BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
01/05/10 CBT WHEAT U.S. 16,419 4.5 324 0.1 363,299
NON U.S. 17,704 4.9 5,996 1.7
---- --------- ---- --------- ----
14 34,123 9.4 6,320 1.7
01/05/10 CBT CORN U.S. 23,257 2.3 4,688 0.5 1,032,529
NON U.S. 20,327 2.0 2,227 0.2
---- --------- ---- --------- ----
10 43,584 4.2 6,915 0.7
01/05/10 CBT SOYBEANS U.S. 11,113 2.6 1,443 0.3 424,304
NON U.S. 6,049 1.4 214 0.1
---- --------- ---- --------- ----
8 17,162 4.0 1,657 0.4
01/05/10 CBT U.S. TREASURY BONDS U.S. 5 5,453 0.8 19,297 2.9 658,969
NON U.S. 5 5,115 0.8 6,485 1.0
---- --------- ---- --------- ----
10 10,568 1.6 25,782 3.9
01/05/10 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 12,099 3.8 1,054 0.3 317,155
NON U.S. 1,819 0.6 505 0.2
---- --------- ---- --------- ----
5 13,918 4.4 1,559 0.5
01/05/10 NYME NATURAL GAS U.S. 30,171 4.2 16,225 2.2 724,087
NON U.S. 15,888 2.2 678 0.1
---- --------- ---- --------- ----
10 46,059 6.4 16,903 2.3
01/05/10 ICUS COTTON NO. 2 U.S. 4,914 2.6 707 0.4 186,899
NON U.S. 6,115 3.3 5,301 2.8
---- --------- ---- --------- ----
8 11,029 5.9 6,008 3.2
01/05/10 NYME NW PIPE ROCKIES BASIS SWAP U.S. 7,850 5.5 11,311 8.0 141,623
NON U.S. 2,282 1.6 14,947 10.6
---- --------- ---- --------- ----
5 10,132 7.2 26,258 18.5
01/05/10 NYME PANHANDLE BASIS SWAP U.S. 25,068 10.7 10,056 4.3 234,938
NON U.S. 544 0.2 8,957 3.8
---- --------- ---- --------- ----
5 25,612 10.9 19,013 8.1
01/05/10 NYME HENRY HUB SWAP U.S. 4 69,324 2.4 296,262 10.4 2,862,272
NON U.S. 5 10,350 0.4 130,978 4.6
---- --------- ---- --------- ----
9 79,674 2.8 427,240 14.9
01/05/10 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 143,597 16.1 5,836 0.7 891,391
NON U.S. 52,411 5.9 3,400 0.4
---- --------- ---- --------- ----
8 196,008 22.0 9,236 1.0
01/05/10 CBT 2-YEAR U.S. TREASURY NOTES U.S. 7 7,421 0.9 24,718 3.0 833,027
NON U.S. 16 5,000 0.6 45,161 5.4
---- --------- ---- --------- ----
23 12,421 1.5 69,879 8.4
01/05/10 CBT 10-YEAR U.S. TREASURY NOTES U.S. 11 15,772 1.3 12,829 1.1 1,217,404
NON U.S. 14 21,160 1.7 16,478 1.4
---- --------- ---- --------- ----
25 36,932 3.0 29,307 2.4
01/05/10 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 10,037 1.3 46,891 6.2 759,208
NON U.S. 8 15,250 2.0 15,780 2.1
---- --------- ---- --------- ----
13 25,287 3.3 62,671 8.3
01/05/10 CBT 30-DAY FEDERAL FUNDS U.S. 9 51,344 10.6 70,056 14.4 485,960
NON U.S. 13 29,544 6.1 14,059 2.9
---- --------- ---- --------- ----
22 80,888 16.6 84,115 17.3
01/05/10 CME LIVE CATTLE U.S. 5,975 2.3 1,460 0.6 258,975
NON U.S. 7,434 2.9 32 0.0
---- --------- ---- --------- ----
7 13,409 5.2 1,492 0.6
01/05/10 NYME CRUDE OIL, LIGHT SWEET U.S. 36,288 2.9 79,986 6.5 1,231,436
NON U.S. 33,022 2.7 51,973 4.2
---- --------- ---- --------- ----
25 69,310 5.6 131,959 10.7
01/05/10 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 10,639 5.1 20,711 9.9 208,580
NON U.S. 6 8,958 4.3 8,840 4.2
---- --------- ---- --------- ----
10 19,597 9.4 29,551 14.2
01/05/10 NYME WTI CRUDE OIL FINANCIAL U.S. 20,558 15.5 13,633 10.2 133,006
NON U.S. 1,502 1.1 300 0.2
---- --------- ---- --------- ----
7 22,060 16.6 13,933 10.5
01/05/10 NYME WTI-BRENT CALENDAR SWAP U.S. 4,189 12.1 3,006 8.7 34,531
NON U.S. 825 2.4 255 0.7
---- --------- ---- --------- ----
6 5,014 14.5 3,261 9.4
01/05/10 NYME BRENT (ICE) CALENDAR SWAP U.S. 9,684 10.0 14,808 15.3 96,814
NON U.S. 4,133 4.3 1,551 1.6
---- --------- ---- --------- ----
7 13,817 14.3 16,359 16.9
01/05/10 ICUS COCOA U.S. 1,878 1.4 36 0.0 130,348
NON U.S. 2,029 1.6 2,237 1.7
---- --------- ---- --------- ----
5 3,907 3.0 2,273 1.7
01/05/10 NYME PALLADIUM U.S. 0 0.0 5,727 24.5 23,379
