BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
01/08/08 CBT WHEAT U.S. 1 9,016 2.0 30 0.0 441,651
NON U.S. 15 45,019 10.2 4,644 1.1
---- --------- ---- --------- ----
16 54,035 12.2 4,674 1.1
01/08/08 KCBT WHEAT U.S. 1 2,339 1.9 0 0.0 122,274
NON U.S. 4 4,068 3.3 0 0.0
---- --------- ---- --------- ----
5 6,407 5.2 0 0.0
01/08/08 CBT CORN U.S. 2 16,180 1.2 9,272 0.7 1,341,299
NON U.S. 9 90,308 6.7 7,757 0.6
---- --------- ---- --------- ----
11 106,488 7.9 17,029 1.3
01/08/08 CBT SOYBEANS U.S. 2 7,657 1.4 5,522 1.0 562,878
NON U.S. 10 32,251 5.7 2,080 0.4
---- --------- ---- --------- ----
12 39,908 7.1 7,602 1.4
01/08/08 CBT SOYBEAN OIL U.S. 1 2,718 0.9 0 0.0 294,151
NON U.S. 5 16,034 5.5 4,092 1.4
---- --------- ---- --------- ----
6 18,752 6.4 4,092 1.4
01/08/08 CBT U.S. TREASURY BONDS U.S. 3 12,343 1.2 12,623 1.3 1,000,171
NON U.S. 18 24,253 2.4 27,977 2.8
---- --------- ---- --------- ----
21 36,596 3.7 40,600 4.1
01/08/08 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 3 4,082 2.0 1,127 0.5 207,696
NON U.S. 5 14,125 6.8 8,461 4.1
---- --------- ---- --------- ----
8 18,207 8.8 9,588 4.6
01/08/08 NYME SING GASOIL SWAP U.S. 2 0 0.0 1,275 22.0 5,800
NON U.S. 4 0 0.0 700 12.1
---- --------- ---- --------- ----
6 0 0.0 1,975 34.1
01/08/08 NYME NATURAL GAS U.S. 4 51,628 5.9 38,054 4.4 868,133
NON U.S. 10 79,049 9.1 42,523 4.9
---- --------- ---- --------- ----
14 130,677 15.1 80,577 9.3
01/08/08 NYME MICHCON BASIS SWAP U.S. 3 10,234 10.3 503 0.5 99,703
NON U.S. 3 6,287 6.3 4,050 4.1
---- --------- ---- --------- ----
6 16,521 16.6 4,553 4.6
01/08/08 NYME PERMIAN BASIS SWAP U.S. 4 10,613 12.9 354 0.4 82,384
NON U.S. 2 0 0.0 2,128 2.6
---- --------- ---- --------- ----
6 10,613 12.9 2,482 3.0
01/08/08 NYME TCO BASIS SWAP U.S. 3 4,287 4.1 4,303 4.1 104,642
NON U.S. 3 8,800 8.4 7,724 7.4
---- --------- ---- --------- ----
6 13,087 12.5 12,027 11.5
01/08/08 NYME PG&E CITYGATE BASIS SWAP U.S. 3 0 0.0 2,753 5.1 54,052
NON U.S. 3 334 0.6 420 0.8
---- --------- ---- --------- ----
6 334 0.6 3,173 5.9
01/08/08 NYME NGPL TEXOK BASIS SWAP U.S. 3 9,375 11.5 3,947 4.9 81,225
NON U.S. 3 1,220 1.5 2,482 3.1
---- --------- ---- --------- ----
6 10,595 13.0 6,429 7.9
01/08/08 NYME ANR OK BASIS SWAP U.S. 2 16 0.0 2,933 7.8 37,655
NON U.S. 3 1,712 4.5 4,661 12.4
---- --------- ---- --------- ----
5 1,728 4.6 7,594 20.2
01/08/08 NYME SUMAS BASIS SWAP U.S. 3 2,792 15.2 122 0.7 18,415
NON U.S. 3 2,505 13.6 120 0.7
---- --------- ---- --------- ----
6 5,297 28.8 242 1.3
01/08/08 NYME WAHA BASIS SWAP U.S. 4 730 0.6 15,584 13.3 117,196
NON U.S. 1 0 0.0 3,162 2.7
