BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
12/01/09 CBT WHEAT U.S. 16,030 4.6 107 0.0 350,975
NON U.S. 16,571 4.7 5,972 1.7
---- --------- ---- --------- ----
13 32,601 9.3 6,079 1.7
12/01/09 CBT CORN U.S. 22,594 2.3 2,305 0.2 976,201
NON U.S. 19,046 2.0 357 0.0
---- --------- ---- --------- ----
8 41,640 4.3 2,662 0.3
12/01/09 CBT SOYBEANS U.S. 11,347 2.4 1,243 0.3 478,986
NON U.S. 5,921 1.2 193 0.0
---- --------- ---- --------- ----
8 17,268 3.6 1,436 0.3
12/01/09 CBT U.S. TREASURY BONDS U.S. 5 6,400 0.8 21,259 2.6 811,951
NON U.S. 6 3,147 0.4 11,708 1.4
---- --------- ---- --------- ----
11 9,547 1.2 32,967 4.1
12/01/09 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 10,996 3.5 327 0.1 317,500
NON U.S. 1,818 0.6 1,014 0.3
---- --------- ---- --------- ----
5 12,814 4.0 1,341 0.4
12/01/09 NYME NATURAL GAS U.S. 27,927 3.9 16,402 2.3 723,961
NON U.S. 18,708 2.6 950 0.1
---- --------- ---- --------- ----
10 46,635 6.4 17,352 2.4
12/01/09 ICUS COTTON NO. 2 U.S. 5,520 3.1 427 0.2 175,964
NON U.S. 5,919 3.4 4,810 2.7
---- --------- ---- --------- ----
8 11,439 6.5 5,237 3.0
12/01/09 NYME NW PIPE ROCKIES BASIS SWAP U.S. 8,581 6.0 11,839 8.3 143,187
NON U.S. 2,468 1.7 15,593 10.9
---- --------- ---- --------- ----
5 11,049 7.7 27,432 19.2
12/01/09 NYME PANHANDLE BASIS SWAP U.S. 16,116 6.8 13,360 5.7 235,844
NON U.S. 544 0.2 9,427 4.0
---- --------- ---- --------- ----
5 16,660 7.1 22,787 9.7
12/01/09 NYME HENRY HUB SWAP U.S. 4 76,235 2.8 267,233 9.7 2,758,769
NON U.S. 5 11,212 0.4 124,214 4.5
---- --------- ---- --------- ----
9 87,447 3.2 391,447 14.2
12/01/09 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 155,198 17.2 5,249 0.6 902,950
NON U.S. 50,395 5.6 7,202 0.8
---- --------- ---- --------- ----
8 205,593 22.8 12,451 1.4
12/01/09 CBT 2-YEAR U.S. TREASURY NOTES U.S. 8 14,503 1.5 21,441 2.2 989,075
NON U.S. 19 3,220 0.3 64,521 6.5
---- --------- ---- --------- ----
27 17,723 1.8 85,962 8.7
12/01/09 CBT 10-YEAR U.S. TREASURY NOTES U.S. 9 16,093 1.2 16,552 1.2 1,358,551
NON U.S. 15 5,976 0.4 44,115 3.2
---- --------- ---- --------- ----
24 22,069 1.6 60,667 4.5
12/01/09 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 6,265 0.7 47,660 5.3 905,184
NON U.S. 9 6,492 0.7 18,866 2.1
---- --------- ---- --------- ----
14 12,757 1.4 66,526 7.3
12/01/09 CBT 30-DAY FEDERAL FUNDS U.S. 8 78,112 14.0 79,357 14.3 556,654
NON U.S. 13 31,393 5.6 23,755 4.3
---- --------- ---- --------- ----
21 109,505 19.7 103,112 18.5
12/01/09 CME LEAN HOGS U.S. 4,463 2.5 0 0.0 175,852
NON U.S. 5,493 3.1 0 0.0
---- --------- ---- --------- ----
5 9,956 5.7 0 0.0
12/01/09 CME LIVE CATTLE U.S. 6,281 2.4 1,394 0.5 266,788
NON U.S. 7,314 2.7 72 0.0
