BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
02/02/10 CBT WHEAT U.S. 18,827 4.4 668 0.2 429,310
NON U.S. 18,026 4.2 6,370 1.5
---- --------- ---- --------- ----
14 36,853 8.6 7,038 1.6
02/02/10 CBT CORN U.S. 24,789 2.1 12,173 1.1 1,155,639
NON U.S. 21,372 1.8 2,459 0.2
---- --------- ---- --------- ----
11 46,161 4.0 14,632 1.3
02/02/10 CBT SOYBEANS U.S. 9,262 2.0 1,048 0.2 472,953
NON U.S. 7,332 1.6 819 0.2
---- --------- ---- --------- ----
9 16,594 3.5 1,867 0.4
02/02/10 CBT U.S. TREASURY BONDS U.S. 6 4,705 0.7 23,701 3.7 648,854
NON U.S. 5 3,211 0.5 10,469 1.6
---- --------- ---- --------- ----
11 7,916 1.2 34,170 5.3
02/02/10 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 16,412 5.3 176 0.1 312,191
NON U.S. 2,019 0.6 272 0.1
---- --------- ---- --------- ----
6 18,431 5.9 448 0.1
02/02/10 NYME NATURAL GAS U.S. 29,211 3.7 17,044 2.2 782,673
NON U.S. 16,852 2.2 958 0.1
---- --------- ---- --------- ----
12 46,063 5.9 18,002 2.3
02/02/10 ICUS COTTON NO. 2 U.S. 3,193 1.9 1,387 0.8 171,616
NON U.S. 6,099 3.6 5,538 3.2
---- --------- ---- --------- ----
9 9,292 5.4 6,925 4.0
02/02/10 NYME NW PIPE ROCKIES BASIS SWAP U.S. 6,550 4.7 10,882 7.9 138,016
NON U.S. 2,170 1.6 14,361 10.4
---- --------- ---- --------- ----
5 8,720 6.3 25,243 18.3
02/02/10 NYME PANHANDLE BASIS SWAP U.S. 26,953 11.7 9,623 4.2 231,162
NON U.S. 0 0.0 8,637 3.7
---- --------- ---- --------- ----
5 26,953 11.7 18,260 7.9
02/02/10 NYME HENRY HUB SWAP U.S. 4 77,159 2.7 294,292 10.1 2,910,060
NON U.S. 6 13,116 0.5 140,349 4.8
---- --------- ---- --------- ----
10 90,275 3.1 434,641 14.9
02/02/10 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 148,033 15.7 6,867 0.7 944,490
NON U.S. 67,122 7.1 2,641 0.3
---- --------- ---- --------- ----
9 215,155 22.8 9,508 1.0
02/02/10 CBT 2-YEAR U.S. TREASURY NOTES U.S. 7 32,672 3.4 35,778 3.7 974,817
NON U.S. 20 3,806 0.4 64,796 6.6
---- --------- ---- --------- ----
27 36,478 3.7 100,574 10.3
02/02/10 CBT 10-YEAR U.S. TREASURY NOTES U.S. 11 25,585 1.8 16,715 1.2 1,404,635
NON U.S. 20 15,114 1.1 30,963 2.2
---- --------- ---- --------- ----
31 40,699 2.9 47,678 3.4
02/02/10 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 4,291 0.5 49,348 5.5 900,548
NON U.S. 10 8,333 0.9 17,617 2.0
---- --------- ---- --------- ----
15 12,624 1.4 66,965 7.4
02/02/10 CBT 30-DAY FEDERAL FUNDS U.S. 9 48,354 9.0 60,413 11.3 535,585
NON U.S. 14 38,246 7.1 23,459 4.4
---- --------- ---- --------- ----
23 86,600 16.2 83,872 15.7
02/02/10 CME LIVE CATTLE U.S. 7,088 2.5 1,299 0.5 282,894
NON U.S. 7,348 2.6 158 0.1
---- --------- ---- --------- ----
8 14,436 5.1 1,457 0.5
02/02/10 NYME CRUDE OIL, LIGHT SWEET U.S. 39,404 2.9 85,063 6.3 1,360,697
NON U.S. 34,415 2.5 55,803 4.1
---- --------- ---- --------- ----
24 73,819 5.4 140,866 10.4
02/02/10 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 15,009 7.3 21,972 10.6 206,542
NON U.S. 7 10,542 5.1 8,252 4.0
---- --------- ---- --------- ----
11 25,551 12.4 30,224 14.6
02/02/10 NYME WTI CRUDE OIL FINANCIAL U.S. 20,822 15.4 14,061 10.4 134,945
NON U.S. 1,632 1.2 300 0.2
---- --------- ---- --------- ----
8 22,454 16.6 14,361 10.6
02/02/10 NYME WTI-BRENT CALENDAR SWAP U.S. 3,911 12.2 2,851 8.9 32,046
NON U.S. 660 2.1 230 0.7
---- --------- ---- --------- ----
5 4,571 14.3 3,081 9.6
02/02/10 NYME BRENT (ICE) CALENDAR SWAP U.S. 9,073 9.6 14,178 15.0 94,212
NON U.S. 3,708 3.9 2,067 2.2
---- --------- ---- --------- ----
7 12,781 13.6 16,245 17.2
02/02/10 NYME PALLADIUM U.S. 0 0.0 4,011 17.4 23,024
NON U.S. 506 2.2 2,582 11.2
---- --------- ---- --------- ----
10 506 2.2 6,593 28.6
