BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
05/03/11 CBT WHEAT U.S. 27,998 6.1 5,056 1.1 460,447
NON U.S. 3,745 0.8 7,165 1.6
---- --------- ---- --------- ----
10 31,743 6.9 12,221 2.7
05/03/11 CBT CORN U.S. 27,534 1.8 61,243 4.1 1,492,620
NON U.S. 9,058 0.6 6,273 0.4
---- --------- ---- --------- ----
6 36,592 2.5 67,516 4.5
05/03/11 CBT SOYBEANS U.S. 9,046 1.6 16,131 2.8 571,505
NON U.S. 5,530 1.0 2,268 0.4
---- --------- ---- --------- ----
8 14,576 2.6 18,399 3.2
05/03/11 CBT U.S. TREASURY BONDS U.S. 2,300 0.4 8,568 1.4 607,225
NON U.S. 142 0.0 2,637 0.4
---- --------- ---- --------- ----
6 2,442 0.4 11,205 1.8
05/03/11 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 18,238 5.8 946 0.3 314,173
NON U.S. 1,185 0.4 304 0.1
---- --------- ---- --------- ----
6 19,423 6.2 1,250 0.4
05/03/11 NYME GASOIL (ICE) MINI CAL SWAP U.S. 216 4.2 483 9.4 5,117
NON U.S. 184 3.6 789 15.4
---- --------- ---- --------- ----
5 400 7.8 1,272 24.9
05/03/11 NYME NATURAL GAS U.S. 23,612 2.4 11,255 1.1 1,003,421
NON U.S. 9,158 0.9 1,283 0.1
---- --------- ---- --------- ----
11 32,770 3.3 12,538 1.2
05/03/11 ICUS COTTON NO. 2 U.S. 3,536 2.4 4,514 3.0 149,384
NON U.S. 1,107 0.7 3,777 2.5
---- --------- ---- --------- ----
9 4,643 3.1 8,291 5.6
05/03/11 NYME NW PIPE ROCKIES BASIS SWAP U.S. 2,740 3.8 4,442 6.1 72,477
NON U.S. 2,703 3.7 3,305 4.6
---- --------- ---- --------- ----
5 5,443 7.5 7,747 10.7
05/03/11 NYME PANHANDLE BASIS SWAP U.S. 20,029 15.6 6,703 5.2 128,636
NON U.S. 0 0.0 9,089 7.1
---- --------- ---- --------- ----
5 20,029 15.6 15,792 12.3
05/03/11 NYME SAN JUAN BASIS SWAP U.S. 1,377 4.4 1,663 5.3 31,488
NON U.S. 678 2.2 2,972 9.4
---- --------- ---- --------- ----
5 2,055 6.5 4,635 14.7
05/03/11 NYME HENRY HUB SWAP U.S. 4 63,377 2.4 235,943 9.0 2,612,548
NON U.S. 6 6,188 0.2 176,451 6.8
---- --------- ---- --------- ----
10 69,565 2.7 412,394 15.8
05/03/11 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 63,370 6.6 90,860 9.5 961,124
NON U.S. 45,947 4.8 9,413 1.0
---- --------- ---- --------- ----
8 109,317 11.4 100,273 10.4
05/03/11 ICUS FRZN CONCENTRATED ORANGE JUICE U.S. 832 2.9 133 0.5 28,301
NON U.S. 335 1.2 1,099 3.9
---- --------- ---- --------- ----
5 1,167 4.1 1,232 4.4
05/03/11 CBT 2-YEAR U.S. TREASURY NOTES U.S. 8 34,737 3.3 15,899 1.5 1,067,052
NON U.S. 18 7,632 0.7 29,017 2.7
---- --------- ---- --------- ----
26 42,369 4.0 44,916 4.2
05/03/11 CBT 10-YEAR U.S. TREASURY NOTES U.S. 9 19,142 1.1 64,036 3.8 1,704,182
NON U.S. 23 20,508 1.2 45,880 2.7
---- --------- ---- --------- ----
32 39,650 2.3 109,916 6.4
05/03/11 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 29,594 2.0 91,517 6.3 1,457,788
NON U.S. 13 4,829 0.3 35,965 2.5
