BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
05/06/08 CBT WHEAT U.S. 1 8,093 2.2 0 0.0 366,596
NON U.S. 15 60,624 16.5 10,545 2.9
---- --------- ---- --------- ----
16 68,717 18.7 10,545 2.9
05/06/08 KCBT WHEAT U.S. 1 2,579 2.6 0 0.0 100,872
NON U.S. 5 5,237 5.2 63 0.1
---- --------- ---- --------- ----
6 7,816 7.7 63 0.1
05/06/08 CBT CORN U.S. 1 24,557 1.7 815 0.1 1,404,651
NON U.S. 16 121,128 8.6 18,341 1.3
---- --------- ---- --------- ----
17 145,685 10.4 19,156 1.4
05/06/08 CBT SOYBEANS U.S. 1 9,760 2.1 5 0.0 457,916
NON U.S. 13 39,915 8.7 2,369 0.5
---- --------- ---- --------- ----
14 49,675 10.8 2,374 0.5
05/06/08 CBT SOYBEAN OIL U.S. 1 5,330 2.1 0 0.0 255,685
NON U.S. 5 18,556 7.3 7,016 2.7
---- --------- ---- --------- ----
6 23,886 9.3 7,016 2.7
05/06/08 CBT U.S. TREASURY BONDS U.S. 4 13,481 1.5 5,615 0.6 916,018
NON U.S. 14 23,518 2.6 11,899 1.3
---- --------- ---- --------- ----
18 36,999 4.0 17,514 1.9
05/06/08 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 3 5,099 2.2 1,183 0.5 227,262
NON U.S. 5 18,536 8.2 9,003 4.0
---- --------- ---- --------- ----
8 23,635 10.4 10,186 4.5
05/06/08 NYME NY HARBOR HEATING OIL CAL SWAP U.S. 3 165 1.1 1,441 9.7 14,822
NON U.S. 3 954 6.4 912 6.2
---- --------- ---- --------- ----
6 1,119 7.5 2,353 15.9
05/06/08 NYME SING GASOIL SWAP U.S. 1 0 0.0 850 11.3 7,550
NON U.S. 4 3,100 41.1 150 2.0
---- --------- ---- --------- ----
5 3,100 41.1 1,000 13.2
05/06/08 NYME SING GASOIL/RDAM GASOIL SWAP U.S. 2 0 0.0 400 6.0 6,700
NON U.S. 4 225 3.4 1,625 24.3
---- --------- ---- --------- ----
6 225 3.4 2,025 30.2
05/06/08 NYME NATURAL GAS U.S. 4 48,726 5.6 42,145 4.9 867,142
NON U.S. 7 66,018 7.6 48,908 5.6
---- --------- ---- --------- ----
11 114,744 13.2 91,053 10.5
05/06/08 NYME PERMIAN BASIS SWAP U.S. 2 705 0.9 465 0.6 74,930
NON U.S. 4 122 0.2 2,591 3.5
---- --------- ---- --------- ----
6 827 1.1 3,056 4.1
05/06/08 NYME TCO BASIS SWAP U.S. 2 6,226 6.5 3,233 3.4 96,124
NON U.S. 4 6,271 6.5 9,429 9.8
---- --------- ---- --------- ----
6 12,497 13.0 12,662 13.2
05/06/08 NYME NGPL TEXOK BASIS SWAP U.S. 2 13,200 13.3 2,666 2.7 98,936
NON U.S. 3 1,458 1.5 8,554 8.6
---- --------- ---- --------- ----
5 14,658 14.8 11,220 11.3
05/06/08 NYME ANR OK BASIS SWAP U.S. 2 0 0.0 2,689 6.4 42,302
NON U.S. 3 0 0.0 6,406 15.1
---- --------- ---- --------- ----
5 0 0.0 9,095 21.5
05/06/08 NYME SUMAS BASIS SWAP U.S. 1 1,199 7.2 0 0.0 16,660
NON U.S. 4 5,015 30.1 480 2.9
---- --------- ---- --------- ----
5 6,214 37.3 480 2.9
05/06/08 NYME WAHA BASIS SWAP U.S. 3 0 0.0 11,022 9.8 112,191
