BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
06/07/11 CBT WHEAT U.S. 30,000 6.6 3,729 0.8 455,705
NON U.S. 3,608 0.8 7,521 1.7
---- --------- ---- --------- ----
11 33,608 7.4 11,250 2.5
06/07/11 CBT CORN U.S. 16,646 1.1 72,193 5.0 1,451,153
NON U.S. 6,401 0.4 4,538 0.3
---- --------- ---- --------- ----
7 23,047 1.6 76,731 5.3
06/07/11 CBT SOYBEANS U.S. 8,529 1.4 14,122 2.4 596,874
NON U.S. 4,951 0.8 1,918 0.3
---- --------- ---- --------- ----
9 13,480 2.3 16,040 2.7
06/07/11 CBT U.S. TREASURY BONDS U.S. 5 2,516 0.4 13,342 1.9 691,900
NON U.S. 7 7,744 1.1 7,551 1.1
---- --------- ---- --------- ----
12 10,260 1.5 20,893 3.0
06/07/11 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 20,946 6.7 965 0.3 314,662
NON U.S. 2,246 0.7 1,613 0.5
---- --------- ---- --------- ----
7 23,192 7.4 2,578 0.8
06/07/11 NYME GASOIL (ICE) MINI CAL SWAP U.S. 600 11.5 240 4.6 5,212
NON U.S. 92 1.8 1,251 24.0
---- --------- ---- --------- ----
6 692 13.3 1,491 28.6
06/07/11 NYME NATURAL GAS U.S. 25,075 2.6 14,218 1.4 981,615
NON U.S. 12,802 1.3 1,525 0.2
---- --------- ---- --------- ----
9 37,877 3.9 15,743 1.6
06/07/11 ICUS COTTON NO. 2 U.S. 1,811 1.1 2,788 1.8 159,300
NON U.S. 1,315 0.8 3,443 2.2
---- --------- ---- --------- ----
8 3,126 2.0 6,231 3.9
06/07/11 NYME NW PIPE ROCKIES BASIS SWAP U.S. 2,484 3.5 4,336 6.1 71,396
NON U.S. 2,884 4.0 2,855 4.0
---- --------- ---- --------- ----
5 5,368 7.5 7,191 10.1
06/07/11 NYME PANHANDLE BASIS SWAP U.S. 18,082 14.8 6,593 5.4 122,426
NON U.S. 0 0.0 9,011 7.4
---- --------- ---- --------- ----
5 18,082 14.8 15,604 12.7
06/07/11 NYME SAN JUAN BASIS SWAP U.S. 1,227 4.0 1,615 5.2 30,931
NON U.S. 739 2.4 2,702 8.7
---- --------- ---- --------- ----
5 1,966 6.4 4,317 14.0
06/07/11 NYME HENRY HUB SWAP U.S. 4 75,048 2.9 243,689 9.3 2,612,420
NON U.S. 6 6,451 0.2 176,583 6.8
---- --------- ---- --------- ----
10 81,499 3.1 420,272 16.1
06/07/11 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 84,986 8.7 91,142 9.3 978,933
NON U.S. 42,777 4.4 8,074 0.8
---- --------- ---- --------- ----
8 127,763 13.1 99,216 10.1
06/07/11 ICUS FRZN CONCENTRATED ORANGE JUICE U.S. 887 2.5 282 0.8 36,183
NON U.S. 398 1.1 1,160 3.2
---- --------- ---- --------- ----
5 1,285 3.6 1,442 4.0
06/07/11 CBT 2-YEAR U.S. TREASURY NOTES U.S. 6 10,260 1.0 20,268 2.0 1,014,910
NON U.S. 16 2,041 0.2 30,065 3.0
---- --------- ---- --------- ----
22 12,301 1.2 50,333 5.0
06/07/11 CBT 10-YEAR U.S. TREASURY NOTES U.S. 10 24,140 1.3 48,715 2.7 1,819,249
NON U.S. 19 37,935 2.1 26,678 1.5
---- --------- ---- --------- ----
29 62,075 3.4 75,393 4.1
06/07/11 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 2,749 0.2 109,378 7.2 1,521,026
NON U.S. 14 11,411 0.8 28,216 1.9
