 9.2
12/04/12 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 14,445 4.9 1,572 0.5 292,708
NON U.S. 3,665 1.3 24 0.0
---- --------- ---- --------- ----
6 18,110 6.2 1,596 0.5
12/04/12 NYME GULF COAST ULSD SWAP U.S. 1,238 6.4 1,735 8.9 19,396
NON U.S. 365 1.9 233 1.2
---- --------- ---- --------- ----
5 1,603 8.3 1,968 10.1
12/04/12 NYME UP DOWN GC ULSD VS HO SPR SWAP U.S. 1,536 4.4 320 0.9 34,901
NON U.S. 788 2.3 0 0.0
---- --------- ---- --------- ----
5 2,324 6.7 320 0.9
12/04/12 IFED NATURAL GAS ICE HENRY HUB U.S. 95,879 1.9 543,414 11.0 4,943,671
NON U.S. 38,761 0.8 466,923 9.4
---- --------- ---- --------- ----
10 134,640 2.7 1,010,337 20.4
12/04/12 IFED NATURAL GAS PENULTIMATE ICE U.S. 133,238 15.2 81,704 9.3 876,560
NON U.S. 15,656 1.8 9,329 1.1
---- --------- ---- --------- ----
5 148,894 17.0 91,033 10.4
12/04/12 IFED NWP ROCKIES FIN BASIS U.S. 866 0.4 9,478 4.2 225,502
NON U.S. 5,194 2.3 23,603 10.5
---- --------- ---- --------- ----
7 6,060 2.7 33,081 14.7
12/04/12 IFED AECO FIN BASIS U.S. 1,961 0.3 247 0.0 699,355
NON U.S. 43,040 6.2 233,002 33.3
---- --------- ---- --------- ----
8 45,001 6.4 233,249 33.4
12/04/12 IFED HSC FIN BASIS U.S. 0 0.0 9,785 3.8 255,418
NON U.S. 0 0.0 15,047 5.9
---- --------- ---- --------- ----
5 0 0.0 24,832 9.7
12/04/12 IFED NORTHWEST PIPELINE CORP. - CANADIAN BORDER (BASIS SWAP)
U.S. 0 0.0 0 0.0 67,654
NON U.S. 5,690 8.4 31 0.0
---- --------- ---- --------- ----
5 5,690 8.4 31 0.0
12/04/12 NYME NATURAL GAS U.S. 31,504 2.7 20,291 1.8 1,152,312
NON U.S. 12,156 1.1 394 0.0
---- --------- ---- --------- ----
9 43,660 3.8 20,685 1.8
12/04/12 NYME HENRY HUB LAST DAY FIN U.S. 4,766 3.7 6,783 5.3 127,858
NON U.S. 540 0.4 943 0.7
---- --------- ---- --------- ----
5 5,306 4.1 7,726 6.0
12/04/12 CBT SOYBEAN MEAL U.S. 5,515 2.5 3,320 1.5 216,689
NON U.S. 7,037 3.2 1,848 0.9
---- --------- ---- --------- ----
6 12,552 5.8 5,168 2.4
12/04/12 ICUS COTTON NO. 2 U.S. 10,978 6.8 2 0.0 160,987
NON U.S. 4,905 3.0 1,960 1.2
---- --------- ---- --------- ----
10 15,883 9.9 1,962 1.2
12/04/12 NYME HENRY HUB SWAP U.S. 94,597 3.9 240,204 9.8 2,448,687
NON U.S. 20,068 0.8 185,798 7.6
---- --------- ---- --------- ----
9 114,665 4.7 426,002 17.4
12/04/12 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 64,708 6.8 35,575 3.8 948,345
NON U.S. 54,195 5.7 8,047 0.8
---- --------- ---- --------- ----
9 118,903 12.5 43,622 4.6
12/04/12 CBT 2-YEAR U.S. TREASURY NOTES U.S. 6 50,804 5.1 7,686 0.8 996,272
NON U.S. 15 27,499 2.8 26,273 2.6
---- --------- ---- --------- ----
21 78,303 7.9 33,959 3.4
12/04/12 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 20,971 1.2 35,221 2.1 1,701,606
NON U.S. 16 40,620 2.4 25,398 1.5
---- --------- ---- --------- ----
22 61,591 3.6 60,619 3.6
12/04/12 CBT 5-YEAR U.S. TREASURY NOTES U.S. 6 70,059 4.6 7,939 0.5 1,521,475
NON U.S. 11 110,442 7.3 56,133 3.7
---- --------- ---- --------- ----
17 180,501 11.9 64,072 4.2
12/04/12 CBT 30-DAY FEDERAL FUNDS U.S. 6 20,301 6.1 22,777 6.9 330,886
