BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
09/01/09 CBT WHEAT U.S. 1 6,421 2.1 216 0.1 311,277
NON U.S. 16 50,656 16.3 6,167 2.0
---- --------- ---- --------- ----
17 57,077 18.3 6,383 2.1
09/01/09 KCBT WHEAT U.S. 1 534 0.5 0 0.0 99,440
NON U.S. 4 2,162 2.2 520 0.5
---- --------- ---- --------- ----
5 2,696 2.7 520 0.5
09/01/09 CBT CORN U.S. 2 20,384 2.4 88 0.0 835,960
NON U.S. 14 78,541 9.4 3,781 0.5
---- --------- ---- --------- ----
16 98,925 11.8 3,869 0.5
09/01/09 CBT SOYBEANS U.S. 1 6,082 1.5 1,241 0.3 407,468
NON U.S. 12 30,851 7.6 5,589 1.4
---- --------- ---- --------- ----
13 36,933 9.1 6,830 1.7
09/01/09 CBT SOYBEAN OIL U.S. 1 3,380 1.5 1,033 0.5 228,928
NON U.S. 6 14,552 6.4 1,570 0.7
---- --------- ---- --------- ----
7 17,932 7.8 2,603 1.1
09/01/09 CBT U.S. TREASURY BONDS U.S. 5 11,319 1.5 21,325 2.7 776,030
NON U.S. 3 1,086 0.1 3,874 0.5
---- --------- ---- --------- ----
8 12,405 1.6 25,199 3.2
09/01/09 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 3 12,268 4.1 451 0.2 295,656
NON U.S. 3 9,451 3.2 685 0.2
---- --------- ---- --------- ----
6 21,719 7.3 1,136 0.4
09/01/09 NYME NATURAL GAS U.S. 3 24,751 3.4 16,023 2.2 720,062
NON U.S. 10 80,641 11.2 19,300 2.7
---- --------- ---- --------- ----
13 105,392 14.6 35,323 4.9
09/01/09 NYME NGPL TEXOK BASIS SWAP U.S. 2 10,857 11.9 372 0.4 91,445
NON U.S. 3 158 0.2 15,348 16.8
---- --------- ---- --------- ----
5 11,015 12.0 15,720 17.2
09/01/09 NYME ANR, OK BASIS SWAP U.S. 3 0 0.0 12,240 32.9 37,235
NON U.S. 2 0 0.0 276 0.7
---- --------- ---- --------- ----
5 0 0.0 12,516 33.6
09/01/09 ICUS COTTON NO. 2 U.S. 1 6,667 5.4 167 0.1 123,988
NON U.S. 9 16,646 13.4 3,055 2.5
---- --------- ---- --------- ----
10 23,313 18.8 3,222 2.6
09/01/09 NYME HOUSTON SHIP CH BASIS SWAP U.S. 3 3,115 1.4 6,340 2.9 219,263
NON U.S. 2 8,965 4.1 12,550 5.7
---- --------- ---- --------- ----
5 12,080 5.5 18,890 8.6
09/01/09 NYME NW PIPE ROCKIES BASIS SWAP U.S. 3 6,886 4.7 14,200 9.7 146,483
NON U.S. 3 10,340 7.1 15,744 10.7
---- --------- ---- --------- ----
6 17,226 11.8 29,944 20.4
09/01/09 NYME PANHANDLE BASIS SWAP U.S. 3 16,746 6.5 10,812 4.2 256,961
NON U.S. 3 1,898 0.7 25,243 9.8
---- --------- ---- --------- ----
6 18,644 7.3 36,055 14.0
09/01/09 NYME SAN JUAN BASIS SWAP U.S. 3 2,326 4.2 2,242 4.1 54,952
NON U.S. 2 62 0.1 6,566 11.9
---- --------- ---- --------- ----
5 2,388 4.3 8,808 16.0
09/01/09 NYME SOCAL BASIS SWAP U.S. 3 7,400 9.8 9,208 12.1 75,841
NON U.S. 2 90 0.1 733 1.0