---- --------- ---- --------- ----
18 14,160 0.9 137,594 9.0
06/07/11 CBT 30-DAY FEDERAL FUNDS U.S. 8 135,593 19.4 88,461 12.7 699,273
NON U.S. 15 32,976 4.7 55,242 7.9
---- --------- ---- --------- ----
23 168,569 24.1 143,703 20.6
06/07/11 CME LEAN HOGS U.S. 6,377 2.8 48 0.0 224,702
NON U.S. 967 0.4 224 0.1
---- --------- ---- --------- ----
5 7,344 3.3 272 0.1
06/07/11 CME LIVE CATTLE U.S. 4 6,004 1.8 1,129 0.3 327,332
NON U.S. 4 1,442 0.4 345 0.1
---- --------- ---- --------- ----
8 7,446 2.3 1,474 0.5
06/07/11 ICEU CRUDE OIL, LIGHT SWEET U.S. 24,930 5.3 20,942 4.5 467,537
NON U.S. 7,710 1.6 28,935 6.2
---- --------- ---- --------- ----
14 32,640 7.0 49,877 10.7
06/07/11 NYME CRUDE OIL, LIGHT SWEET U.S. 42,155 2.8 93,875 6.2 1,515,910
NON U.S. 23,926 1.6 124,616 8.2
---- --------- ---- --------- ----
15 66,081 4.4 218,491 14.4
06/07/11 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 11,690 5.5 33,151 15.5 213,573
NON U.S. 9 15,692 7.3 26,632 12.5
---- --------- ---- --------- ----
13 27,382 12.8 59,783 28.0
06/07/11 NYME WTI CRUDE OIL FINANCIAL U.S. 3,617 5.1 10,620 14.9 71,504
NON U.S. 1,724 2.4 706 1.0
---- --------- ---- --------- ----
6 5,341 7.5 11,326 15.8
06/07/11 NYME BRENT (ICE) CALENDAR SWAP U.S. 1,096 1.8 5,500 9.1 60,628
NON U.S. 2,065 3.4 2,453 4.0
---- --------- ---- --------- ----
5 3,161 5.2 7,953 13.1
06/07/11 NYME PALLADIUM U.S. 321 1.4 4,757 21.4 22,257
NON U.S. 521 2.3 3,615 16.2
---- --------- ---- --------- ----
11 842 3.8 8,372 37.6
06/07/11 NYME PLATINUM U.S. 0 0.0 5,725 15.7 36,399
NON U.S. 355 1.0 4,352 12.0
---- --------- ---- --------- ----
11 355 1.0 10,077 27.7
06/07/11 ICUS SUGAR NO. 11 U.S. 8,572 1.4 8,932 1.4 634,960
NON U.S. 4,443 0.7 16,484 2.6
---- --------- ---- --------- ----
8 13,015 2.0 25,416 4.0
06/07/11 ICUS COFFEE C U.S. 2,290 2.0 2,716 2.4 112,646
NON U.S. 583 0.5 5,084 4.5
---- --------- ---- --------- ----
9 2,873 2.6 7,800 6.9
06/07/11 CMX SILVER U.S. 2,302 1.9 22,628 18.7 121,191
NON U.S. 2,946 2.4 2,880 2.4
---- --------- ---- --------- ----
15 5,248 4.3 25,508 21.0
06/07/11 CMX COPPER-GRADE #1 U.S. 9,121 7.4 1,603 1.3 122,995
NON U.S. 1,133 0.9 217 0.2
---- --------- ---- --------- ----
7 10,254 8.3 1,820 1.5
06/07/11 CMX GOLD U.S. 4 28,566 5.7 123,143 24.5 502,251
NON U.S. 16 7,592 1.5 49,068 9.8
---- --------- ---- --------- ----
20 36,158 7.2 172,211 34.3
06/07/11 CME RUSSIAN RUBLE U.S. 2,964 2.7 4,044 3.7 109,160
NON U.S. 52,725 48.3 49,021 44.9
---- --------- ---- --------- ----
5 55,689 51.0 53,065 48.6
06/07/11 CME CANADIAN DOLLAR U.S. 5 2,061 1.6 19,391 15.0 129,110
NON U.S. 4 4,186 3.2 5,632 4.4
---- --------- ---- --------- ----
9 6,247 4.8 25,023 19.4
06/07/11 CME MEXICAN PESO U.S. 0 0.0 93,594 62.4 150,067
