BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
07/05/11 CBT WHEAT U.S. 23,533 5.4 4,113 0.9 433,994
NON U.S. 3,949 0.9 6,038 1.4
---- --------- ---- --------- ----
9 27,482 6.3 10,151 2.3
07/05/11 CBT CORN U.S. 14,152 1.2 44,160 3.7 1,200,848
NON U.S. 5,210 0.4 3,548 0.3
---- --------- ---- --------- ----
7 19,362 1.6 47,708 4.0
07/05/11 CBT SOYBEANS U.S. 8,061 1.5 9,018 1.7 522,467
NON U.S. 3,695 0.7 290 0.1
---- --------- ---- --------- ----
7 11,756 2.3 9,308 1.8
07/05/11 CBT U.S. TREASURY BONDS U.S. 4 3,516 0.6 2,445 0.4 598,632
NON U.S. 7 7,871 1.3 4,633 0.8
---- --------- ---- --------- ----
11 11,387 1.9 7,078 1.2
07/05/11 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 21,084 7.1 756 0.3 296,314
NON U.S. 2,047 0.7 2,031 0.7
---- --------- ---- --------- ----
6 23,131 7.8 2,787 0.9
07/05/11 NYME GASOIL (ICE) MINI CAL SWAP U.S. 600 12.9 111 2.4 4,641
NON U.S. 0 0.0 1,353 29.2
---- --------- ---- --------- ----
6 600 12.9 1,464 31.5
07/05/11 NYME NATURAL GAS U.S. 23,962 2.5 13,414 1.4 974,776
NON U.S. 14,019 1.4 905 0.1
---- --------- ---- --------- ----
9 37,981 3.9 14,319 1.5
07/05/11 ICUS COTTON NO. 2 U.S. 126 0.1 3,762 2.7 138,997
NON U.S. 1,171 0.8 2,844 2.0
---- --------- ---- --------- ----
8 1,297 0.9 6,606 4.8
07/05/11 NYME NW PIPE ROCKIES BASIS SWAP U.S. 2,064 3.1 4,312 6.4 66,881
NON U.S. 2,884 4.3 2,173 3.2
---- --------- ---- --------- ----
5 4,948 7.4 6,485 9.7
07/05/11 NYME PANHANDLE BASIS SWAP U.S. 16,127 13.7 6,483 5.5 117,382
NON U.S. 0 0.0 8,931 7.6
---- --------- ---- --------- ----
5 16,127 13.7 15,414 13.1
07/05/11 NYME SAN JUAN BASIS SWAP U.S. 1,102 3.4 1,445 4.5 32,219
NON U.S. 739 2.3 2,454 7.6
---- --------- ---- --------- ----
5 1,841 5.7 3,899 12.1
07/05/11 NYME HENRY HUB SWAP U.S. 4 55,291 2.2 250,628 10.0 2,518,697
NON U.S. 6 6,763 0.3 164,408 6.5
---- --------- ---- --------- ----
10 62,054 2.5 415,036 16.5
07/05/11 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 88,913 9.3 83,738 8.8 956,571
NON U.S. 40,193 4.2 7,383 0.8
---- --------- ---- --------- ----
8 129,106 13.5 91,121 9.5
07/05/11 CBT 2-YEAR U.S. TREASURY NOTES U.S. 6 21,192 2.1 23,120 2.3 987,654
NON U.S. 19 6,890 0.7 31,060 3.1
---- --------- ---- --------- ----
25 28,082 2.8 54,180 5.5
07/05/11 CBT 10-YEAR U.S. TREASURY NOTES U.S. 8 9,502 0.5 82,632 4.7 1,764,483
NON U.S. 25 35,203 2.0 35,675 2.0
---- --------- ---- --------- ----
33 44,705 2.5 118,307 6.7
07/05/11 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 4,605 0.3 51,998 3.6 1,454,271
NON U.S. 14 2,789 0.2 44,510 3.1
---- --------- ---- --------- ----
19 7,394 0.5 96,508 6.6
07/05/11 CBT 30-DAY FEDERAL FUNDS U.S. 8 139,002 19.3 78,631 10.9 718,588