NON U.S. 2 1,314 1.2 2,190 2.0
---- --------- ---- --------- ----
5 1,314 1.2 13,212 11.8
05/06/08 NYME CIG BASIS SWAP U.S. 3 58 0.2 2,435 6.4 38,342
NON U.S. 2 0 0.0 8,667 22.6
---- --------- ---- --------- ----
5 58 0.2 11,102 29.0
05/06/08 NYME CENTERPOINT BASIS SWAP U.S. 4 612 1.6 3,072 7.9 38,662
NON U.S. 3 2,589 6.7 6,160 15.9
---- --------- ---- --------- ----
7 3,201 8.3 9,232 23.9
05/06/08 CME 1-MONTH LIBOR RATE U.S. 1 700 2.6 314 1.2 26,473
NON U.S. 8 5,088 19.2 3,842 14.5
---- --------- ---- --------- ----
9 5,788 21.9 4,156 15.7
05/06/08 NYBT COTTON NO. 2 U.S. 1 3,575 1.4 0 0.0 247,979
NON U.S. 13 27,630 11.1 11,596 4.7
---- --------- ---- --------- ----
14 31,205 12.6 11,596 4.7
05/06/08 NYME ALBERTA BASIS SWAP U.S. 3 1,952 1.5 1,764 1.4 126,621
NON U.S. 7 8,969 7.1 29,407 23.2
---- --------- ---- --------- ----
10 10,921 8.6 31,171 24.6
05/06/08 NYME HOUSTON SHIP CH BASIS SWAP U.S. 3 896 0.4 2,274 1.0 233,620
NON U.S. 5 8,288 3.5 13,126 5.6
---- --------- ---- --------- ----
8 9,184 3.9 15,400 6.6
05/06/08 NYME NW PIPE ROCKIES BASIS SWAP U.S. 3 2,564 1.1 26,454 11.3 234,369
NON U.S. 5 18,920 8.1 22,285 9.5
---- --------- ---- --------- ----
8 21,484 9.2 48,739 20.8
05/06/08 NYME PANHANDLE BASIS SWAP U.S. 3 4,446 1.8 23,708 9.5 249,269
NON U.S. 4 5,269 2.1 29,952 12.0
---- --------- ---- --------- ----
7 9,715 3.9 53,660 21.5
05/06/08 NYME SAN JUAN BASIS SWAP U.S. 5 6,047 11.4 4,180 7.9 53,169
NON U.S. 4 4,461 8.4 3,419 6.4
---- --------- ---- --------- ----
9 10,508 19.8 7,599 14.3
05/06/08 NYME SOCAL BASIS SWAP U.S. 3 22,718 10.7 5,595 2.6 211,873
NON U.S. 5 9,241 4.4 15,811 7.5
---- --------- ---- --------- ----
8 31,959 15.1 21,406 10.1
05/06/08 NYME HENRY HUB GAS SWAP U.S. 5 112,310 3.4 282,910 8.7 3,258,611
NON U.S. 8 210,006 6.4 263,840 8.1
---- --------- ---- --------- ----
13 322,316 9.9 546,750 16.8
05/06/08 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 3 128,165 11.5 3,891 0.3 1,114,954
NON U.S. 8 159,898 14.3 67,195 6.0
---- --------- ---- --------- ----
11 288,063 25.8 71,086 6.4
05/06/08 NYBT FRZN CONCENTRATED ORANGE JUICE NON U.S. 5 4,861 15.8 0 0.0 30,671
05/06/08 CBT 2-YEAR U.S. TREASURY NOTES U.S. 4 14,353 1.2 19,041 1.7 1,153,281
NON U.S. 44 48,157 4.2 140,436 12.2
---- --------- ---- --------- ----
48 62,510 5.4 159,477 13.8
05/06/08 CBT 10-YEAR U.S. TREASURY NOTES U.S. 5 41,281 2.0 23,059 1.1 2,116,867
NON U.S. 45 93,086 4.4 139,917 6.6
---- --------- ---- --------- ----
50 134,367 6.3 162,976 7.7
05/06/08 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 27,768 1.5 79,356 4.2 1,911,841
