BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
08/07/07 CBT WHEAT U.S. 1 9,397 2.2 30 0.0 427,074
NON U.S. 13 48,839 11.4 6,057 1.4
---- --------- ---- --------- ----
14 58,236 13.6 6,087 1.4
08/07/07 KCBT WHEAT U.S. 1 2,640 1.7 0 0.0 154,503
NON U.S. 6 4,592 3.0 1 0.0
---- --------- ---- --------- ----
7 7,232 4.7 1 0.0
08/07/07 CBT CORN U.S. 2 17,216 1.4 248 0.0 1,193,831
NON U.S. 12 88,497 7.4 953 0.1
---- --------- ---- --------- ----
14 105,713 8.9 1,201 0.1
08/07/07 CBT SOYBEANS U.S. 1 8,602 1.7 252 0.1 497,711
NON U.S. 9 26,118 5.2 1,211 0.2
---- --------- ---- --------- ----
10 34,720 7.0 1,463 0.3
08/07/07 CBT SOYBEAN OIL U.S. 1 3,127 1.1 0 0.0 290,263
NON U.S. 7 16,075 5.5 1,370 0.5
---- --------- ---- --------- ----
8 19,202 6.6 1,370 0.5
08/07/07 CBT U.S. TREASURY BONDS U.S. 3 11,576 1.1 8,359 0.8 1,018,698
NON U.S. 18 76,994 7.6 17,441 1.7
---- --------- ---- --------- ----
21 88,570 8.7 25,800 2.5
08/07/07 NYME NY RES FUEL 1.0% SULFUR SWAP U.S. 2 3,020 23.1 370 2.8 13,075
NON U.S. 3 1,626 12.4 349 2.7
---- --------- ---- --------- ----
5 4,646 35.5 719 5.5
08/07/07 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 4 7,641 3.5 786 0.4 218,340
NON U.S. 6 24,490 11.2 11,361 5.2
---- --------- ---- --------- ----
10 32,131 14.7 12,147 5.6
08/07/07 NYME SING GASOIL SWAP U.S. 2 300 6.9 100 2.3 4,325
NON U.S. 3 300 6.9 925 21.4
---- --------- ---- --------- ----
5 600 13.9 1,025 23.7
08/07/07 NYME SING GASOIL/RDAM GASOIL SWAP U.S. 2 0 0.0 1,200 22.4 5,350
NON U.S. 3 300 5.6 850 15.9
---- --------- ---- --------- ----
5 300 5.6 2,050 38.3
08/07/07 NYME NATURAL GAS U.S. 5 53,600 6.7 38,074 4.8 798,615
NON U.S. 13 47,144 5.9 67,082 8.4
---- --------- ---- --------- ----
18 100,744 12.6 105,156 13.2
08/07/07 NYME PERMIAN BASIS SWAP U.S. 3 10,636 15.1 747 1.1 70,417
NON U.S. 4 1,708 2.4 4,236 6.0
---- --------- ---- --------- ----
7 12,344 17.5 4,983 7.1
08/07/07 NYME M-3 BASIS SWAP U.S. 2 1,924 1.5 817 0.6 129,600
NON U.S. 3 7,934 6.1 3,546 2.7
---- --------- ---- --------- ----
5 9,858 7.6 4,363 3.4
08/07/07 NYME TCO BASIS SWAP U.S. 2 3,334 3.3 3,105 3.1 100,868
NON U.S. 3 9,108 9.0 549 0.5
---- --------- ---- --------- ----
5 12,442 12.3 3,654 3.6
08/07/07 NYME MALIN BASIS SWAP U.S. 2 60 0.1 60 0.1 65,001
NON U.S. 4 2,561 3.9 1,342 2.1
---- --------- ---- --------- ----
6 2,621 4.0 1,402 2.2
08/07/07 NYME PG&E CITYGATE BASIS SWAP U.S. 2 245 0.4 1,269 2.2 58,368
NON U.S. 4 881 1.5 2,273 3.9
---- --------- ---- --------- ----
6 1,126 1.9 3,542 6.1
08/07/07 NYME NGPL TEXOK BASIS SWAP U.S. 2 0 0.0 851 1.0 85,560
NON U.S. 3 1,989 2.3 729 0.9
---- --------- ---- --------- ----
5 1,989 2.3 1,580 1.8
08/07/07 NYME SUMAS BASIS SWAP U.S. 3 4,988 22.1 0 0.0 22,603
NON U.S. 5 4,506 19.9 917 4.1
---- --------- ---- --------- ----
8 9,494 42.0 917 4.1
08/07/07 NYME NGPL MID-CON BASIS SWAP U.S. 1 0 0.0 213 0.2 98,586
NON U.S. 4 3,162 3.2 1,166 1.2
