BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
05/01/12 CBT WHEAT U.S. 21,236 5.0 2,573 0.6 427,502
NON U.S. 16,754 3.9 4,648 1.1
---- --------- ---- --------- ----
11 37,990 8.9 7,221 1.7
05/01/12 KCBT WHEAT U.S. 2,115 1.6 173 0.1 136,118
NON U.S. 2,080 1.5 554 0.4
---- --------- ---- --------- ----
7 4,195 3.1 727 0.5
05/01/12 CBT CORN U.S. 36,772 3.0 9,570 0.8 1,225,210
NON U.S. 20,073 1.6 3,735 0.3
---- --------- ---- --------- ----
11 56,845 4.6 13,305 1.1
05/01/12 CBT SOYBEANS U.S. 14,634 1.8 23,619 2.9 807,124
NON U.S. 9,170 1.1 2,289 0.3
---- --------- ---- --------- ----
11 23,804 2.9 25,908 3.2
05/01/12 CBT SOYBEAN OIL U.S. 19,338 5.3 4,083 1.1 364,638
NON U.S. 4,195 1.2 541 0.1
---- --------- ---- --------- ----
6 23,533 6.5 4,624 1.3
05/01/12 CBT U.S. TREASURY BONDS U.S. 6 2,854 0.5 12,188 2.1 571,339
NON U.S. 5 6,484 1.1 6,688 1.2
---- --------- ---- --------- ----
11 9,338 1.6 18,876 3.3
05/01/12 NYME GULF # 6 FUEL 3.0% SULFUR SWAP U.S. 1,086 2.3 300 0.6 46,483
NON U.S. 516 1.1 178 0.4
---- --------- ---- --------- ----
5 1,602 3.4 478 1.0
05/01/12 NYME EUR 3.5% FUEL OIL RTD CAL SWAP U.S. 365 2.9 309 2.5 12,447
NON U.S. 841 6.8 132 1.1
---- --------- ---- --------- ----
5 1,206 9.7 441 3.5
05/01/12 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 14,069 4.6 671 0.2 304,613
NON U.S. 3,536 1.2 32 0.0
---- --------- ---- --------- ----
7 17,605 5.8 703 0.2
05/01/12 NYME GASOIL (ICE) MINI CAL SWAP U.S. 708 25.7 15 0.5 2,753
NON U.S. 168 6.1 558 20.3
---- --------- ---- --------- ----
5 876 31.8 573 20.8
05/01/12 NYME NATURAL GAS U.S. 34,369 2.7 23,234 1.8 1,257,703
NON U.S. 25,655 2.0 1,636 0.1
---- --------- ---- --------- ----
11 60,024 4.8 24,870 2.0
05/01/12 ICUS COTTON NO. 2 U.S. 7,909 4.4 132 0.1 180,785
NON U.S. 3,916 2.2 4,397 2.4
---- --------- ---- --------- ----
10 11,825 6.5 4,529 2.5
05/01/12 NYME NW PIPE ROCKIES BASIS SWAP U.S. 488 1.1 2,653 6.2 43,021
NON U.S. 3,483 8.1 184 0.4
---- --------- ---- --------- ----
5 3,971 9.2 2,837 6.6
05/01/12 NYME HENRY HUB SWAP U.S. 110,579 4.1 237,240 8.8 2,697,093
NON U.S. 19,798 0.7 177,588 6.6
---- --------- ---- --------- ----
9 130,377 4.8 414,828 15.4
05/01/12 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 116,501 8.7 35,231 2.6 1,333,614
NON U.S. 29,684 2.2 11,816 0.9
---- --------- ---- --------- ----
9 146,185 11.0 47,047 3.5
05/01/12 CBT ROUGH RICE U.S. 194 1.4 0 0.0 14,254
NON U.S. 809 5.7 600 4.2
---- --------- ---- --------- ----
5 1,003 7.0 600 4.2
05/01/12 CBT 2-YEAR U.S. TREASURY NOTES U.S. 6 26,769 2.8 8,117 0.9 953,779
NON U.S. 10 12,374 1.3 7,192 0.8
---- --------- ---- --------- ----
16 39,143 4.1 15,309 1.6
05/01/12 CBT 10-YEAR U.S. TREASURY NOTES U.S. 8 21,993 1.2 64,637 3.5 1,832,781
NON U.S. 23 51,809 2.8 65,292 3.6
---- --------- ---- --------- ----
31 73,802 4.0 129,929 7.1
05/01/12 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 53,966 4.1 23,375 1.8 1,323,793
NON U.S. 10 23,506 1.8 26,580 2.0