NON U.S. 10 22,180 6.7 23,281 7.0
---- --------- ---- --------- ----
16 42,481 12.8 46,058 13.9
12/04/12 CME LEAN HOGS U.S. 7,469 3.0 68 0.0 251,870
NON U.S. 4,223 1.7 310 0.1
---- --------- ---- --------- ----
6 11,692 4.6 378 0.2
12/04/12 CME LIVE CATTLE U.S. 9,548 2.8 194 0.1 341,044
NON U.S. 4,423 1.3 241 0.1
---- --------- ---- --------- ----
7 13,971 4.1 435 0.1
12/04/12 NYME CRUDE OIL, LIGHT SWEET U.S. 49,956 3.2 123,946 8.0 1,549,067
NON U.S. 29,166 1.9 157,946 10.2
---- --------- ---- --------- ----
18 79,122 5.1 281,892 18.2
12/04/12 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 11,997 7.1 35,986 21.4 167,800
NON U.S. 17,118 10.2 28,271 16.8
---- --------- ---- --------- ----
14 29,115 17.4 64,257 38.3
12/04/12 NYME WTI-BRENT CALENDAR SWAP U.S. 2,205 4.4 2,416 4.8 49,929
NON U.S. 2,158 4.3 4,192 8.4
---- --------- ---- --------- ----
8 4,363 8.7 6,608 13.2
12/04/12 NYME DATED TO FRONTLINE BRENT SWAP U.S. 500 7.2 950 13.7 6,916
NON U.S. 224 3.2 2,455 35.5
---- --------- ---- --------- ----
6 724 10.5 3,405 49.2
12/04/12 NYME BRENT (ICE) CALENDAR SWAP U.S. 3,894 7.4 4,975 9.5 52,437
NON U.S. 8,976 17.1 3,648 7.0
---- --------- ---- --------- ----
11 12,870 24.5 8,623 16.4
12/04/12 ICUS COCOA U.S. 2,385 1.2 90 0.0 201,382
NON U.S. 2,068 1.0 11,470 5.7
---- --------- ---- --------- ----
7 4,453 2.2 11,560 5.7
12/04/12 NYME PALLADIUM U.S. 59 0.3 5,616 24.2 23,194
NON U.S. 815 3.5 3,336 14.4
---- --------- ---- --------- ----
14 874 3.8 8,952 38.6
12/04/12 NYME PLATINUM U.S. 50 0.1 18,240 29.8 61,309
NON U.S. 1,571 2.6 6,751 11.0
---- --------- ---- --------- ----
17 1,621 2.6 24,991 40.8
12/04/12 ICUS SUGAR NO. 11 U.S. 30,969 4.1 2,332 0.3 759,782
NON U.S. 13,259 1.7 12,204 1.6
---- --------- ---- --------- ----
11 44,228 5.8 14,536 1.9
12/04/12 ICUS COFFEE C U.S. 5,219 3.7 15 0.0 139,259
NON U.S. 2,638 1.9 1,618 1.2
---- --------- ---- --------- ----
13 7,857 5.6 1,633 1.2
12/04/12 CMX SILVER U.S. 625 0.4 40,198 28.4 141,738
NON U.S. 13,928 9.8 32,127 22.7
---- --------- ---- --------- ----
18 14,553 10.3 72,325 51.0
12/04/12 CMX COPPER-GRADE #1 U.S. 15,029 10.4 1,372 1.0 143,993
NON U.S. 2,058 1.4 753 0.5
---- --------- ---- --------- ----
10 17,087 11.9 2,125 1.5
12/04/12 CMX GOLD U.S. 5 37,790 8.7 144,183 33.2 434,416
NON U.S. 19 35,326 8.1 80,033 18.4
---- --------- ---- --------- ----
24 73,116 16.8 224,216 51.6
12/04/12 CME RUSSIAN RUBLE U.S. 7,545 9.5 4,257 5.4 79,396
NON U.S. 41,444 52.2 44,931 56.6
---- --------- ---- --------- ----
10 48,989 61.7 49,188 62.0
12/04/12 CME CANADIAN DOLLAR U.S. 3,954 2.4 18,992 11.3 167,343
NON U.S. 321 0.2 10,089 6.0
---- --------- ---- --------- ----
7 4,275 2.6 29,081 17.4
12/04/12 CME SWISS FRANC U.S. 2,505 5.6 4,170 9.3 44,798
NON U.S. 407 0.9 7,778 17.4
---- --------- ---- --------- ----
6 2,912 6.5 11,948 26.7
12/04/12 CME MEXICAN PESO U.S. 0 0.0 6,323 3.3 190,751
NON U.S. 27,464 14.4 2,600 1.4
---- --------- ---- --------- ----
6 27,464 14.4 8,923 4.7
12/04/12 CME BRITISH POUND STERLING U.S. 4 1,361 0.8 28,776 16.1 178,749