---- --------- ---- --------- ----
5 3,162 3.2 1,379 1.4
08/07/07 NYME WAHA BASIS SWAP U.S. 4 899 0.8 16,313 14.9 109,294
NON U.S. 3 1,700 1.6 2,381 2.2
---- --------- ---- --------- ----
7 2,599 2.4 18,694 17.1
08/07/07 NYME CIG BASIS SWAP U.S. 4 185 0.4 6,853 13.0 52,831
NON U.S. 3 599 1.1 8,939 16.9
---- --------- ---- --------- ----
7 784 1.5 15,792 29.9
08/07/07 NYME CENTERPOINT BASIS SWAP U.S. 3 0 0.0 3,019 11.6 26,040
NON U.S. 2 214 0.8 3,474 13.3
---- --------- ---- --------- ----
5 214 0.8 6,493 24.9
08/07/07 CME 1-MONTH LIBOR RATE U.S. 2 3,889 4.9 4,711 6.0 79,169
NON U.S. 10 11,953 15.1 16,180 20.4
---- --------- ---- --------- ----
12 15,842 20.0 20,891 26.4
08/07/07 NYBT COTTON NO. 2 U.S. 1 3,453 1.6 0 0.0 214,503
NON U.S. 8 16,360 7.6 688 0.3
---- --------- ---- --------- ----
9 19,813 9.2 688 0.3
08/07/07 NYME ALBERTA BASIS SWAP U.S. 5 6,293 4.5 6,518 4.7 139,623
NON U.S. 9 17,674 12.7 30,238 21.7
---- --------- ---- --------- ----
14 23,967 17.2 36,756 26.3
08/07/07 NYME CHICAGO BASIS SWAP U.S. 1 31 0.0 60 0.1 86,776
NON U.S. 4 305 0.4 1,764 2.0
---- --------- ---- --------- ----
5 336 0.4 1,824 2.1
08/07/07 NYME HOUSTON SHIP CH BASIS SWAP U.S. 6 3,766 1.4 17,159 6.6 260,592
NON U.S. 5 6,225 2.4 15,543 6.0
---- --------- ---- --------- ----
11 9,991 3.8 32,702 12.5
08/07/07 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 13,452 7.4 13,820 7.6 182,160
NON U.S. 7 11,082 6.1 18,341 10.1
---- --------- ---- --------- ----
12 24,534 13.5 32,161 17.7
08/07/07 NYME PANHANDLE BASIS SWAP U.S. 6 6,379 3.6 12,060 6.8 178,015
NON U.S. 4 3,937 2.2 19,997 11.2
---- --------- ---- --------- ----
10 10,316 5.8 32,057 18.0
08/07/07 NYME SAN JUAN BASIS SWAP U.S. 5 16,209 29.0 2,880 5.2 55,877
NON U.S. 4 4,169 7.5 1,827 3.3
---- --------- ---- --------- ----
9 20,378 36.5 4,707 8.4
08/07/07 NYME SOCAL BASIS SWAP U.S. 5 28,870 12.8 9,046 4.0 225,211
NON U.S. 5 6,200 2.8 17,904 7.9
---- --------- ---- --------- ----
10 35,070 15.6 26,950 12.0
08/07/07 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 938 1.4 1,404 2.2 65,169
NON U.S. 4 1,154 1.8 2,865 4.4
---- --------- ---- --------- ----
6 2,092 3.2 4,269 6.6
08/07/07 NYME HENRY HUB GAS SWAP U.S. 5 202,165 7.4 232,886 8.6 2,720,024
NON U.S. 11 251,519 9.2 203,007 7.5
---- --------- ---- --------- ----
16 453,684 16.7 435,893 16.0
08/07/07 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 5 100,912 10.0 7,920 0.8 1,011,130
NON U.S. 9 267,213 26.4 170,674 16.9
---- --------- ---- --------- ----
14 368,125 36.4 178,594 17.7
08/07/07 CBT 2-YEAR U.S. TREASURY NOTES U.S. 4 27,735 2.6 14,589 1.4 1,059,028
NON U.S. 39 76,256 7.2 109,683 10.4
---- --------- ---- --------- ----
43 103,991 9.8 124,272 11.7
08/07/07 CBT 10-YEAR U.S. TREASURY NOTES U.S. 8 31,697 1.0 30,805 1.0 3,058,921
NON U.S. 55 245,072 8.0 152,966 5.0
---- --------- ---- --------- ----
63 276,769 9.0 183,771 6.0
08/07/07 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 58,945 3.5 19,455 1.1 1,705,474