NON U.S. 0 0.0 5,193 3.5
---- --------- ---- --------- ----
7 0 0.0 98,787 65.8
06/07/11 CME BRITISH POUND STERLING U.S. 3,449 3.0 17,095 15.0 113,641
NON U.S. 3,965 3.5 1,626 1.4
---- --------- ---- --------- ----
6 7,414 6.5 18,721 16.5
06/07/11 CME JAPANESE YEN U.S. 6 4,194 3.9 13,780 13.0 106,199
NON U.S. 4 6,335 6.0 371 0.3
---- --------- ---- --------- ----
10 10,529 9.9 14,151 13.3
06/07/11 CME EURO FX U.S. 6 6,738 2.3 32,454 11.0 296,126
NON U.S. 12 10,809 3.7 15,254 5.2
---- --------- ---- --------- ----
18 17,547 5.9 47,708 16.1
06/07/11 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 5,330 2.1 4,649 1.8 251,327
NON U.S. 1,196 0.5 1,645 0.7
---- --------- ---- --------- ----
6 6,526 2.6 6,294 2.5
06/07/11 CME NEW ZEALAND DOLLAR U.S. 2,363 6.3 5,697 15.3 37,227
NON U.S. 470 1.3 926 2.5
---- --------- ---- --------- ----
6 2,833 7.6 6,623 17.8
06/07/11 E VIX FUTURES U.S. 1,262 0.5 9,770 4.0 244,662
NON U.S. 3,709 1.5 2,130 0.9
---- --------- ---- --------- ----
7 4,971 2.0 11,900 4.9
06/07/11 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 5 4,430 4.4 1,420 1.4 99,727
NON U.S. 4 3,378 3.4 4,362 4.4
---- --------- ---- --------- ----
9 7,808 7.8 5,782 5.8
06/07/11 CME 3-MONTH EURODOLLARS U.S. 13 930,946 8.9 1,477,337 14.1 10,507,948
NON U.S. 38 440,422 4.2 986,746 9.4
---- --------- ---- --------- ----
51 1,371,368 13.1 2,464,083 23.4
06/07/11 CME S&P 500 STOCK INDEX U.S. 3,890 1.1 100 0.0 347,103
NON U.S. 3,624 1.0 7,745 2.2
---- --------- ---- --------- ----
7 7,514 2.2 7,845 2.3
06/07/11 CME E-MINI S&P 500 STOCK INDEX U.S. 7 51,270 1.7 12,696 0.4 3,009,071
NON U.S. 24 44,454 1.5 48,158 1.6
---- --------- ---- --------- ----
31 95,724 3.2 60,854 2.0
06/07/11 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 4 4,321 1.3 351 0.1 340,737
NON U.S. 14 10,391 3.0 2,589 0.8
---- --------- ---- --------- ----
18 14,712 4.3 2,940 0.9
06/07/11 CME AUSTRALIAN DOLLAR U.S. 1,585 1.1 23,739 16.3 145,346
NON U.S. 288 0.2 7,460 5.1
---- --------- ---- --------- ----
6 1,873 1.3 31,199 21.5
06/07/11 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 7,026 1.6 633 0.1 431,301
NON U.S. 4 1,889 0.4 1,080 0.3
---- --------- ---- --------- ----
8 8,915 2.1 1,713 0.4
06/07/11 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 1,086 1.3 0 0.0 81,827
NON U.S. 5,913 7.2 12,983 15.9
---- --------- ---- --------- ----
10 6,999 8.6 12,983 15.9
06/07/11 CME E-MINI MSCI EMERGING MARKETS U.S. 0 0.0 0 0.0 38,800
NON U.S. 2,146 5.5 3,109 8.0
---- --------- ---- --------- ----
6 2,146 5.5 3,109 8.0
06/07/11 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 1,219 6.8 555 3.1 17,922
NON U.S. 1,122 6.3 1,478 8.2
---- --------- ---- --------- ----
8 2,341 13.1 2,033 11.3