NON U.S. 15 45,754 6.4 51,888 7.2
---- --------- ---- --------- ----
23 184,756 25.7 130,519 18.2
07/05/11 CME LEAN HOGS U.S. 6,408 2.7 63 0.0 233,262
NON U.S. 1,168 0.5 137 0.1
---- --------- ---- --------- ----
6 7,576 3.2 200 0.1
07/05/11 CME LIVE CATTLE U.S. 6,054 1.9 1,182 0.4 325,689
NON U.S. 1,846 0.6 356 0.1
---- --------- ---- --------- ----
7 7,900 2.4 1,538 0.5
07/05/11 ICEU CRUDE OIL, LIGHT SWEET U.S. 28,233 6.1 24,936 5.4 461,686
NON U.S. 11,009 2.4 31,797 6.9
---- --------- ---- --------- ----
15 39,242 8.5 56,733 12.3
07/05/11 NYME CRUDE OIL, LIGHT SWEET U.S. 49,528 3.3 93,162 6.1 1,522,391
NON U.S. 27,699 1.8 115,423 7.6
---- --------- ---- --------- ----
14 77,227 5.1 208,585 13.7
07/05/11 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 9,696 4.5 35,264 16.3 216,064
NON U.S. 9 14,998 6.9 30,424 14.1
---- --------- ---- --------- ----
13 24,694 11.4 65,688 30.4
07/05/11 NYME WTI CRUDE OIL FINANCIAL U.S. 2,573 3.6 10,774 15.1 71,453
NON U.S. 1,856 2.6 761 1.1
---- --------- ---- --------- ----
8 4,429 6.2 11,535 16.1
07/05/11 NYME BRENT (ICE) CALENDAR SWAP U.S. 1,433 2.4 3,653 6.2 58,674
NON U.S. 1,688 2.9 3,665 6.2
---- --------- ---- --------- ----
6 3,121 5.3 7,318 12.5
07/05/11 NYME PALLADIUM U.S. 178 0.9 4,901 24.6 19,924
NON U.S. 599 3.0 3,510 17.6
---- --------- ---- --------- ----
12 777 3.9 8,411 42.2
07/05/11 NYME PLATINUM U.S. 132 0.4 4,314 13.8 31,245
NON U.S. 291 0.9 3,316 10.6
---- --------- ---- --------- ----
12 423 1.4 7,630 24.4
07/05/11 ICUS SUGAR NO. 11 U.S. 12,025 2.0 3,124 0.5 615,184
NON U.S. 4,288 0.7 14,962 2.4
---- --------- ---- --------- ----
7 16,313 2.7 18,086 2.9
07/05/11 ICUS COFFEE C U.S. 2,148 2.0 2,668 2.5 107,245
NON U.S. 550 0.5 4,888 4.6
---- --------- ---- --------- ----
9 2,698 2.5 7,556 7.0
07/05/11 CMX SILVER U.S. 2,413 2.2 23,084 20.7 111,251
NON U.S. 2,565 2.3 3,216 2.9
---- --------- ---- --------- ----
13 4,978 4.5 26,300 23.6
07/05/11 CMX COPPER-GRADE #1 U.S. 8,690 6.3 1,830 1.3 138,627
NON U.S. 956 0.7 122 0.1
---- --------- ---- --------- ----
9 9,646 7.0 1,952 1.4
07/05/11 CMX GOLD U.S. 4 30,740 6.3 113,853 23.2 489,782
NON U.S. 14 7,844 1.6 40,252 8.2
---- --------- ---- --------- ----
18 38,584 7.9 154,105 31.5
07/05/11 CME RUSSIAN RUBLE U.S. 3,869 3.8 4,422 4.3 102,168
NON U.S. 44,626 43.7 43,547 42.6
---- --------- ---- --------- ----
6 48,495 47.5 47,969 47.0
07/05/11 CME CANADIAN DOLLAR U.S. 4 0 0.0 8,773 8.3 105,967
NON U.S. 4 3,501 3.3 3,769 3.6
---- --------- ---- --------- ----
8 3,501 3.3 12,542 11.8
07/05/11 CME SWISS FRANC U.S. 2,289 4.8 4,295 9.0 47,566
NON U.S. 463 1.0 0 0.0