NON U.S. 29 39,466 2.1 105,624 5.5
---- --------- ---- --------- ----
34 67,234 3.5 184,980 9.7
05/06/08 CBT 30-DAY FEDERAL FUNDS U.S. 4 30,903 4.9 90,396 14.3 632,829
NON U.S. 26 88,348 14.0 116,061 18.3
---- --------- ---- --------- ----
30 119,251 18.8 206,457 32.6
05/06/08 CME LEAN HOGS U.S. 1 2,156 0.9 0 0.0 249,562
NON U.S. 8 22,968 9.2 1,451 0.6
---- --------- ---- --------- ----
9 25,124 10.1 1,451 0.6
05/06/08 CME LIVE CATTLE U.S. 2 6,907 2.3 1,979 0.7 298,329
NON U.S. 10 28,429 9.5 2,115 0.7
---- --------- ---- --------- ----
12 35,336 11.8 4,094 1.4
05/06/08 CME FEEDER CATTLE U.S. 2 104 0.3 766 2.4 31,432
NON U.S. 5 1,090 3.5 2 0.0
---- --------- ---- --------- ----
7 1,194 3.8 768 2.4
05/06/08 NYME PJM ELECTRICITY MONTHLY U.S. 2 3,000 9.9 3,495 11.6 30,206
NON U.S. 3 1,009 3.3 1,253 4.1
---- --------- ---- --------- ----
5 4,009 13.3 4,748 15.7
05/06/08 NYME NORTH ILL OFF PK LMP SWAP U.S. 2 5,850 20.7 240 0.9 28,200
NON U.S. 3 2,640 9.4 2,516 8.9
---- --------- ---- --------- ----
5 8,490 30.1 2,756 9.8
05/06/08 NYME CRUDE OIL, LIGHT SWEET U.S. 4 23,567 1.7 57,108 4.0 1,422,431
NON U.S. 19 120,079 8.4 98,893 7.0
---- --------- ---- --------- ----
23 143,646 10.1 156,001 11.0
05/06/08 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 3 11,560 9.4 6,887 5.6 122,882
NON U.S. 7 12,311 10.0 16,777 13.7
---- --------- ---- --------- ----
10 23,871 19.4 23,664 19.3
05/06/08 NYME WTI CRUDE OIL FINANCIAL U.S. 4 17,119 9.3 9,491 5.1 184,565
NON U.S. 6 23,975 13.0 20,150 10.9
---- --------- ---- --------- ----
10 41,094 22.3 29,641 16.1
05/06/08 NYME BRENT FINANCIAL U.S. 2 1,338 5.5 186 0.8 24,508
NON U.S. 4 5,690 23.2 3,350 13.7
---- --------- ---- --------- ----
6 7,028 28.7 3,536 14.4
05/06/08 NYME DATED TO FRONTLINE BRENT SWAP U.S. 2 1,267 7.7 1,040 6.3 16,484
NON U.S. 4 50 0.3 3,325 20.2
---- --------- ---- --------- ----
6 1,317 8.0 4,365 26.5
05/06/08 NYME BRENT (ICE) CALENDAR SWAP U.S. 1 7,791 16.4 4,311 9.1 47,533
NON U.S. 4 2,919 6.1 1,370 2.9
---- --------- ---- --------- ----
5 10,710 22.5 5,681 12.0
05/06/08 NYME BRENT-DUBAI SWAP U.S. 1 0 0.0 1,550 27.6 5,620
NON U.S. 4 450 8.0 1,100 19.6
---- --------- ---- --------- ----
5 450 8.0 2,650 47.2
05/06/08 NYBT COCOA U.S. 1 2,904 2.0 0 0.0 141,699
NON U.S. 8 7,401 5.2 9,766 6.9
---- --------- ---- --------- ----
9 10,305 7.3 9,766 6.9
05/06/08 NYME PALLADIUM U.S. 3 0 0.0 2,224 11.4 19,590
NON U.S. 9 641 3.3 3,479 17.8
---- --------- ---- --------- ----
12 641 3.3 5,703 29.1
05/06/08 NYME PLATINUM U.S. 2 0 0.0 466 3.3 13,961
