BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
09/04/12 CBT WHEAT U.S. 11,273 2.5 5,815 1.3 445,142
NON U.S. 9,022 2.0 8,852 2.0
---- --------- ---- --------- ----
13 20,295 4.6 14,667 3.3
09/04/12 KCBT WHEAT U.S. 2,469 1.7 1,095 0.7 146,996
NON U.S. 1,926 1.3 5,388 3.7
---- --------- ---- --------- ----
6 4,395 3.0 6,483 4.4
09/04/12 CBT CORN U.S. 27,035 2.3 15,178 1.3 1,178,391
NON U.S. 15,280 1.3 1,162 0.1
---- --------- ---- --------- ----
11 42,315 3.6 16,340 1.4
09/04/12 CBT SOYBEANS U.S. 9,583 1.3 42,759 5.8 742,721
NON U.S. 3,736 0.5 4,619 0.6
---- --------- ---- --------- ----
11 13,319 1.8 47,378 6.4
09/04/12 CBT SOYBEAN OIL U.S. 12,500 3.7 5,130 1.5 337,865
NON U.S. 2,321 0.7 539 0.2
---- --------- ---- --------- ----
5 14,821 4.4 5,669 1.7
09/04/12 NYME GULF # 6 FUEL 3.0% SULFUR SWAP U.S. 1,654 3.6 175 0.4 46,477
NON U.S. 537 1.2 365 0.8
---- --------- ---- --------- ----
5 2,191 4.7 540 1.2
09/04/12 NYME MINI EUR 3.5%FOIL RTD CAL SWAP U.S. 504 5.8 1,113 12.8 8,728
NON U.S. 394 4.5 1,106 12.7
---- --------- ---- --------- ----
5 898 10.3 2,219 25.4
09/04/12 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 20,018 6.0 4,509 1.4 331,284
NON U.S. 3,757 1.1 109 0.0
---- --------- ---- --------- ----
6 23,775 7.2 4,618 1.4
09/04/12 NYME GULF COAST ULSD SWAP U.S. 968 5.9 1,965 11.9 16,461
NON U.S. 375 2.3 290 1.8
---- --------- ---- --------- ----
5 1,343 8.2 2,255 13.7
09/04/12 NYME UP DOWN GC ULSD VS HO SPR SWAP U.S. 3,872 8.5 224 0.5 45,523
NON U.S. 1,344 3.0 0 0.0
---- --------- ---- --------- ----
5 5,216 11.5 224 0.5
09/04/12 NYME NATURAL GAS U.S. 26,590 2.4 15,671 1.4 1,101,920
NON U.S. 12,352 1.1 771 0.1
---- --------- ---- --------- ----
8 38,942 3.5 16,442 1.5
09/04/12 CBT SOYBEAN MEAL U.S. 6,655 2.6 2,739 1.1 251,907
NON U.S. 876 0.3 2,712 1.1
---- --------- ---- --------- ----
5 7,531 3.0 5,451 2.2
09/04/12 ICUS COTTON NO. 2 U.S. 7,575 4.1 1,068 0.6 182,616
NON U.S. 4,427 2.4 73 0.0
---- --------- ---- --------- ----
9 12,002 6.6 1,141 0.6
09/04/12 NYME NW PIPE ROCKIES BASIS SWAP U.S. 1,592 3.9 2,095 5.1 40,832
NON U.S. 3,847 9.4 0 0.0
---- --------- ---- --------- ----
5 5,439 13.3 2,095 5.1
09/04/12 NYME HENRY HUB SWAP U.S. 113,995 4.4 260,662 10.2 2,567,405
NON U.S. 20,374 0.8 170,386 6.6
---- --------- ---- --------- ----
8 134,369 5.2 431,048 16.8
09/04/12 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 75,443 6.5 33,377 2.9 1,155,943
NON U.S. 43,508 3.8 11,766 1.0
---- --------- ---- --------- ----
9 118,951 10.3 45,143 3.9
09/04/12 CBT 2-YEAR U.S. TREASURY NOTES U.S. 8 39,891 3.9 10,137 1.0 1,012,922
NON U.S. 12 14,908 1.5 22,597 2.2
---- --------- ---- --------- ----
20 54,799 5.4 32,734 3.2
09/04/12 CBT 10-YEAR U.S. TREASURY NOTES U.S. 7 15,696 1.0 36,809 2.3 1,585,291
NON U.S. 18 39,341 2.5 25,373 1.6
---- --------- ---- --------- ----
25 55,037 3.5 62,182 3.9
09/04/12 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 43,691 3.5 18,356 1.5 1,264,148
NON U.S. 7 2,547 0.2 29,786 2.4
---- --------- ---- --------- ----
12 46,238 3.7 48,142 3.8
09/04/12 CBT 30-DAY FEDERAL FUNDS U.S. 7 25,047 6.1 41,461 10.0 413,277
NON U.S. 11 31,069 7.5 37,925 9.2