---- --------- ---- --------- ----
5 730 0.6 18,746 16.0
01/08/08 NYME CIG BASIS SWAP U.S. 4 64 0.2 3,647 9.9 36,754
NON U.S. 3 1,056 2.9 7,747 21.1
---- --------- ---- --------- ----
7 1,120 3.0 11,394 31.0
01/08/08 NYME CENTERPOINT BASIS SWAP U.S. 4 976 3.7 3,717 14.2 26,097
NON U.S. 2 1,288 4.9 5,648 21.6
---- --------- ---- --------- ----
6 2,264 8.7 9,365 35.9
01/08/08 CME 1-MONTH LIBOR RATE U.S. 3 1,736 3.7 3,339 7.1 47,028
NON U.S. 10 20,661 43.9 8,545 18.2
---- --------- ---- --------- ----
13 22,397 47.6 11,884 25.3
01/08/08 NYBT COTTON NO. 2 U.S. 1 2,184 0.8 0 0.0 259,197
NON U.S. 9 20,959 8.1 163 0.1
---- --------- ---- --------- ----
10 23,143 8.9 163 0.1
01/08/08 NYME ALBERTA BASIS SWAP U.S. 4 4,927 4.1 2,733 2.3 121,295
NON U.S. 9 15,481 12.8 21,525 17.7
---- --------- ---- --------- ----
13 20,408 16.8 24,258 20.0
01/08/08 NYME HOUSTON SHIP CH BASIS SWAP U.S. 5 3,332 1.4 13,804 5.6 246,363
NON U.S. 4 9,083 3.7 11,733 4.8
---- --------- ---- --------- ----
9 12,415 5.0 25,537 10.4
01/08/08 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 9,621 4.6 23,050 11.0 209,659
NON U.S. 5 18,715 8.9 19,263 9.2
---- --------- ---- --------- ----
10 28,336 13.5 42,313 20.2
01/08/08 NYME PANHANDLE BASIS SWAP U.S. 3 5,770 2.8 25,239 12.2 207,112
NON U.S. 4 6,273 3.0 25,118 12.1
---- --------- ---- --------- ----
7 12,043 5.8 50,357 24.3
01/08/08 NYME SAN JUAN BASIS SWAP U.S. 6 11,487 23.8 5,583 11.5 48,359
NON U.S. 4 3,374 7.0 4,340 9.0
---- --------- ---- --------- ----
10 14,861 30.7 9,923 20.5
01/08/08 NYME SOCAL BASIS SWAP U.S. 4 26,224 12.9 6,690 3.3 203,948
NON U.S. 5 8,535 4.2 16,569 8.1
---- --------- ---- --------- ----
9 34,759 17.0 23,259 11.4
01/08/08 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 1,005 1.2 1,992 2.4 81,998
NON U.S. 3 5,596 6.8 9,247 11.3
---- --------- ---- --------- ----
5 6,601 8.1 11,239 13.7
01/08/08 NYME HENRY HUB GAS SWAP U.S. 6 139,542 5.1 265,716 9.7 2,750,865
NON U.S. 9 209,957 7.6 212,185 7.7
---- --------- ---- --------- ----
15 349,499 12.7 477,901 17.4
01/08/08 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 5 85,014 9.4 5,868 0.6 903,538
NON U.S. 9 167,669 18.6 107,065 11.8
---- --------- ---- --------- ----
14 252,683 28.0 112,933 12.5
01/08/08 CBT 2-YEAR U.S. TREASURY NOTES U.S. 3 33,730 3.3 22,841 2.2 1,036,600
NON U.S. 42 71,834 6.9 83,593 8.1
---- --------- ---- --------- ----
45 105,564 10.2 106,434 10.3
01/08/08 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 46,327 2.0 20,045 0.9 2,290,428
NON U.S. 47 87,432 3.8 224,889 9.8
---- --------- ---- --------- ----
53 133,759 5.8 244,934 10.7