NON U.S. 37 82,698 4.8 113,511 6.7
---- --------- ---- --------- ----
41 141,643 8.3 132,966 7.8
08/07/07 CBT 30-DAY FEDERAL FUNDS U.S. 4 38,384 7.5 46,801 9.1 513,743
NON U.S. 24 108,997 21.2 63,292 12.3
---- --------- ---- --------- ----
28 147,381 28.7 110,093 21.4
08/07/07 CME LEAN HOGS U.S. 1 3,583 2.0 0 0.0 174,848
NON U.S. 5 13,072 7.5 175 0.1
---- --------- ---- --------- ----
6 16,655 9.5 175 0.1
08/07/07 CME LIVE CATTLE U.S. 2 7,878 3.3 2,239 0.9 241,527
NON U.S. 6 17,400 7.2 86 0.0
---- --------- ---- --------- ----
8 25,278 10.5 2,325 1.0
08/07/07 CME FEEDER CATTLE U.S. 2 254 0.8 62 0.2 30,165
NON U.S. 4 688 2.3 0 0.0
---- --------- ---- --------- ----
6 942 3.1 62 0.2
08/07/07 NYME PJM ELECTRICITY MONTHLY U.S. 2 2,540 6.6 4,196 10.9 38,403
NON U.S. 3 678 1.8 1,292 3.4
---- --------- ---- --------- ----
5 3,218 8.4 5,488 14.3
08/07/07 NYME ISO NEW ENGLAND LMP SWAP U.S. 2 1,572 8.1 2,789 14.4 19,381
NON U.S. 4 537 2.8 1,374 7.1
---- --------- ---- --------- ----
6 2,109 10.9 4,163 21.5
08/07/07 NYME CRUDE OIL, LIGHT SWEET U.S. 5 26,901 1.8 53,375 3.5 1,504,817
NON U.S. 18 123,536 8.2 105,525 7.0
---- --------- ---- --------- ----
23 150,437 10.0 158,900 10.6
08/07/07 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 5 6,169 6.6 8,468 9.0 93,803
NON U.S. 9 11,262 12.0 25,184 26.8
---- --------- ---- --------- ----
14 17,431 18.6 33,652 35.9
08/07/07 NYME WTI CRUDE OIL FINANCIAL U.S. 3 4,690 5.3 1,913 2.2 88,020
NON U.S. 11 17,848 20.3 11,802 13.4
---- --------- ---- --------- ----
14 22,538 25.6 13,715 15.6
08/07/07 NYME WTI-BRENT CALENDAR SWAP NON U.S. 6 4,354 24.0 5,013 27.6 18,176
08/07/07 NYME BRENT (ICE) CALENDAR SWAP U.S. 1 872 4.5 0 0.0 19,271
NON U.S. 5 2,432 12.6 1,908 9.9
---- --------- ---- --------- ----
6 3,304 17.1 1,908 9.9
08/07/07 NYBT COCOA U.S. 1 2,447 1.7 0 0.0 143,311
NON U.S. 8 3,452 2.4 5,996 4.2
---- --------- ---- --------- ----
9 5,899 4.1 5,996 4.2
08/07/07 NYME PALLADIUM U.S. 2 0 0.0 3,352 17.7 18,920
NON U.S. 10 790 4.2 2,359 12.5
---- --------- ---- --------- ----
12 790 4.2 5,711 30.2
08/07/07 NYME PLATINUM U.S. 3 170 1.2 298 2.0 14,573
NON U.S. 7 1,217 8.4 566 3.9
---- --------- ---- --------- ----
10 1,387 9.5 864 5.9
08/07/07 NYBT SUGAR NO. 11 U.S. 2 7,515 1.1 1,837 0.3 673,537
NON U.S. 14 58,379 8.7 30,525 4.5
---- --------- ---- --------- ----
16 65,894 9.8 32,362 4.8
08/07/07 NYBT COFFEE C U.S. 1 1,445 0.8 0 0.0 171,918
NON U.S. 12 9,773 5.7 6,328 3.7
---- --------- ---- --------- ----
13 11,218 6.5 6,328 3.7
08/07/07 CMX SILVER U.S. 4 3,222 2.6 3,652 3.0 122,787
NON U.S. 12 6,293 5.1 3,673 3.0
---- --------- ---- --------- ----
16 9,515 7.7 7,325 6.0
08/07/07 CMX COPPER-GRADE #1 U.S. 1 1,966 2.3 0 0.0 84,651
NON U.S. 11 6,643 7.8 1,473 1.7
---- --------- ---- --------- ----
12 8,609 10.2 1,473 1.7
08/07/07 CBT GOLD, 100 TROY OZ U.S. 2 298 1.7 461 2.6 17,817