---- --------- ---- --------- ----
18 56,116 13.6 79,386 19.2
09/04/12 CME LEAN HOGS U.S. 8,481 3.6 103 0.0 235,417
NON U.S. 2,814 1.2 0 0.0
---- --------- ---- --------- ----
6 11,295 4.8 103 0.0
09/04/12 CME LIVE CATTLE U.S. 9,388 3.2 241 0.1 293,239
NON U.S. 3,723 1.3 112 0.0
---- --------- ---- --------- ----
6 13,111 4.5 353 0.1
09/04/12 NYME CRUDE OIL, LIGHT SWEET U.S. 53,712 3.5 138,615 9.0 1,531,823
NON U.S. 24,930 1.6 157,490 10.3
---- --------- ---- --------- ----
17 78,642 5.1 296,105 19.3
09/04/12 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 15,392 8.5 31,521 17.4 180,644
NON U.S. 16,377 9.1 28,542 15.8
---- --------- ---- --------- ----
13 31,769 17.6 60,063 33.2
09/04/12 NYME WTI CRUDE OIL FINANCIAL U.S. 11,088 11.8 18,135 19.3 93,897
NON U.S. 5,221 5.6 4,210 4.5
---- --------- ---- --------- ----
7 16,309 17.4 22,345 23.8
09/04/12 NYME WTI-BRENT CALENDAR SWAP U.S. 2,265 4.8 2,335 4.9 47,648
NON U.S. 2,841 6.0 4,327 9.1
---- --------- ---- --------- ----
8 5,106 10.7 6,662 14.0
09/04/12 NYME BRENT (ICE) CALENDAR SWAP U.S. 6,310 10.2 3,926 6.4 61,618
NON U.S. 9,650 15.7 2,701 4.4
---- --------- ---- --------- ----
12 15,960 25.9 6,627 10.8
09/04/12 NYME BRENT CRUDE OIL LAST DAY U.S. 1,019 3.6 536 1.9 28,216
NON U.S. 190 0.7 346 1.2
---- --------- ---- --------- ----
5 1,209 4.3 882 3.1
09/04/12 ICUS COCOA U.S. 1,272 0.6 0 0.0 198,410
NON U.S. 2,751 1.4 12,426 6.3
---- --------- ---- --------- ----
6 4,023 2.0 12,426 6.3
09/04/12 NYME PALLADIUM U.S. 81 0.4 3,265 16.4 19,901
NON U.S. 969 4.9 2,026 10.2
---- --------- ---- --------- ----
14 1,050 5.3 5,291 26.6
09/04/12 NYME PLATINUM U.S. 4 45 0.1 9,154 16.7 54,977
NON U.S. 12 1,130 2.1 7,901 14.4
---- --------- ---- --------- ----
16 1,175 2.1 17,055 31.0
09/04/12 ICUS SUGAR NO. 11 U.S. 16,857 2.3 4,927 0.7 728,205
NON U.S. 11,674 1.6 12,582 1.7
---- --------- ---- --------- ----
10 28,531 3.9 17,509 2.4
09/04/12 ICUS COFFEE C U.S. 3,092 2.2 6 0.0 138,853
NON U.S. 2,000 1.4 1,636 1.2
---- --------- ---- --------- ----
11 5,092 3.7 1,642 1.2
09/04/12 CMX SILVER U.S. 4 1,534 1.3 30,294 25.3 119,504
NON U.S. 13 5,728 4.8 8,529 7.1
---- --------- ---- --------- ----
17 7,262 6.1 38,823 32.5
09/04/12 CMX COPPER-GRADE #1 U.S. 14,009 10.3 1,734 1.3 136,512
NON U.S. 890 0.7 600 0.4
---- --------- ---- --------- ----
8 14,899 10.9 2,334 1.7
09/04/12 CMX GOLD U.S. 4 37,571 8.5 122,154 27.5 444,489
NON U.S. 20 10,710 2.4 64,144 14.4
---- --------- ---- --------- ----
24 48,281 10.9 186,298 41.9
09/04/12 CME RUSSIAN RUBLE U.S. 8,559 9.2 4,029 4.3 93,433
NON U.S. 52,472 56.2 56,980 61.0
---- --------- ---- --------- ----
10 61,031 65.3 61,009 65.3
09/04/12 CME CANADIAN DOLLAR U.S. 634 0.4 10,383 6.1 171,278
NON U.S. 983 0.6 5,158 3.0
---- --------- ---- --------- ----
7 1,617 0.9 15,541 9.1
09/04/12 CME SWISS FRANC U.S. 0 0.0 4,893 8.7 55,949
NON U.S. 0 0.0 8,729 15.6
---- --------- ---- --------- ----
5 0 0.0 13,622 24.3
09/04/12 CME MEXICAN PESO U.S. 0 0.0 26,666 12.0 222,655
NON U.S. 61,060 27.4 0 0.0
---- --------- ---- --------- ----
7 61,060 27.4 26,666 12.0
09/04/12 CME BRITISH POUND STERLING U.S. 6,018 4.5 3,474 2.6 133,755