---- --------- ---- --------- ----
15 77,472 5.9 49,955 3.8
05/01/12 CBT 30-DAY FEDERAL FUNDS U.S. 6 29,193 6.0 58,472 11.9 490,074
NON U.S. 11 32,454 6.6 49,228 10.0
---- --------- ---- --------- ----
17 61,647 12.6 107,700 22.0
05/01/12 CME LEAN HOGS U.S. 7,713 2.9 0 0.0 269,139
NON U.S. 3,263 1.2 175 0.1
---- --------- ---- --------- ----
6 10,976 4.1 175 0.1
05/01/12 CME LIVE CATTLE U.S. 8,167 2.4 403 0.1 345,571
NON U.S. 4,606 1.3 598 0.2
---- --------- ---- --------- ----
7 12,773 3.7 1,001 0.3
05/01/12 NYME CRUDE OIL, LIGHT SWEET U.S. 57,104 3.6 116,587 7.3 1,602,007
NON U.S. 28,660 1.8 162,230 10.1
---- --------- ---- --------- ----
17 85,764 5.4 278,817 17.4
05/01/12 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 14,083 7.0 37,289 18.6 200,603
NON U.S. 14,219 7.1 33,859 16.9
---- --------- ---- --------- ----
13 28,302 14.1 71,148 35.5
05/01/12 NYME WTI CRUDE OIL FINANCIAL U.S. 8,617 10.0 16,300 18.8 86,532
NON U.S. 3,595 4.2 2,767 3.2
---- --------- ---- --------- ----
7 12,212 14.1 19,067 22.0
05/01/12 NYME WTI-BRENT CALENDAR SWAP U.S. 2,220 4.1 3,160 5.9 54,009
NON U.S. 2,685 5.0 575 1.1
---- --------- ---- --------- ----
6 4,905 9.1 3,735 6.9
05/01/12 NYME BRENT (ICE) CALENDAR SWAP U.S. 4,278 7.8 3,451 6.3 54,888
NON U.S. 7,852 14.3 3,838 7.0
---- --------- ---- --------- ----
10 12,130 22.1 7,289 13.3
05/01/12 NYME BRENT CRUDE OIL LAST DAY U.S. 815 2.8 1,086 3.7 29,029
NON U.S. 178 0.6 346 1.2
---- --------- ---- --------- ----
5 993 3.4 1,432 4.9
05/01/12 ICUS COCOA U.S. 655 0.4 323 0.2 182,207
NON U.S. 2,817 1.5 13,231 7.3
---- --------- ---- --------- ----
5 3,472 1.9 13,554 7.4
05/01/12 NYME PALLADIUM U.S. 399 1.8 3,893 18.0 21,576
NON U.S. 1,258 5.8 2,446 11.3
---- --------- ---- --------- ----
15 1,657 7.7 6,339 29.4
05/01/12 NYME PLATINUM U.S. 623 1.5 5,538 13.2 41,810
NON U.S. 2,022 4.8 5,910 14.1
---- --------- ---- --------- ----
16 2,645 6.3 11,448 27.4
05/01/12 ICUS SUGAR NO. 11 U.S. 18,437 2.6 4,296 0.6 706,597
NON U.S. 13,797 2.0 13,929 2.0
---- --------- ---- --------- ----
13 32,234 4.6 18,225 2.6
05/01/12 ICUS COFFEE C U.S. 1,747 1.2 1,138 0.8 144,219
NON U.S. 1,697 1.2 2,429 1.7
---- --------- ---- --------- ----
12 3,444 2.4 3,567 2.5
05/01/12 CMX SILVER U.S. 4 5,477 4.9 22,158 20.0 110,862
NON U.S. 13 4,999 4.5 6,351 5.7
---- --------- ---- --------- ----
17 10,476 9.4 28,509 25.7
05/01/12 CMX COPPER-GRADE #1 U.S. 13,192 9.1 2,676 1.9 144,241
NON U.S. 1,293 0.9 1,727 1.2
---- --------- ---- --------- ----
9 14,485 10.0 4,403 3.1
05/01/12 CMX GOLD U.S. 4 36,539 8.9 104,304 25.3 411,972
NON U.S. 20 10,372 2.5 51,891 12.6
---- --------- ---- --------- ----
24 46,911 11.4 156,195 37.9
05/01/12 CME RUSSIAN RUBLE U.S. 9,492 7.5 3,180 2.5 125,951
NON U.S. 80,633 64.0 84,086 66.8
---- --------- ---- --------- ----
9 90,125 71.6 87,266 69.3
05/01/12 CME MEXICAN PESO U.S. 2,781 1.8 9,752 6.2 156,499
NON U.S. 49,866 31.9 7,146 4.6
---- --------- ---- --------- ----