---- --------- ---- --------- ----
6 2,752 5.8 4,295 9.0
07/05/11 CME MEXICAN PESO U.S. 5,487 4.4 47,919 38.3 125,229
NON U.S. 470 0.4 6,390 5.1
---- --------- ---- --------- ----
8 5,957 4.8 54,309 43.4
07/05/11 CME BRITISH POUND STERLING U.S. 3,430 2.9 262 0.2 118,359
NON U.S. 3,017 2.5 0 0.0
---- --------- ---- --------- ----
5 6,447 5.4 262 0.2
07/05/11 CME JAPANESE YEN U.S. 1,186 1.2 11,547 12.2 94,901
NON U.S. 2,349 2.5 215 0.2
---- --------- ---- --------- ----
7 3,535 3.7 11,762 12.4
07/05/11 CME EURO FX U.S. 6,929 3.6 1,113 0.6 194,329
NON U.S. 8,454 4.4 5,630 2.9
---- --------- ---- --------- ----
15 15,383 7.9 6,743 3.5
07/05/11 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 5,401 2.3 4,686 2.0 235,190
NON U.S. 1,065 0.5 1,925 0.8
---- --------- ---- --------- ----
6 6,466 2.7 6,611 2.8
07/05/11 E VIX FUTURES U.S. 870 0.4 7,405 3.5 212,295
NON U.S. 3,029 1.4 1,904 0.9
---- --------- ---- --------- ----
5 3,899 1.8 9,309 4.4
07/05/11 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 4,709 4.7 1,093 1.1 99,515
NON U.S. 2,255 2.3 4,557 4.6
---- --------- ---- --------- ----
7 6,964 7.0 5,650 5.7
07/05/11 CME 3-MONTH EURODOLLARS U.S. 12 731,410 7.5 1,589,837 16.4 9,713,587
NON U.S. 31 389,819 4.0 874,440 9.0
---- --------- ---- --------- ----
43 1,121,229 11.5 2,464,277 25.4
07/05/11 CME S&P 500 STOCK INDEX U.S. 650 0.2 327 0.1 269,155
NON U.S. 4,864 1.8 9,631 3.6
---- --------- ---- --------- ----
7 5,514 2.0 9,958 3.7
07/05/11 CME E-MINI S&P 500 STOCK INDEX U.S. 9 39,103 1.6 14,121 0.6 2,494,190
NON U.S. 26 34,171 1.4 61,696 2.5
---- --------- ---- --------- ----
35 73,274 2.9 75,817 3.0
07/05/11 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 4 1,467 0.5 714 0.2 292,653
NON U.S. 14 11,876 4.1 3,289 1.1
---- --------- ---- --------- ----
18 13,343 4.6 4,003 1.4
07/05/11 CME AUSTRALIAN DOLLAR U.S. 567 0.5 16,043 13.2 121,626
NON U.S. 0 0.0 3,353 2.8
---- --------- ---- --------- ----
7 567 0.5 19,396 15.9
07/05/11 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 2,757 0.7 2,289 0.6 416,009
NON U.S. 4 2,921 0.7 1,104 0.3
---- --------- ---- --------- ----
8 5,678 1.4 3,393 0.8
07/05/11 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 0 0.0 0 0.0 47,706
NON U.S. 2,584 5.4 8,684 18.2
---- --------- ---- --------- ----
5 2,584 5.4 8,684 18.2
07/05/11 NYL MSCI EMERGING MKTS MINI INDEX U.S. 0 0.0 0 0.0 44,725
NON U.S. 3,650 8.2 2,802 6.3
---- --------- ---- --------- ----
6 3,650 8.2 2,802 6.3
07/05/11 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 974 5.1 513 2.7 18,953
NON U.S. 1,132 6.0 1,392 7.3
---- --------- ---- --------- ----
7 2,106 11.1 1,905 10.1