01/08/08 CBT 5-YEAR U.S. TREASURY NOTES U.S. 6 36,420 1.9 41,542 2.2 1,890,947
NON U.S. 37 178,818 9.5 88,489 4.7
---- --------- ---- --------- ----
43 215,238 11.4 130,031 6.9
01/08/08 CBT 30-DAY FEDERAL FUNDS U.S. 3 8,123 2.4 43,517 12.7 343,829
NON U.S. 18 29,566 8.6 53,355 15.5
---- --------- ---- --------- ----
21 37,689 11.0 96,872 28.2
01/08/08 CME LEAN HOGS U.S. 2 3,133 1.5 239 0.1 209,386
NON U.S. 5 15,573 7.4 405 0.2
---- --------- ---- --------- ----
7 18,706 8.9 644 0.3
01/08/08 CME LIVE CATTLE U.S. 3 6,958 2.9 1,668 0.7 243,690
NON U.S. 5 19,640 8.1 375 0.2
---- --------- ---- --------- ----
8 26,598 10.9 2,043 0.8
01/08/08 CME FEEDER CATTLE U.S. 1 233 0.7 0 0.0 34,757
NON U.S. 4 607 1.7 72 0.2
---- --------- ---- --------- ----
5 840 2.4 72 0.2
01/08/08 NYME PJM ELECTRICITY MONTHLY U.S. 2 2,800 8.1 3,531 10.2 34,765
NON U.S. 3 853 2.5 1,410 4.1
---- --------- ---- --------- ----
5 3,653 10.5 4,941 14.2
01/08/08 NYME ISO NEW ENGLAND LMP SWAP U.S. 2 2,466 14.0 2,308 13.1 17,593
NON U.S. 3 140 0.8 1,205 6.8
---- --------- ---- --------- ----
5 2,606 14.8 3,513 20.0
01/08/08 NYME NORTH ILL OFF PK LMP SWAP U.S. 2 1,512 8.1 914 4.9 18,692
NON U.S. 3 3,446 18.4 820 4.4
---- --------- ---- --------- ----
5 4,958 26.5 1,734 9.3
01/08/08 NYME CRUDE OIL, LIGHT SWEET U.S. 4 15,805 1.1 48,861 3.5 1,413,956
NON U.S. 13 125,081 8.8 101,646 7.2
---- --------- ---- --------- ----
17 140,886 10.0 150,507 10.6
01/08/08 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 2 6,467 6.4 2,508 2.5 100,827
NON U.S. 5 7,881 7.8 11,177 11.1
---- --------- ---- --------- ----
7 14,348 14.2 13,685 13.6
01/08/08 NYME WTI CRUDE OIL FINANCIAL U.S. 5 6,644 4.4 3,678 2.4 151,390
NON U.S. 7 21,521 14.2 14,469 9.6
---- --------- ---- --------- ----
12 28,165 18.6 18,147 12.0
01/08/08 NYME BRENT FINANCIAL U.S. 2 720 4.8 258 1.7 14,911
NON U.S. 3 3,553 23.8 2,500 16.8
---- --------- ---- --------- ----
5 4,273 28.7 2,758 18.5
01/08/08 NYME DATED TO FRONTLINE BRENT SWAP U.S. 2 1,754 9.0 1,140 5.9 19,434
NON U.S. 3 150 0.8 3,300 17.0
---- --------- ---- --------- ----
5 1,904 9.8 4,440 22.8
01/08/08 NYBT COCOA U.S. 1 3,224 1.8 0 0.0 183,671
NON U.S. 8 5,058 2.8 3,173 1.7
---- --------- ---- --------- ----
9 8,282 4.5 3,173 1.7
01/08/08 NYME PALLADIUM U.S. 2 56 0.3 1,374 8.0 17,154
NON U.S. 8 479 2.8 3,040 17.7
---- --------- ---- --------- ----
10 535 3.1 4,414 25.7
01/08/08 NYME PLATINUM U.S. 3 0 0.0 957 4.9 19,500
NON U.S. 7 573 2.9 1,001 5.1
---- --------- ---- --------- ----
10 573 2.9 1,958 10.0
01/08/08 NYBT SUGAR NO. 11 U.S. 2 7,170 0.7 2,815 0.3 987,380
NON U.S. 9 83,953 8.5 32,003 3.2