---- --------- ---- --------- ----
8 13,595 5.1 1,466 0.5
12/01/09 NYME CRUDE OIL, LIGHT SWEET U.S. 36,605 3.0 66,753 5.5 1,209,796
NON U.S. 30,309 2.5 54,467 4.5
---- --------- ---- --------- ----
25 66,914 5.5 121,220 10.0
12/01/09 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 10,810 5.3 20,742 10.2 204,160
NON U.S. 8 10,036 4.9 8,767 4.3
---- --------- ---- --------- ----
12 20,846 10.2 29,509 14.5
12/01/09 NYME WTI CRUDE OIL FINANCIAL U.S. 18,283 13.8 13,409 10.1 132,602
NON U.S. 1,539 1.2 300 0.2
---- --------- ---- --------- ----
8 19,822 14.9 13,709 10.3
12/01/09 NYME WTI-BRENT CALENDAR SWAP U.S. 4,004 10.6 3,050 8.1 37,835
NON U.S. 705 1.9 418 1.1
---- --------- ---- --------- ----
6 4,709 12.4 3,468 9.2
12/01/09 NYME BRENT (ICE) CALENDAR SWAP U.S. 10,226 10.2 14,887 14.8 100,270
NON U.S. 4,297 4.3 991 1.0
---- --------- ---- --------- ----
5 14,523 14.5 15,878 15.8
12/01/09 ICUS COCOA U.S. 2,130 1.7 42 0.0 126,235
NON U.S. 2,009 1.6 2,079 1.6
---- --------- ---- --------- ----
5 4,139 3.3 2,121 1.7
12/01/09 NYME PALLADIUM U.S. 298 1.3 6,041 26.0 23,271
NON U.S. 747 3.2 2,221 9.5
---- --------- ---- --------- ----
7 1,045 4.5 8,262 35.5
12/01/09 NYME PLATINUM U.S. 25 0.1 2,699 7.5 35,855
NON U.S. 474 1.3 3,528 9.8
---- --------- ---- --------- ----
11 499 1.4 6,227 17.4
12/01/09 ICUS SUGAR NO. 11 U.S. 22,620 2.9 76,387 9.8 780,288
NON U.S. 9,693 1.2 51,715 6.6
---- --------- ---- --------- ----
11 32,313 4.1 128,102 16.4
12/01/09 ICUS COFFEE C U.S. 5,329 4.8 0 0.0 112,189
NON U.S. 2,875 2.6 7,646 6.8
---- --------- ---- --------- ----
9 8,204 7.3 7,646 6.8
12/01/09 CMX SILVER U.S. 1,776 1.3 42,733 32.4 131,899
NON U.S. 1,977 1.5 2,022 1.5
---- --------- ---- --------- ----
12 3,753 2.8 44,755 33.9
12/01/09 CMX COPPER-GRADE #1 U.S. 7,446 5.0 242 0.2 148,809
NON U.S. 2,097 1.4 10,366 7.0
---- --------- ---- --------- ----
8 9,543 6.4 10,608 7.1
12/01/09 CMX GOLD U.S. 4 2,206 0.4 133,596 25.6 521,433
NON U.S. 15 7,466 1.4 28,921 5.5
---- --------- ---- --------- ----
19 9,672 1.9 162,517 31.2
12/01/09 CME CANADIAN DOLLAR U.S. 148 0.2 27,846 28.6 97,431
NON U.S. 692 0.7 1,746 1.8
---- --------- ---- --------- ----
7 840 0.9 29,592 30.4
12/01/09 CME MEXICAN PESO U.S. 196 0.2 20,459 16.2 126,085
NON U.S. 3,415 2.7 13,276 10.5
---- --------- ---- --------- ----
9 3,611 2.9 33,735 26.8
12/01/09 CME BRITISH POUND STERLING U.S. 15,526 17.3 176 0.2 89,615
NON U.S. 232 0.3 162 0.2
---- --------- ---- --------- ----
5 15,758 17.6 338 0.4
12/01/09 CME JAPANESE YEN U.S. 186 0.1 36,611 25.4 144,123
NON U.S. 5,871 4.1 987 0.7
---- --------- ---- --------- ----
6 6,057 4.2 37,598 26.1
12/01/09 CME EURO FX U.S. 5 1,850 1.1 37,539 21.4 175,155