NON U.S. 3 201 1.1 1,508 8.5
---- --------- ---- --------- ----
5 499 2.8 1,969 11.1
08/07/07 CMX GOLD U.S. 5 324 0.1 31,935 9.0 352,908
NON U.S. 17 15,144 4.3 48,215 13.7
---- --------- ---- --------- ----
22 15,468 4.4 80,150 22.7
08/07/07 CME CANADIAN DOLLAR U.S. 4 2,967 2.2 1,522 1.1 135,946
NON U.S. 8 12,773 9.4 23,926 17.6
---- --------- ---- --------- ----
12 15,740 11.6 25,448 18.7
08/07/07 CME SWISS FRANC U.S. 3 93 0.1 8,378 6.9 121,823
NON U.S. 5 25,091 20.6 16,075 13.2
---- --------- ---- --------- ----
8 25,184 20.7 24,453 20.1
08/07/07 CME MEXICAN PESO U.S. 3 7,579 8.0 1,679 1.8 94,580
NON U.S. 7 21,012 22.2 39,511 41.8
---- --------- ---- --------- ----
10 28,591 30.2 41,190 43.6
08/07/07 CME BRITISH POUND STERLING U.S. 4 1,940 1.5 4,979 4.0 125,762
NON U.S. 7 12,040 9.6 13,721 10.9
---- --------- ---- --------- ----
11 13,980 11.1 18,700 14.9
08/07/07 CME JAPANESE YEN U.S. 5 883 0.3 35,791 13.6 263,905
NON U.S. 9 13,466 5.1 36,057 13.7
---- --------- ---- --------- ----
14 14,349 5.4 71,848 27.2
08/07/07 CME EURO FX U.S. 5 2,908 1.3 13,395 5.9 227,532
NON U.S. 20 31,948 14.0 20,989 9.2
---- --------- ---- --------- ----
25 34,856 15.3 34,384 15.1
08/07/07 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 2 2,549 1.4 970 0.5 186,045
NON U.S. 10 7,096 3.8 9,868 5.3
---- --------- ---- --------- ----
12 9,645 5.2 10,838 5.8
08/07/07 CME NEW ZEALAND DOLLAR U.S. 2 200 0.6 309 0.9 32,616
NON U.S. 5 97 0.3 8,753 26.8
---- --------- ---- --------- ----
7 297 0.9 9,062 27.8
08/07/07 E VIX FUTURES U.S. 1 787 1.0 235 0.3 81,959
NON U.S. 7 1,941 2.4 184 0.2
---- --------- ---- --------- ----
8 2,728 3.3 419 0.5
08/07/07 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 2 2,776 7.4 10 0.0 37,757
NON U.S. 6 2,070 5.5 989 2.6
---- --------- ---- --------- ----
8 4,846 12.8 999 2.6
08/07/07 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 3 1,762 1.7 0 0.0 103,729
NON U.S. 5 933 0.9 927 0.9
---- --------- ---- --------- ----
8 2,695 2.6 927 0.9
08/07/07 CME 3-MONTH EURODOLLARS U.S. 12 499,027 4.2 1,343,217 11.4 11,750,632
NON U.S. 66 1,493,999 12.7 1,690,513 14.4
---- --------- ---- --------- ----
78 1,993,026 17.0 3,033,730 25.8
08/07/07 CME S&P 500 STOCK INDEX U.S. 5 7,984 1.3 1,477 0.2 623,308
NON U.S. 22 6,710 1.1 81,609 13.1
---- --------- ---- --------- ----
27 14,694 2.4 83,086 13.3
08/07/07 CME E-MINI S&P 500 STOCK INDEX U.S. 10 22,920 1.1 27,322 1.3 2,111,980
NON U.S. 39 71,615 3.4 208,647 9.9
---- --------- ---- --------- ----
49 94,535 4.5 235,969 11.2
08/07/07 CME NASDAQ-100 STOCK INDEX U.S. 6 2,970 4.4 5,867 8.7 67,311
NON U.S. 10 5,647 8.4 347 0.5
---- --------- ---- --------- ----
16 8,617 12.8 6,214 9.2
08/07/07 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 6 10,035 2.2 8,413 1.9 450,183
NON U.S. 27 7,301 1.6 23,648 5.3
---- --------- ---- --------- ----
33 17,336 3.9 32,061 7.1
08/07/07 CME AUSTRALIAN DOLLAR U.S. 2 410 0.4 135 0.1 110,617