---- --------- ---- --------- ----
5 7,490 9.9 9,941 13.1
09/01/09 NYME HENRY HUB SWAP U.S. 4 111,953 3.8 292,486 10.0 2,925,876
NON U.S. 6 84,250 2.9 183,063 6.3
---- --------- ---- --------- ----
10 196,203 6.7 475,549 16.3
09/01/09 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 2 106,166 10.5 18,146 1.8 1,008,893
NON U.S. 7 59,036 5.9 46,585 4.6
---- --------- ---- --------- ----
9 165,202 16.4 64,731 6.4
09/01/09 CBT 2-YEAR U.S. TREASURY NOTES U.S. 6 35,528 4.8 9,875 1.3 741,640
NON U.S. 20 9,044 1.2 112,025 15.1
---- --------- ---- --------- ----
26 44,572 6.0 121,900 16.4
09/01/09 CBT 10-YEAR U.S. TREASURY NOTES U.S. 7 13,983 1.2 21,686 1.9 1,157,418
NON U.S. 20 45,870 4.0 52,172 4.5
---- --------- ---- --------- ----
27 59,853 5.2 73,858 6.4
09/01/09 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 9,311 1.2 47,017 5.9 803,679
NON U.S. 7 5,979 0.7 57,100 7.1
---- --------- ---- --------- ----
12 15,290 1.9 104,117 13.0
09/01/09 CBT 30-DAY FEDERAL FUNDS U.S. 5 68,410 16.3 52,197 12.4 419,676
NON U.S. 20 30,041 7.2 62,006 14.8
---- --------- ---- --------- ----
25 98,451 23.5 114,203 27.2
09/01/09 CME LEAN HOGS U.S. 1 2,245 1.6 0 0.0 141,871
NON U.S. 6 11,964 8.4 1,322 0.9
---- --------- ---- --------- ----
7 14,209 10.0 1,322 0.9
09/01/09 CME LIVE CATTLE U.S. 2 4,518 1.8 1,039 0.4 244,351
NON U.S. 10 14,525 5.9 2,265 0.9
---- --------- ---- --------- ----
12 19,043 7.8 3,304 1.4
09/01/09 NYME CRUDE OIL, LIGHT SWEET U.S. 3 29,822 2.6 63,364 5.4 1,164,511
NON U.S. 23 77,554 6.7 73,953 6.4
---- --------- ---- --------- ----
26 107,376 9.2 137,317 11.8
09/01/09 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 15,913 7.8 21,539 10.6 203,806
NON U.S. 5 7,568 3.7 15,577 7.6
---- --------- ---- --------- ----
9 23,481 11.5 37,116 18.2
09/01/09 NYME WTI CRUDE OIL FINANCIAL U.S. 3 27,914 15.6 10,969 6.1 179,445
NON U.S. 9 14,612 8.1 6,613 3.7
---- --------- ---- --------- ----
12 42,526 23.7 17,582 9.8
09/01/09 NYME WTI-BRENT CALENDAR SWAP U.S. 3 4,170 8.7 4,238 8.9 47,736
NON U.S. 3 1,090 2.3 1,525 3.2
---- --------- ---- --------- ----
6 5,260 11.0 5,763 12.1
09/01/09 NYME BRENT (ICE) CALENDAR SWAP U.S. 2 9,843 9.2 15,175 14.2 107,187
NON U.S. 3 7,154 6.7 4,487 4.2
---- --------- ---- --------- ----
5 16,997 15.9 19,662 18.3
09/01/09 ICUS COCOA U.S. 1 794 0.7 22 0.0 113,879
NON U.S. 6 4,375 3.8 3,560 3.1
---- --------- ---- --------- ----
7 5,169 4.5 3,582 3.1
09/01/09 NYME PALLADIUM U.S. 2 226 1.0 4,061 18.8 21,655
NON U.S. 10 713 3.3 1,402 6.5