---- --------- ---- --------- ----
17 34,423 2.4 127,482 8.7
05/03/11 CBT 30-DAY FEDERAL FUNDS U.S. 8 125,797 19.5 73,136 11.3 646,665
NON U.S. 14 31,347 4.8 47,016 7.3
---- --------- ---- --------- ----
22 157,144 24.3 120,152 18.6
05/03/11 CME LIVE CATTLE U.S. 6,130 1.7 1,556 0.4 354,805
NON U.S. 2,105 0.6 84 0.0
---- --------- ---- --------- ----
7 8,235 2.3 1,640 0.5
05/03/11 NYME CRUDE OIL, LIGHT SWEET U.S. 46,443 2.9 104,695 6.4 1,624,328
NON U.S. 20,729 1.3 130,658 8.0
---- --------- ---- --------- ----
14 67,172 4.1 235,353 14.5
05/03/11 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 12,960 5.9 34,904 16.0 217,962
NON U.S. 9 15,584 7.1 27,684 12.7
---- --------- ---- --------- ----
13 28,544 13.1 62,588 28.7
05/03/11 NYME WTI CRUDE OIL FINANCIAL U.S. 5,957 7.5 11,014 13.8 79,702
NON U.S. 2,091 2.6 706 0.9
---- --------- ---- --------- ----
6 8,048 10.1 11,720 14.7
05/03/11 NYME BRENT (ICE) CALENDAR SWAP U.S. 999 1.6 6,044 9.7 62,556
NON U.S. 2,520 4.0 2,221 3.6
---- --------- ---- --------- ----
5 3,519 5.6 8,265 13.2
05/03/11 NYME PALLADIUM U.S. 202 1.0 3,864 18.3 21,133
NON U.S. 249 1.2 4,071 19.3
---- --------- ---- --------- ----
11 451 2.1 7,935 37.5
05/03/11 NYME PLATINUM U.S. 125 0.3 4,039 10.0 40,279
NON U.S. 185 0.5 4,530 11.2
---- --------- ---- --------- ----
11 310 0.8 8,569 21.3
05/03/11 ICUS SUGAR NO. 11 U.S. 5,604 1.0 4,503 0.8 568,473
NON U.S. 4,860 0.9 17,063 3.0
---- --------- ---- --------- ----
9 10,464 1.8 21,566 3.8
05/03/11 ICUS COFFEE C U.S. 4,041 3.4 4,215 3.5 120,301
NON U.S. 764 0.6 5,180 4.3
---- --------- ---- --------- ----
9 4,805 4.0 9,395 7.8
05/03/11 CMX SILVER U.S. 4 1,783 1.4 20,613 15.6 131,907
NON U.S. 12 2,873 2.2 6,481 4.9
---- --------- ---- --------- ----
16 4,656 3.5 27,094 20.5
05/03/11 CMX COPPER-GRADE #1 U.S. 8,378 6.7 1,296 1.0 125,898
NON U.S. 1,287 1.0 173 0.1
---- --------- ---- --------- ----
8 9,665 7.7 1,469 1.2
05/03/11 CMX GOLD U.S. 4 22,258 4.3 115,198 22.1 522,323
NON U.S. 14 9,065 1.7 42,897 8.2
---- --------- ---- --------- ----
18 31,323 6.0 158,095 30.3
05/03/11 CME RUSSIAN RUBLE U.S. 1,362 1.3 4,044 4.0 102,268
NON U.S. 53,322 52.1 50,953 49.8
---- --------- ---- --------- ----
5 54,684 53.5 54,997 53.8
05/03/11 CME CANADIAN DOLLAR U.S. 4 2,036 1.5 24,496 17.5 139,919
NON U.S. 4 2,930 2.1 7,669 5.5
---- --------- ---- --------- ----
8 4,966 3.5 32,165 23.0
05/03/11 CME MEXICAN PESO U.S. 0 0.0 96,382 59.1 162,963
NON U.S. 0 0.0 4,989 3.1
---- --------- ---- --------- ----
7 0 0.0 101,371 62.2
05/03/11 CME BRITISH POUND STERLING U.S. 3,016 2.4 22,116 17.8 124,003
NON U.S. 1,400 1.1 1,626 1.3
---- --------- ---- --------- ----
6 4,416 3.6 23,742 19.1
05/03/11 CME JAPANESE YEN U.S. 5 6,773 6.5 8,721 8.3 104,590