---- --------- ---- --------- ----
11 91,123 9.2 34,818 3.5
01/08/08 NYBT COFFEE C U.S. 1 1,675 1.0 0 0.0 171,672
NON U.S. 8 10,449 6.1 9,603 5.6
---- --------- ---- --------- ----
9 12,124 7.1 9,603 5.6
01/08/08 CMX SILVER U.S. 2 1,453 0.9 2,989 1.8 168,508
NON U.S. 10 5,023 3.0 3,245 1.9
---- --------- ---- --------- ----
12 6,476 3.8 6,234 3.7
01/08/08 CMX COPPER-GRADE #1 U.S. 2 2,142 2.8 0 0.0 75,606
NON U.S. 11 7,259 9.6 1,098 1.5
---- --------- ---- --------- ----
13 9,401 12.4 1,098 1.5
01/08/08 CMX GOLD U.S. 4 3,343 0.6 60,846 10.9 558,309
NON U.S. 19 18,018 3.2 43,554 7.8
---- --------- ---- --------- ----
23 21,361 3.8 104,400 18.7
01/08/08 CME RUSSIAN RUBLE NON U.S. 6 10,246 69.1 9,754 65.8 14,827
01/08/08 CME CANADIAN DOLLAR U.S. 1 809 1.0 0 0.0 82,454
NON U.S. 7 6,448 7.8 23,599 28.6
---- --------- ---- --------- ----
8 7,257 8.8 23,599 28.6
01/08/08 CME SWISS FRANC U.S. 2 1,161 1.9 2,994 4.8 62,749
NON U.S. 5 11,280 18.0 8,483 13.5
---- --------- ---- --------- ----
7 12,441 19.8 11,477 18.3
01/08/08 CME MEXICAN PESO U.S. 3 3,566 3.8 356 0.4 93,542
NON U.S. 6 7,840 8.4 66,955 71.6
---- --------- ---- --------- ----
9 11,406 12.2 67,311 72.0
01/08/08 CME BRITISH POUND STERLING U.S. 2 1,904 2.2 0 0.0 86,731
NON U.S. 5 18,483 21.3 2,847 3.3
---- --------- ---- --------- ----
7 20,387 23.5 2,847 3.3
01/08/08 CME JAPANESE YEN U.S. 2 4,398 2.3 19,318 10.0 193,786
NON U.S. 10 9,637 5.0 22,481 11.6
---- --------- ---- --------- ----
12 14,035 7.2 41,799 21.6
01/08/08 CME EURO FX U.S. 2 1,270 0.7 1,094 0.6 179,512
NON U.S. 16 15,790 8.8 25,575 14.2
---- --------- ---- --------- ----
18 17,060 9.5 26,669 14.9
01/08/08 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 3 3,479 1.6 576 0.3 216,289
NON U.S. 8 7,613 3.5 4,478 2.1
---- --------- ---- --------- ----
11 11,092 5.1 5,054 2.3
01/08/08 CME NEW ZEALAND DOLLAR U.S. 2 0 0.0 1,208 5.7 21,286
NON U.S. 4 1,038 4.9 5,676 26.7
---- --------- ---- --------- ----
6 1,038 4.9 6,884 32.3
01/08/08 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 2 3,070 11.5 22 0.1 26,622
NON U.S. 7 1,932 7.3 3,967 14.9
---- --------- ---- --------- ----
9 5,002 18.8 3,989 15.0
01/08/08 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2 1,404 1.8 0 0.0 77,619
NON U.S. 10 1,874 2.4 2,167 2.8
---- --------- ---- --------- ----
12 3,278 4.2 2,167 2.8
01/08/08 CME 3-MONTH EURODOLLARS U.S. 10 835,215 8.1 875,196 8.5 10,308,232
NON U.S. 54 1,420,205 13.8 1,844,890 17.9
---- --------- ---- --------- ----
64 2,255,420 21.9 2,720,086 26.4
01/08/08 CME S&P 500 STOCK INDEX U.S. 4 6,541 1.2 6 0.0 544,792