---- --------- ---- --------- ----
12 939 4.3 5,463 25.2
09/01/09 NYME PLATINUM U.S. 3 25 0.1 1,403 5.2 26,857
NON U.S. 12 2,164 8.1 2,280 8.5
---- --------- ---- --------- ----
15 2,189 8.2 3,683 13.7
09/01/09 ICUS SUGAR NO. 11 U.S. 2 15,394 1.8 39,782 4.6 864,670
NON U.S. 11 49,576 5.7 58,334 6.7
---- --------- ---- --------- ----
13 64,970 7.5 98,116 11.3
09/01/09 ICUS COFFEE C U.S. 1 2,461 2.6 0 0.0 94,776
NON U.S. 13 9,843 10.4 8,665 9.1
---- --------- ---- --------- ----
14 12,304 13.0 8,665 9.1
09/01/09 CMX SILVER U.S. 2 13 0.0 29,888 28.0 106,671
NON U.S. 13 7,015 6.6 2,270 2.1
---- --------- ---- --------- ----
15 7,028 6.6 32,158 30.1
09/01/09 CMX COPPER-GRADE #1 U.S. 2 6,313 5.3 3 0.0 119,527
NON U.S. 10 5,132 4.3 10,990 9.2
---- --------- ---- --------- ----
12 11,445 9.6 10,993 9.2
09/01/09 CMX GOLD U.S. 3 509 0.1 75,550 19.6 384,703
NON U.S. 19 23,833 6.2 43,486 11.3
---- --------- ---- --------- ----
22 24,342 6.3 119,036 30.9
09/01/09 CME RUSSIAN RUBLE U.S. 1 218 1.2 0 0.0 17,685
NON U.S. 5 8,702 49.2 11,946 67.5
---- --------- ---- --------- ----
6 8,920 50.4 11,946 67.5
09/01/09 CME CANADIAN DOLLAR U.S. 4 8 0.0 22,589 25.5 88,664
NON U.S. 4 553 0.6 22,630 25.5
---- --------- ---- --------- ----
8 561 0.6 45,219 51.0
09/01/09 CME SWISS FRANC U.S. 4 1,403 3.1 3,885 8.7 44,607
NON U.S. 3 2,081 4.7 12,956 29.0
---- --------- ---- --------- ----
7 3,484 7.8 16,841 37.8
09/01/09 CME MEXICAN PESO U.S. 3 3,585 4.6 7,243 9.3 78,153
NON U.S. 7 7,944 10.2 28,024 35.9
---- --------- ---- --------- ----
10 11,529 14.8 35,267 45.1
09/01/09 CME BRITISH POUND STERLING U.S. 4 16,959 17.4 3,235 3.3 97,615
NON U.S. 2 206 0.2 12,676 13.0
---- --------- ---- --------- ----
6 17,165 17.6 15,911 16.3
09/01/09 CME JAPANESE YEN U.S. 3 15 0.0 10,632 9.9 107,605
NON U.S. 7 9,219 8.6 37,254 34.6
---- --------- ---- --------- ----
10 9,234 8.6 47,886 44.5
09/01/09 CME EURO FX U.S. 4 1,857 1.5 23,021 18.0 128,047
NON U.S. 13 13,702 10.7 3,499 2.7
---- --------- ---- --------- ----
17 15,559 12.2 26,520 20.7
09/01/09 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 3 4,276 2.1 489 0.2 206,857
NON U.S. 9 9,246 4.5 1,538 0.7
---- --------- ---- --------- ----
12 13,522 6.5 2,027 1.0
09/01/09 CME NEW ZEALAND DOLLAR U.S. 4 1,950 7.5 3,039 11.7 26,059
NON U.S. 3 1,671 6.4 3,733 14.3
---- --------- ---- --------- ----
7 3,621 13.9 6,772 26.0
09/01/09 E VIX FUTURES NON U.S. 5 685 1.6 9,636 22.8 42,255
09/01/09 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 3 874 1.1 744 0.9 80,039