NON U.S. 5 5,909 5.6 1,134 1.1
---- --------- ---- --------- ----
10 12,682 12.1 9,855 9.4
05/03/11 CME EURO FX U.S. 6 6,646 2.5 28,389 10.7 264,337
NON U.S. 12 8,758 3.3 16,641 6.3
---- --------- ---- --------- ----
18 15,404 5.8 45,030 17.0
05/03/11 CME BRAZILIAN REAL U.S. 0 0.0 2,137 5.8 36,544
NON U.S. 0 0.0 26,357 72.1
---- --------- ---- --------- ----
5 0 0.0 28,494 78.0
05/03/11 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 4,800 1.6 3,596 1.2 301,213
NON U.S. 1,491 0.5 62 0.0
---- --------- ---- --------- ----
7 6,291 2.1 3,658 1.2
05/03/11 CME NEW ZEALAND DOLLAR U.S. 0 0.0 2,989 9.5 31,620
NON U.S. 0 0.0 417 1.3
---- --------- ---- --------- ----
5 0 0.0 3,406 10.8
05/03/11 E VIX FUTURES U.S. 2,349 1.1 10,428 4.9 215,008
NON U.S. 2,328 1.1 1,278 0.6
---- --------- ---- --------- ----
6 4,677 2.2 11,706 5.4
05/03/11 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 4,552 3.5 1,091 0.8 131,048
NON U.S. 3,486 2.7 3,322 2.5
---- --------- ---- --------- ----
7 8,038 6.1 4,413 3.4
05/03/11 CME 3-MONTH EURODOLLARS U.S. 12 935,435 9.2 1,516,069 15.0 10,119,301
NON U.S. 35 378,746 3.7 798,060 7.9
---- --------- ---- --------- ----
47 1,314,181 13.0 2,314,129 22.9
05/03/11 CME S&P 500 STOCK INDEX U.S. 897 0.3 100 0.0 321,702
NON U.S. 3,146 1.0 6,841 2.1
---- --------- ---- --------- ----
6 4,043 1.3 6,941 2.2
05/03/11 CME E-MINI S&P 500 STOCK INDEX U.S. 8 48,090 1.7 9,294 0.3 2,816,881
NON U.S. 26 37,964 1.3 39,135 1.4
---- --------- ---- --------- ----
34 86,054 3.1 48,429 1.7
05/03/11 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 4 3,014 0.7 993 0.2 412,576
NON U.S. 16 9,297 2.3 2,500 0.6
---- --------- ---- --------- ----
20 12,311 3.0 3,493 0.8
05/03/11 CME AUSTRALIAN DOLLAR U.S. 999 0.7 19,589 13.8 142,328
NON U.S. 88 0.1 7,262 5.1
---- --------- ---- --------- ----
6 1,087 0.8 26,851 18.9
05/03/11 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 6,112 1.5 1,205 0.3 398,072
NON U.S. 4 1,900 0.5 630 0.2
---- --------- ---- --------- ----
8 8,012 2.0 1,835 0.5
05/03/11 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 1,686 2.6 0 0.0 64,736
NON U.S. 4,378 6.8 11,545 17.8
---- --------- ---- --------- ----
11 6,064 9.4 11,545 17.8
05/03/11 CME E-MINI MSCI EMERGING MARKETS U.S. 0 0.0 0 0.0 41,907
NON U.S. 2,858 6.8 2,884 6.9
---- --------- ---- --------- ----
5 2,858 6.8 2,884 6.9
05/03/11 ICUS EURO FX/JAPANESE YEN - SMALL U.S. 2,088 29.0 2,952 41.0 7,193
NON U.S. 0 0.0 0 0.0
---- --------- ---- --------- ----
5 2,088 29.0 2,952 41.0
05/03/11 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 1,242 8.0 598 3.9 15,495
NON U.S. 826 5.3 1,549 10.0
---- --------- ---- --------- ----
5 2,068 13.3 2,147 13.9