NON U.S. 5 0 0.0 8,159 4.6
---- --------- ---- --------- ----
9 1,361 0.8 36,935 20.7
12/04/12 CME JAPANESE YEN U.S. 5 16,108 7.3 18,625 8.4 220,982
NON U.S. 6 4,432 2.0 2,054 0.9
---- --------- ---- --------- ----
11 20,540 9.3 20,679 9.4
12/04/12 CME EURO FX U.S. 5 14,572 6.7 4,566 2.1 217,546
NON U.S. 14 16,264 7.5 6,178 2.8
---- --------- ---- --------- ----
19 30,836 14.2 10,744 4.9
12/04/12 CME BRAZILIAN REAL U.S. 12,333 36.1 1,060 3.1 34,124
NON U.S. 230 0.7 30,172 88.4
---- --------- ---- --------- ----
6 12,563 36.8 31,232 91.5
12/04/12 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 6,383 2.3 3,811 1.4 273,735
NON U.S. 2,181 0.8 965 0.4
---- --------- ---- --------- ----
8 8,564 3.1 4,776 1.7
12/04/12 NYME RBOB CALENDAR SWAP U.S. 218 1.8 464 3.9 11,865
NON U.S. 243 2.0 0 0.0
---- --------- ---- --------- ----
5 461 3.9 464 3.9
12/04/12 E VIX FUTURES U.S. 6,429 1.6 0 0.0 396,131
NON U.S. 3,199 0.8 1,904 0.5
---- --------- ---- --------- ----
5 9,628 2.4 1,904 0.5
12/04/12 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 6,057 6.4 0 0.0 95,359
NON U.S. 550 0.6 12,338 12.9
---- --------- ---- --------- ----
7 6,607 6.9 12,338 12.9
12/04/12 CME 3-MONTH EURODOLLARS U.S. 10 739,102 8.6 697,155 8.1 8,613,991
NON U.S. 31 321,415 3.7 905,355 10.5
---- --------- ---- --------- ----
41 1,060,517 12.3 1,602,510 18.6
12/04/12 CME S&P 500 STOCK INDEX U.S. 1,585 0.7 0 0.0 220,584
NON U.S. 2,736 1.2 1,182 0.5
---- --------- ---- --------- ----
5 4,321 2.0 1,182 0.5
12/04/12 CME E-MINI S&P 500 STOCK INDEX U.S. 4 50,162 1.6 15,580 0.5 3,156,565
NON U.S. 26 48,496 1.5 46,899 1.5
---- --------- ---- --------- ----
30 98,658 3.1 62,479 2.0
12/04/12 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 1,222 0.3 0 0.0 388,338
NON U.S. 3,588 0.9 1,915 0.5
---- --------- ---- --------- ----
13 4,810 1.2 1,915 0.5
12/04/12 CME AUSTRALIAN DOLLAR U.S. 5 17,107 8.1 6,154 2.9 212,072
NON U.S. 4 1,929 0.9 7,963 3.8
---- --------- ---- --------- ----
9 19,036 9.0 14,117 6.7
12/04/12 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 1,626 0.4 2,638 0.7 379,344
NON U.S. 4 2,300 0.6 397 0.1
---- --------- ---- --------- ----
8 3,926 1.0 3,035 0.8
12/04/12 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 0 0.0 0 0.0 54,593
NON U.S. 3,192 5.8 5,198 9.5
---- --------- ---- --------- ----
7 3,192 5.8 5,198 9.5
12/04/12 NYL MSCI EMERGING MKTS MINI INDEX U.S. 0 0.0 0 0.0 132,349
NON U.S. 5,213 3.9 6,091 4.6
---- --------- ---- --------- ----
12 5,213 3.9 6,091 4.6
12/04/12 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 1,041 1.7 771 1.2 62,889
NON U.S. 4,179 6.6 2,292 3.6
---- --------- ---- --------- ----
8 5,220 8.3 3,063 4.9
12/04/12 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 200 1.7 255 2.2 11,751
NON U.S. 1,464 12.5 0 0.0
---- --------- ---- --------- ----
5 1,664 14.2 255 2.2
12/04/12 NYME GASOIL CRACK SPR SWAP U.S. 468 2.7 284 1.6 17,582
NON U.S. 626 3.6 125 0.7
---- --------- ---- --------- ----
7 1,094 6.2 409 2.3