6 52,647 33.6 16,898 10.8
05/01/12 CME BRITISH POUND STERLING U.S. 21,215 11.3 170 0.1 188,288
NON U.S. 99 0.1 4,289 2.3
---- --------- ---- --------- ----
5 21,314 11.3 4,459 2.4
05/01/12 CME JAPANESE YEN U.S. 13,115 9.3 9,928 7.1 140,349
NON U.S. 2,234 1.6 265 0.2
---- --------- ---- --------- ----
7 15,349 10.9 10,193 7.3
05/01/12 CME EURO FX U.S. 4 48,920 17.5 168 0.1 279,605
NON U.S. 12 10,842 3.9 3,132 1.1
---- --------- ---- --------- ----
16 59,762 21.4 3,300 1.2
05/01/12 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 7,814 2.6 7,208 2.4 302,610
NON U.S. 2,396 0.8 1,604 0.5
---- --------- ---- --------- ----
8 10,210 3.4 8,812 2.9
05/01/12 E VIX FUTURES U.S. 0 0.0 19,816 6.2 318,793
NON U.S. 2,595 0.8 1,718 0.5
---- --------- ---- --------- ----
6 2,595 0.8 21,534 6.8
05/01/12 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 3,666 3.3 0 0.0 112,443
NON U.S. 1,824 1.6 22,482 20.0
---- --------- ---- --------- ----
7 5,490 4.9 22,482 20.0
05/01/12 CME 3-MONTH EURODOLLARS U.S. 11 1,266,888 14.4 573,754 6.5 8,815,768
NON U.S. 34 340,475 3.9 711,308 8.1
---- --------- ---- --------- ----
45 1,607,363 18.2 1,285,062 14.6
05/01/12 CME S&P 500 STOCK INDEX U.S. 2,770 1.1 888 0.4 244,810
NON U.S. 6,686 2.7 9,026 3.7
---- --------- ---- --------- ----
10 9,456 3.9 9,914 4.0
05/01/12 CME E-MINI S&P 500 STOCK INDEX U.S. 6 42,405 1.5 17,557 0.6 2,858,768
NON U.S. 27 39,647 1.4 93,999 3.3
---- --------- ---- --------- ----
33 82,052 2.9 111,556 3.9
05/01/12 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 1,169 0.3 0 0.0 409,777
NON U.S. 11,216 2.7 16,104 3.9
---- --------- ---- --------- ----
13 12,385 3.0 16,104 3.9
05/01/12 CME AUSTRALIAN DOLLAR U.S. 4,433 3.0 3,418 2.3 147,749
NON U.S. 66 0.0 1,767 1.2
---- --------- ---- --------- ----
5 4,499 3.0 5,185 3.5
05/01/12 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 8,649 2.2 4,093 1.0 397,471
NON U.S. 5 3,834 1.0 986 0.2
---- --------- ---- --------- ----
9 12,483 3.1 5,079 1.3
05/01/12 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 0 0.0 294 0.4 66,562
NON U.S. 1,110 1.7 1,411 2.1
---- --------- ---- --------- ----
6 1,110 1.7 1,705 2.6
05/01/12 NYL MSCI EMERGING MKTS MINI INDEX U.S. 0 0.0 0 0.0 84,628
NON U.S. 4,779 5.6 7,505 8.9
---- --------- ---- --------- ----
12 4,779 5.6 7,505 8.9
05/01/12 CME E-MINI S&P 400 STOCK INDEX U.S. 825 0.8 0 0.0 98,834
NON U.S. 0 0.0 3,508 3.5
---- --------- ---- --------- ----
5 825 0.8 3,508 3.5
05/01/12 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 979 3.6 279 1.0 27,469
NON U.S. 1,874 6.8 1,935 7.0
---- --------- ---- --------- ----
8 2,853 10.4 2,214 8.1
05/01/12 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 1,180 6.6 1,135 6.3 17,991
NON U.S. 737 4.1 0 0.0
---- --------- ---- --------- ----
6 1,917 10.7 1,135 6.3
05/01/12 NYME GASOIL CRACK SPR SWAP U.S. 306 1.0 1,785 6.0 29,510
NON U.S. 944 3.2 261 0.9
---- --------- ---- --------- ----
7 1,250 4.2 2,046 6.9