NON U.S. 11 1,041 7.5 339 2.4
---- --------- ---- --------- ----
13 1,041 7.5 805 5.8
05/06/08 NYBT SUGAR NO. 11 U.S. 2 26,973 2.9 7,048 0.8 920,281
NON U.S. 12 124,817 13.6 57,932 6.3
---- --------- ---- --------- ----
14 151,790 16.5 64,980 7.1
05/06/08 NYBT COFFEE C U.S. 1 1,666 1.1 0 0.0 148,003
NON U.S. 15 17,855 12.1 6,783 4.6
---- --------- ---- --------- ----
16 19,521 13.2 6,783 4.6
05/06/08 CMX SILVER U.S. 2 0 0.0 3,077 2.5 121,057
NON U.S. 11 3,917 3.2 2,739 2.3
---- --------- ---- --------- ----
13 3,917 3.2 5,816 4.8
05/06/08 CMX COPPER-GRADE #1 U.S. 2 1,944 2.0 0 0.0 99,434
NON U.S. 8 8,985 9.0 1,800 1.8
---- --------- ---- --------- ----
10 10,929 11.0 1,800 1.8
05/06/08 CMX GOLD U.S. 3 11,016 2.5 12,689 2.9 433,741
NON U.S. 21 21,445 4.9 47,463 10.9
---- --------- ---- --------- ----
24 32,461 7.5 60,152 13.9
05/06/08 CME RUSSIAN RUBLE NON U.S. 6 14,253 69.7 13,695 67.0 20,437
05/06/08 CME CANADIAN DOLLAR U.S. 3 1,268 1.1 4,795 4.2 114,709
NON U.S. 9 14,027 12.2 32,837 28.6
---- --------- ---- --------- ----
12 15,295 13.3 37,632 32.8
05/06/08 CME SWISS FRANC U.S. 1 997 1.6 0 0.0 63,405
NON U.S. 4 20,783 32.8 13,448 21.2
---- --------- ---- --------- ----
5 21,780 34.4 13,448 21.2
05/06/08 CME MEXICAN PESO U.S. 2 1,101 0.9 10,027 8.2 122,815
NON U.S. 9 194 0.2 60,984 49.7
---- --------- ---- --------- ----
11 1,295 1.1 71,011 57.8
05/06/08 CME BRITISH POUND STERLING U.S. 2 5,609 3.9 0 0.0 144,702
NON U.S. 7 97,913 67.7 13,539 9.4
---- --------- ---- --------- ----
9 103,522 71.5 13,539 9.4
05/06/08 CME JAPANESE YEN U.S. 3 2,387 1.4 17,350 10.3 169,098
NON U.S. 8 14,826 8.8 40,037 23.7
---- --------- ---- --------- ----
11 17,213 10.2 57,387 33.9
05/06/08 CME EURO FX U.S. 5 2,862 1.4 2,488 1.2 204,066
NON U.S. 16 68,049 33.3 14,386 7.0
---- --------- ---- --------- ----
21 70,911 34.7 16,874 8.3
05/06/08 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 4 3,946 1.5 887 0.3 262,307
NON U.S. 9 10,212 3.9 2,850 1.1
---- --------- ---- --------- ----
13 14,158 5.4 3,737 1.4
05/06/08 CME NEW ZEALAND DOLLAR U.S. 1 1,852 7.7 0 0.0 23,946
NON U.S. 5 4,595 19.2 7,839 32.7
---- --------- ---- --------- ----
6 6,447 26.9 7,839 32.7
05/06/08 E VIX FUTURES NON U.S. 5 1,279 2.1 1 0.0 60,219
05/06/08 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 2 1,443 4.7 130 0.4 30,645
NON U.S. 8 1,067 3.5 4,798 15.7
---- --------- ---- --------- ----
10 2,510 8.2 4,928 16.1
05/06/08 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 1 312 0.3 0 0.0 100,759
NON U.S. 7 3,457 3.4 5,963 5.9