02/02/10 NYME PLATINUM U.S. 25 0.1 2,344 6.7 35,072
NON U.S. 700 2.0 3,658 10.4
---- --------- ---- --------- ----
12 725 2.1 6,002 17.1
02/02/10 ICUS SUGAR NO. 11 U.S. 18,652 2.1 121,720 13.9 877,992
NON U.S. 10,032 1.1 56,887 6.5
---- --------- ---- --------- ----
12 28,684 3.3 178,607 20.3
02/02/10 ICUS COFFEE C U.S. 4,981 3.9 278 0.2 128,899
NON U.S. 2,962 2.3 7,238 5.6
---- --------- ---- --------- ----
9 7,943 6.2 7,516 5.8
02/02/10 CMX SILVER U.S. 374 0.3 37,398 30.6 122,261
NON U.S. 2,573 2.1 1,797 1.5
---- --------- ---- --------- ----
14 2,947 2.4 39,195 32.1
02/02/10 CMX COPPER-GRADE #1 U.S. 5,498 4.2 751 0.6 132,113
NON U.S. 2,008 1.5 11,115 8.4
---- --------- ---- --------- ----
10 7,506 5.7 11,866 9.0
02/02/10 CMX GOLD U.S. 4 2,581 0.5 100,076 20.8 480,860
NON U.S. 13 10,686 2.2 30,222 6.3
---- --------- ---- --------- ----
17 13,267 2.8 130,298 27.1
02/02/10 CME CANADIAN DOLLAR U.S. 5 1 0.0 13,241 16.0 82,692
NON U.S. 4 1,425 1.7 1,155 1.4
---- --------- ---- --------- ----
9 1,426 1.7 14,396 17.4
02/02/10 CME MEXICAN PESO U.S. 5 466 0.5 39,230 42.1 93,172
NON U.S. 4 2,701 2.9 18,468 19.8
---- --------- ---- --------- ----
9 3,167 3.4 57,698 61.9
02/02/10 CME BRITISH POUND STERLING U.S. 12,674 13.2 0 0.0 95,712
NON U.S. 0 0.0 558 0.6
---- --------- ---- --------- ----
7 12,674 13.2 558 0.6
02/02/10 CME JAPANESE YEN U.S. 121 0.1 32,109 27.6 116,129
NON U.S. 4,735 4.1 900 0.8
---- --------- ---- --------- ----
6 4,856 4.2 33,009 28.4
02/02/10 CME EURO FX U.S. 4 8,224 4.4 10,451 5.6 186,878
NON U.S. 13 8,207 4.4 3,152 1.7
---- --------- ---- --------- ----
17 16,431 8.8 13,603 7.3
02/02/10 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 6,266 2.4 2,081 0.8 258,118
NON U.S. 2,238 0.9 158 0.1
---- --------- ---- --------- ----
7 8,504 3.3 2,239 0.9
02/02/10 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 4 2,533 4.1 1,793 2.9 62,306
NON U.S. 5 1,817 2.9 3,852 6.2
---- --------- ---- --------- ----
9 4,350 7.0 5,645 9.1
02/02/10 CME 3-MONTH EURODOLLARS U.S. 15 1,130,767 15.0 1,376,506 18.3 7,542,362
NON U.S. 37 269,228 3.6 1,061,739 14.1
---- --------- ---- --------- ----
52 1,399,995 18.6 2,438,245 32.3
02/02/10 CME S&P 500 STOCK INDEX U.S. 4 5,290 1.5 0 0.0 355,994
NON U.S. 10 2,005 0.6 10,867 3.1
---- --------- ---- --------- ----
14 7,295 2.0 10,867 3.1
02/02/10 CME E-MINI S&P 500 STOCK INDEX U.S. 9 22,908 0.8 3,015 0.1 2,710,912
NON U.S. 26 21,757 0.8 62,900 2.3
---- --------- ---- --------- ----
35 44,665 1.6 65,915 2.4
02/02/10 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 6 3,282 0.8 1,863 0.5 410,873
NON U.S. 22 4,564 1.1 4,543 1.1
---- --------- ---- --------- ----
28 7,846 1.9 6,406 1.6
02/02/10 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 6,830 1.9 5,925 1.6 364,823
NON U.S. 4 1,755 0.5 628 0.2
---- --------- ---- --------- ----
8 8,585 2.4 6,553 1.8
02/02/10 CME NIKKEI STOCK AVERAGE U.S. 0 0.0 1,415 3.4 42,095
NON U.S. 886 2.1 1,313 3.1
---- --------- ---- --------- ----
6 886 2.1 2,728 6.5
02/02/10 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 801 1.7 0 0.0 46,480
NON U.S. 1,502 3.2 6,046 13.0
---- --------- ---- --------- ----
6 2,303 5.0 6,046 13.0
02/02/10 CME E-MINI MSCI EMERGING MARKETS U.S. 0 0.0 0 0.0 19,851
NON U.S. 579 2.9 602 3.0
---- --------- ---- --------- ----
6 579 2.9 602 3.0
02/02/10 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 2,732 8.3 1,249 3.8 33,017
NON U.S. 750 2.3 0 0.0
---- --------- ---- --------- ----
5 3,482 10.5 1,249 3.8
02/02/10 NYME GASOIL CRACK SPR SWAP U.S. 2,649 5.6 990 2.1 47,272
NON U.S. 1,316 2.8 1,823 3.9
---- --------- ---- --------- ----
5 3,965 8.4 2,813 6.0