NON U.S. 2,156 1.6 928 0.7
---- --------- ---- --------- ----
7 8,174 6.1 4,402 3.3
09/04/12 CME JAPANESE YEN U.S. 5 3,100 2.0 18,264 12.0 152,452
NON U.S. 4 3,258 2.1 1,399 0.9
---- --------- ---- --------- ----
9 6,358 4.2 19,663 12.9
09/04/12 CME EURO FX U.S. 5 58,288 18.5 6,598 2.1 314,363
NON U.S. 13 36,631 11.7 7,729 2.5
---- --------- ---- --------- ----
18 94,919 30.2 14,327 4.6
09/04/12 CME BRAZILIAN REAL U.S. 751 4.8 0 0.0 15,754
NON U.S. 214 1.4 12,844 81.5
---- --------- ---- --------- ----
5 965 6.1 12,844 81.5
09/04/12 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 5,109 1.8 5,518 1.9 284,399
NON U.S. 1,646 0.6 760 0.3
---- --------- ---- --------- ----
8 6,755 2.4 6,278 2.2
09/04/12 NYME RBOB CALENDAR SWAP U.S. 174 1.1 138 0.9 15,815
NON U.S. 252 1.6 0 0.0
---- --------- ---- --------- ----
5 426 2.7 138 0.9
09/04/12 E VIX FUTURES U.S. 518 0.1 4,111 1.1 367,377
NON U.S. 2,127 0.6 1,473 0.4
---- --------- ---- --------- ----
6 2,645 0.7 5,584 1.5
09/04/12 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 6,021 5.4 0 0.0 112,446
NON U.S. 0 0.0 17,023 15.1
---- --------- ---- --------- ----
5 6,021 5.4 17,023 15.1
09/04/12 CME 3-MONTH EURODOLLARS U.S. 11 668,713 8.1 828,883 10.1 8,208,560
NON U.S. 31 266,523 3.2 674,567 8.2
---- --------- ---- --------- ----
42 935,236 11.4 1,503,450 18.3
09/04/12 CME S&P 500 STOCK INDEX U.S. 5,250 2.2 0 0.0 241,669
NON U.S. 3,031 1.3 8,893 3.7
---- --------- ---- --------- ----
7 8,281 3.4 8,893 3.7
09/04/12 CME E-MINI S&P 500 STOCK INDEX U.S. 6 62,411 2.0 10,640 0.3 3,099,775
NON U.S. 26 55,641 1.8 75,095 2.4
---- --------- ---- --------- ----
32 118,052 3.8 85,735 2.8
09/04/12 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 621 0.1 1,103 0.2 460,702
NON U.S. 8,472 1.8 15,910 3.5
---- --------- ---- --------- ----
12 9,093 2.0 17,013 3.7
09/04/12 CME AUSTRALIAN DOLLAR U.S. 100 0.1 3,550 1.9 189,241
NON U.S. 10,888 5.8 892 0.5
---- --------- ---- --------- ----
6 10,988 5.8 4,442 2.3
09/04/12 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 1,551 0.4 7,500 1.7 441,817
NON U.S. 4 1,891 0.4 1,007 0.2
---- --------- ---- --------- ----
8 3,442 0.8 8,507 1.9
09/04/12 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 0 0.0 464 0.8 56,865
NON U.S. 5,162 9.1 2,658 4.7
---- --------- ---- --------- ----
9 5,162 9.1 3,122 5.5
09/04/12 NYL MSCI EMERGING MKTS MINI INDEX U.S. 496 0.4 0 0.0 119,497
NON U.S. 4,676 3.9 3,480 2.9
---- --------- ---- --------- ----
10 5,172 4.3 3,480 2.9
09/04/12 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 1,550 3.7 476 1.1 42,382
NON U.S. 1,796 4.2 1,290 3.0
---- --------- ---- --------- ----
8 3,346 7.9 1,766 4.2
09/04/12 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 765 5.1 635 4.2 14,975
NON U.S. 1,390 9.3 0 0.0
---- --------- ---- --------- ----
5 2,155 14.4 635 4.2
09/04/12 NYME GASOIL CRACK SPR SWAP U.S. 318 1.4 877 3.8 23,385
NON U.S. 995 4.3 325 1.4
---- --------- ---- --------- ----
7 1,313 5.6 1,202 5.1
09/04/12 NYME EUROBOB OXY NWE CRK SPR U.S. 1,204 4.7 981 3.9 25,380
NON U.S. 259 1.0 720 2.8
---- --------- ---- --------- ----
5 1,463 5.8 1,701 6.7