NON U.S. 4 17,820 16.1 2,351 2.1
---- --------- ---- --------- ----
6 18,230 16.5 2,486 2.2
08/07/07 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 3 571 1.0 2,302 4.1 56,357
NON U.S. 10 4,231 7.5 1,155 2.0
---- --------- ---- --------- ----
13 4,802 8.5 3,457 6.1
08/07/07 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 8 202 0.0 17,287 2.5 686,119
NON U.S. 18 1,203 0.2 27,922 4.1
---- --------- ---- --------- ----
26 1,405 0.2 45,209 6.6
08/07/07 CME NIKKEI STOCK AVERAGE U.S. 2 800 1.5 6,090 11.3 53,901
NON U.S. 20 5,874 10.9 9,091 16.9
---- --------- ---- --------- ----
22 6,674 12.4 15,181 28.2
08/07/07 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 3 7,877 16.1 0 0.0 49,025
NON U.S. 14 3,388 6.9 11,699 23.9
---- --------- ---- --------- ----
17 11,265 23.0 11,699 23.9
08/07/07 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 2 5,154 7.2 15,232 21.3 71,483
NON U.S. 4 1,735 2.4 3,150 4.4
---- --------- ---- --------- ----
6 6,889 9.6 18,382 25.7
08/07/07 CBT INTEREST RATE SWAPS 5YR - 3MO U.S. 3 18,718 60.0 2,040 6.5 31,181
NON U.S. 3 1,720 5.5 0 0.0
---- --------- ---- --------- ----
6 20,438 65.5 2,040 6.5
08/07/07 NYBT EURO FX/CZECH KORUNA XRATE U.S. 1 0 0.0 246 6.5 3,805
NON U.S. 4 0 0.0 2,529 66.5
---- --------- ---- --------- ----
5 0 0.0 2,775 72.9
08/07/07 NYBT BRITISH POUND/JPN YEN XRATE U.S. 2 0 0.0 2,742 51.4 5,330
NON U.S. 3 1,103 20.7 269 5.0
---- --------- ---- --------- ----
5 1,103 20.7 3,011 56.5
08/07/07 NYBT EURO FX/JAPANESE YEN XRATE U.S. 3 1,659 8.8 0 0.0 18,877
NON U.S. 7 2,210 11.7 4,014 21.3
---- --------- ---- --------- ----
10 3,869 20.5 4,014 21.3
08/07/07 CME E-MINI S&P 400 STOCK INDEX U.S. 3 529 0.6 590 0.7 86,027
NON U.S. 5 122 0.1 3,373 3.9
---- --------- ---- --------- ----
8 651 0.8 3,963 4.6
08/07/07 CME EURO FX/JAPANESE YEN XRATE U.S. 1 358 4.2 0 0.0 8,447
NON U.S. 5 1,419 16.8 1,585 18.8
---- --------- ---- --------- ----
6 1,777 21.0 1,585 18.8
08/07/07 CME 3-MO. EUROYEN TIBOR U.S. 4 1,122 2.5 2,909 6.4 45,238
NON U.S. 18 14,006 31.0 12,138 26.8
---- --------- ---- --------- ----
22 15,128 33.4 15,047 33.3
08/07/07 NYBT EURO FX/BRITISH POUND XRATE U.S. 1 0 0.0 730 9.1 8,065
NON U.S. 4 3,719 46.1 0 0.0
---- --------- ---- --------- ----
5 3,719 46.1 730 9.1
08/07/07 NYBT EURO FX/NORWEGIAN KRONE XRATE U.S. 1 0 0.0 59 1.0 5,734
NON U.S. 4 2,070 36.1 1,416 24.7
---- --------- ---- --------- ----
5 2,070 36.1 1,475 25.7
08/07/07 NYME SING JET KERO GASOIL SPR SWAP U.S. 2 50 1.4 850 23.4 3,625
NON U.S. 3 100 2.8 550 15.2
---- --------- ---- --------- ----
5 150 4.1 1,400 38.6
08/07/07 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 2 445 3.9 250 2.2 11,463
NON U.S. 5 1,589 13.9 1,375 12.0
---- --------- ---- --------- ----
7 2,034 17.7 1,625 14.2
08/07/07 NYME RBOB CRACK SPREAD SWAP U.S. 2 284 2.2 168 1.3 12,848
NON U.S. 5 1,215 9.5 2,240 17.4
---- --------- ---- --------- ----
7 1,499 11.7 2,408 18.7