NON U.S. 20 10,890 2.0 68,060 12.5
---- --------- ---- --------- ----
24 17,431 3.2 68,066 12.5
01/08/08 CME E-MINI S&P 500 STOCK INDEX U.S. 7 13,814 0.7 7,835 0.4 1,993,208
NON U.S. 37 58,770 2.9 189,543 9.5
---- --------- ---- --------- ----
44 72,584 3.6 197,378 9.9
01/08/08 CME NASDAQ-100 STOCK INDEX U.S. 3 608 1.5 4,088 10.4 39,240
NON U.S. 10 8,447 21.5 811 2.1
---- --------- ---- --------- ----
13 9,055 23.1 4,899 12.5
01/08/08 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 5 4,406 1.3 2,327 0.7 334,132
NON U.S. 27 24,868 7.4 9,525 2.9
---- --------- ---- --------- ----
32 29,274 8.8 11,852 3.5
01/08/08 CME AUSTRALIAN DOLLAR U.S. 2 1,958 2.5 0 0.0 78,398
NON U.S. 5 94 0.1 29,275 37.3
---- --------- ---- --------- ----
7 2,052 2.6 29,275 37.3
01/08/08 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 2 273 0.7 1,137 2.8 40,134
NON U.S. 7 1,076 2.7 4,955 12.3
---- --------- ---- --------- ----
9 1,349 3.4 6,092 15.2
01/08/08 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 6 476 0.1 9,634 1.5 627,378
NON U.S. 15 31,226 5.0 20,829 3.3
---- --------- ---- --------- ----
21 31,702 5.1 30,463 4.9
01/08/08 CME NIKKEI STOCK AVERAGE U.S. 3 235 0.3 7,246 10.7 67,502
NON U.S. 17 5,578 8.3 6,030 8.9
---- --------- ---- --------- ----
20 5,813 8.6 13,276 19.7
01/08/08 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 3 2,536 4.4 0 0.0 58,270
NON U.S. 11 3,929 6.7 17,414 29.9
---- --------- ---- --------- ----
14 6,465 11.1 17,414 29.9
01/08/08 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 2 2,000 3.8 14,674 27.8 52,713
NON U.S. 3 657 1.2 949 1.8
---- --------- ---- --------- ----
5 2,657 5.0 15,623 29.6
01/08/08 CBT INTEREST RATE SWAPS 5YR - 3MO U.S. 2 1,378 8.2 2,438 14.4 16,894
NON U.S. 3 10,454 61.9 114 0.7
---- --------- ---- --------- ----
5 11,832 70.0 2,552 15.1
01/08/08 NYBT EURO FX/JAPANESE YEN XRATE U.S. 1 0 0.0 717 6.2 11,597
NON U.S. 6 1,397 12.0 1,528 13.2
---- --------- ---- --------- ----
7 1,397 12.0 2,245 19.4
01/08/08 CME E-MINI S&P 400 STOCK INDEX U.S. 2 832 0.8 242 0.2 101,911
NON U.S. 3 0 0.0 10,865 10.7
---- --------- ---- --------- ----
5 832 0.8 11,107 10.9
01/08/08 CME 3-MO. EUROYEN TIBOR U.S. 4 435 1.9 974 4.2 23,257
NON U.S. 12 8,710 37.5 5,011 21.5
---- --------- ---- --------- ----
16 9,145 39.3 5,985 25.7
01/08/08 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 3 540 7.0 30 0.4 7,711
NON U.S. 2 1,425 18.5 540 7.0
---- --------- ---- --------- ----
5 1,965 25.5 570 7.4
01/08/08 NYME GASOIL CRACK SPR SWAP U.S. 2 1,911 27.3 0 0.0 7,010
NON U.S. 3 435 6.2 603 8.6
---- --------- ---- --------- ----
5 2,346 33.5 603 8.6