---- --------- ---- --------- ----
8 3,769 3.7 5,963 5.9
05/06/08 CME 3-MONTH EURODOLLARS U.S. 11 705,668 7.7 917,086 10.0 9,215,557
NON U.S. 63 1,605,431 17.4 1,388,279 15.1
---- --------- ---- --------- ----
74 2,311,099 25.1 2,305,365 25.0
05/06/08 CME S&P 500 STOCK INDEX U.S. 4 5,393 1.0 151 0.0 559,532
NON U.S. 21 14,538 2.6 65,143 11.6
---- --------- ---- --------- ----
25 19,931 3.6 65,294 11.7
05/06/08 CME E-MINI S&P 500 STOCK INDEX U.S. 8 19,096 0.9 31,386 1.5 2,117,598
NON U.S. 40 83,770 4.0 168,552 8.0
---- --------- ---- --------- ----
48 102,866 4.9 199,938 9.4
05/06/08 CME NASDAQ-100 STOCK INDEX U.S. 2 638 1.7 791 2.2 36,665
NON U.S. 7 5,340 14.6 163 0.4
---- --------- ---- --------- ----
9 5,978 16.3 954 2.6
05/06/08 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 4 2,020 0.5 4,111 1.1 369,548
NON U.S. 27 62,282 16.9 10,754 2.9
---- --------- ---- --------- ----
31 64,302 17.4 14,865 4.0
05/06/08 CME AUSTRALIAN DOLLAR U.S. 2 680 0.6 1,060 1.0 106,209
NON U.S. 5 159 0.1 23,632 22.3
---- --------- ---- --------- ----
7 839 0.8 24,692 23.2
05/06/08 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 2 60 0.2 1,137 3.0 38,458
NON U.S. 4 649 1.7 1,054 2.7
---- --------- ---- --------- ----
6 709 1.8 2,191 5.7
05/06/08 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 5 279 0.0 10,331 1.5 677,233
NON U.S. 16 41,553 6.1 22,724 3.4
---- --------- ---- --------- ----
21 41,832 6.2 33,055 4.9
05/06/08 CME NIKKEI STOCK AVERAGE U.S. 3 0 0.0 7,874 8.9 88,719
NON U.S. 16 22,981 25.9 4,090 4.6
---- --------- ---- --------- ----
19 22,981 25.9 11,964 13.5
05/06/08 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 3 2,134 3.6 2,413 4.1 59,187
NON U.S. 9 4,172 7.0 12,540 21.2
---- --------- ---- --------- ----
12 6,306 10.7 14,953 25.3
05/06/08 NYBT EURO FX/JAPANESE YEN XRATE U.S. 2 409 3.1 1,304 9.7 13,394
NON U.S. 3 243 1.8 2,252 16.8
---- --------- ---- --------- ----
5 652 4.9 3,556 26.5
05/06/08 CME E-MINI S&P 400 STOCK INDEX U.S. 2 408 0.5 307 0.3 88,733
NON U.S. 4 1,430 1.6 830 0.9
---- --------- ---- --------- ----
6 1,838 2.1 1,137 1.3
05/06/08 CME 3-MO. EUROYEN TIBOR U.S. 5 1,053 4.0 1,728 6.5 26,544
NON U.S. 13 10,419 39.3 5,328 20.1
---- --------- ---- --------- ----
18 11,472 43.2 7,056 26.6
05/06/08 NYME GASOIL CRACK SPR SWAP U.S. 2 1,458 11.1 0 0.0 13,164
NON U.S. 4 1,121 8.5 1,226 9.3
---- --------- ---- --------- ----
6 2,579 19.6 1,226 9.3
05/06/08 NYME RBOB CRACK SPREAD SWAP U.S. 2 227 1.8 345 2.7 12,611
NON U.S. 3 817 6.5 1,165 9.2
---- --------- ---- --------- ----
5 1,044 8.3 1,510 12.0