NON U.S. 13 7,739 4.4 3,056 1.7
---- --------- ---- --------- ----
18 9,589 5.5 40,595 23.2
12/01/09 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 4,689 1.8 1,174 0.5 255,306
NON U.S. 2,323 0.9 556 0.2
---- --------- ---- --------- ----
8 7,012 2.7 1,730 0.7
12/01/09 CME NEW ZEALAND DOLLAR U.S. 1,839 8.1 2,384 10.5 22,778
NON U.S. 0 0.0 0 0.0
---- --------- ---- --------- ----
5 1,839 8.1 2,384 10.5
12/01/09 E VIX FUTURES U.S. 2,665 4.3 3,791 6.1 61,905
NON U.S. 1,331 2.2 0 0.0
---- --------- ---- --------- ----
5 3,996 6.5 3,791 6.1
12/01/09 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 1,074 6.9 0 0.0 15,597
NON U.S. 125 0.8 784 5.0
---- --------- ---- --------- ----
5 1,199 7.7 784 5.0
12/01/09 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 1,430 2.1 1,352 2.0 68,810
NON U.S. 1,411 2.1 3,725 5.4
---- --------- ---- --------- ----
9 2,841 4.1 5,077 7.4
12/01/09 CME 3-MONTH EURODOLLARS U.S. 13 1,022,295 13.6 1,268,685 16.8 7,540,131
NON U.S. 35 341,817 4.5 925,952 12.3
---- --------- ---- --------- ----
48 1,364,112 18.1 2,194,637 29.1
12/01/09 CME S&P 500 STOCK INDEX U.S. 4 5,429 1.3 0 0.0 409,566
NON U.S. 8 990 0.2 10,418 2.5
---- --------- ---- --------- ----
12 6,419 1.6 10,418 2.5
12/01/09 CME E-MINI S&P 500 STOCK INDEX U.S. 8 25,866 1.0 1,493 0.1 2,657,480
NON U.S. 33 26,578 1.0 74,019 2.8
---- --------- ---- --------- ----
41 52,444 2.0 75,512 2.8
12/01/09 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 4 1,845 0.5 3,049 0.8 364,089
NON U.S. 18 4,278 1.2 2,761 0.8
---- --------- ---- --------- ----
22 6,123 1.7 5,810 1.6
12/01/09 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 5 2,226 0.5 16,330 4.0 408,396
NON U.S. 5 1,653 0.4 538 0.1
---- --------- ---- --------- ----
10 3,879 0.9 16,868 4.1
12/01/09 CME NIKKEI STOCK AVERAGE U.S. 747 2.1 0 0.0 35,272
NON U.S. 2,668 7.6 675 1.9
---- --------- ---- --------- ----
8 3,415 9.7 675 1.9
12/01/09 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 324 0.5 1,123 1.9 59,315
NON U.S. 951 1.6 10,758 18.1
---- --------- ---- --------- ----
12 1,275 2.1 11,881 20.0
12/01/09 CME E-MINI MSCI EMERGING MARKETS U.S. 0 0.0 0 0.0 19,500
NON U.S. 761 3.9 449 2.3
---- --------- ---- --------- ----
7 761 3.9 449 2.3
12/01/09 CME 3-MO. EUROYEN TIBOR U.S. 238 4.2 0 0.0 5,655
NON U.S. 2,653 46.9 1,609 28.5
---- --------- ---- --------- ----
5 2,891 51.1 1,609 28.5
12/01/09 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 2,840 7.1 1,811 4.6 39,768
NON U.S. 885 2.2 0 0.0
---- --------- ---- --------- ----
6 3,725 9.4 1,811 4.6
12/01/09 NYME GASOIL CRACK SPR SWAP U.S. 2,868 5.6 1,155 2.3 50,966
NON U.S. 1,592 3.1 2,038 4.0
---- --------- ---- --------- ----
5 4,460 8.8 3,193 6.3