NON U.S. 494 2.1 2,477 10.6
---- --------- ---- --------- ----
9 494 2.1 8,204 35.1
01/05/10 NYME PLATINUM U.S. 25 0.1 2,558 7.6 33,582
NON U.S. 856 2.5 4,063 12.1
---- --------- ---- --------- ----
11 881 2.6 6,621 19.7
01/05/10 ICUS SUGAR NO. 11 U.S. 22,373 2.7 81,050 9.6 842,341
NON U.S. 9,592 1.1 54,133 6.4
---- --------- ---- --------- ----
11 31,965 3.8 135,183 16.0
01/05/10 ICUS COFFEE C U.S. 5,220 4.1 0 0.0 127,082
NON U.S. 2,993 2.4 7,326 5.8
---- --------- ---- --------- ----
9 8,213 6.5 7,326 5.8
01/05/10 CMX SILVER U.S. 579 0.5 37,871 30.2 125,391
NON U.S. 2,250 1.8 2,076 1.7
---- --------- ---- --------- ----
13 2,829 2.3 39,947 31.9
01/05/10 CMX COPPER-GRADE #1 U.S. 7,520 4.7 149 0.1 158,539
NON U.S. 2,339 1.5 13,535 8.5
---- --------- ---- --------- ----
9 9,859 6.2 13,684 8.6
01/05/10 CMX GOLD U.S. 4 2,391 0.5 129,943 25.6 507,643
NON U.S. 15 9,696 1.9 31,540 6.2
---- --------- ---- --------- ----
19 12,087 2.4 161,483 31.8
01/05/10 CME CANADIAN DOLLAR U.S. 4 0.0 19,621 18.2 107,554
NON U.S. 663 0.6 0 0.0
---- --------- ---- --------- ----
6 667 0.6 19,621 18.2
01/05/10 CME MEXICAN PESO U.S. 4 949 1.0 45,087 46.6 96,759
NON U.S. 4 901 0.9 18,825 19.5
---- --------- ---- --------- ----
8 1,850 1.9 63,912 66.1
01/05/10 CME BRITISH POUND STERLING U.S. 16,595 17.9 0 0.0 92,891
NON U.S. 67 0.1 47 0.1
---- --------- ---- --------- ----
6 16,662 17.9 47 0.1
01/05/10 CME JAPANESE YEN U.S. 304 0.3 25,586 24.5 104,231
NON U.S. 4,735 4.5 536 0.5
---- --------- ---- --------- ----
6 5,039 4.8 26,122 25.1
01/05/10 CME EURO FX U.S. 4 3,602 2.3 10,036 6.4 156,155
NON U.S. 12 8,400 5.4 1,943 1.2
---- --------- ---- --------- ----
16 12,002 7.7 11,979 7.7
01/05/10 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 6,220 2.5 981 0.4 246,966
NON U.S. 3,061 1.2 499 0.2
---- --------- ---- --------- ----
7 9,281 3.8 1,480 0.6
01/05/10 E VIX FUTURES U.S. 0 0.0 6,322 10.3 61,257
NON U.S. 1,228 2.0 0 0.0
---- --------- ---- --------- ----
6 1,228 2.0 6,322 10.3
01/05/10 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2,942 4.5 1,425 2.2 65,923
NON U.S. 2,339 3.5 5,526 8.4
---- --------- ---- --------- ----
8 5,281 8.0 6,951 10.5
01/05/10 CME 3-MONTH EURODOLLARS U.S. 15 1,128,868 17.3 1,229,569 18.9 6,509,938
NON U.S. 33 309,712 4.8 790,984 12.2
---- --------- ---- --------- ----
48 1,438,580 22.1 2,020,553 31.0
01/05/10 CME S&P 500 STOCK INDEX U.S. 4 5,841 1.8 0 0.0 325,445
NON U.S. 6 1,266 0.4 8,670 2.7
---- --------- ---- --------- ----
10 7,107 2.2 8,670 2.7
01/05/10 CME E-MINI S&P 500 STOCK INDEX U.S. 8 17,347 0.7 6,121 0.3 2,406,829
NON U.S. 28 21,589 0.9 51,035 2.1
---- --------- ---- --------- ----
36 38,936 1.6 57,156 2.4
01/05/10 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 6 2,168 0.7 2,364 0.8 309,733
NON U.S. 17 3,724 1.2 4,979 1.6
---- --------- ---- --------- ----
23 5,892 1.9 7,343 2.4
01/05/10 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 4 1,493 0.4 8,370 2.5 333,701
NON U.S. 4 1,800 0.5 648 0.2
---- --------- ---- --------- ----
8 3,293 1.0 9,018 2.7
01/05/10 CME NIKKEI STOCK AVERAGE U.S. 0 0.0 1,059 2.9 36,093
NON U.S. 825 2.3 870 2.4
---- --------- ---- --------- ----
5 825 2.3 1,929 5.3
01/05/10 CME E-MINI MSCI EMERGING MARKETS U.S. 0 0.0 0 0.0 19,751
NON U.S. 757 3.8 575 2.9
---- --------- ---- --------- ----
6 757 3.8 575 2.9
01/05/10 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 2,735 8.0 1,537 4.5 34,306
NON U.S. 765 2.2 0 0.0
---- --------- ---- --------- ----
5 3,500 10.2 1,537 4.5
01/05/10 NYME GASOIL CRACK SPR SWAP U.S. 2,649 5.3 1,005 2.0 50,374
NON U.S. 1,506 3.0 1,962 3.9
---- --------- ---- --------- ----
5 4,155 8.2 2,967 5.9