NON U.S. 6 2,934 3.7 5,139 6.4
---- --------- ---- --------- ----
9 3,808 4.8 5,883 7.4
09/01/09 CME 3-MONTH EURODOLLARS U.S. 12 819,890 11.9 1,051,010 15.2 6,898,883
NON U.S. 39 437,772 6.3 893,462 13.0
---- --------- ---- --------- ----
51 1,257,662 18.2 1,944,472 28.2
09/01/09 CME S&P 500 STOCK INDEX U.S. 3 1,480 0.4 4,560 1.1 406,399
NON U.S. 15 11,628 2.9 15,746 3.9
---- --------- ---- --------- ----
18 13,108 3.2 20,306 5.0
09/01/09 CME E-MINI S&P 500 STOCK INDEX U.S. 5 7,754 0.3 3,224 0.1 2,673,739
NON U.S. 34 161,189 6.0 85,184 3.2
---- --------- ---- --------- ----
39 168,943 6.3 88,408 3.3
09/01/09 CME NASDAQ-100 STOCK INDEX U.S. 1 0 0.0 750 3.3 22,736
NON U.S. 4 837 3.7 1,813 8.0
---- --------- ---- --------- ----
5 837 3.7 2,563 11.3
09/01/09 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 4 1,810 0.5 2,552 0.7 347,853
NON U.S. 21 12,272 3.5 10,959 3.2
---- --------- ---- --------- ----
25 14,082 4.0 13,511 3.9
09/01/09 CME AUSTRALIAN DOLLAR U.S. 3 12 0.0 30,928 30.1 102,915
NON U.S. 2 23 0.0 20,025 19.5
---- --------- ---- --------- ----
5 35 0.0 50,953 49.5
09/01/09 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 3 742 0.2 6,254 1.6 384,722
NON U.S. 9 14,727 3.8 3,004 0.8
---- --------- ---- --------- ----
12 15,469 4.0 9,258 2.4
09/01/09 CME NIKKEI STOCK AVERAGE U.S. 1 711 1.9 0 0.0 37,276
NON U.S. 8 3,660 9.8 929 2.5
---- --------- ---- --------- ----
9 4,371 11.7 929 2.5
09/01/09 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 3 2,069 3.6 0 0.0 57,243
NON U.S. 10 1,210 2.1 9,503 16.6
---- --------- ---- --------- ----
13 3,279 5.7 9,503 16.6
09/01/09 ICUS EURO FX/JAPANESE YEN - SMALL U.S. 3 639 11.1 457 8.0 5,743
NON U.S. 3 1,086 18.9 1,199 20.9
---- --------- ---- --------- ----
6 1,725 30.0 1,656 28.8
09/01/09 CME E-MINI S&P 400 STOCK INDEX U.S. 2 1,162 1.2 0 0.0 95,866
NON U.S. 3 1,618 1.7 373 0.4
---- --------- ---- --------- ----
5 2,780 2.9 373 0.4
09/01/09 CME 3-MO. EUROYEN TIBOR U.S. 1 0 0.0 677 8.4 8,028
NON U.S. 7 4,723 58.8 3,490 43.5
---- --------- ---- --------- ----
8 4,723 58.8 4,167 51.9
09/01/09 ICUS EURO FX/BRITISH POUND - SMALL U.S. 2 0 0.0 200 2.7 7,332
NON U.S. 3 143 2.0 2,181 29.7
---- --------- ---- --------- ----
5 143 2.0 2,381 32.5
09/01/09 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 2 65 0.3 1,987 10.4 19,106
NON U.S. 3 272 1.4 593 3.1
---- --------- ---- --------- ----
5 337 1.8 2,580 13.5
09/01/09 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 3 1,795 5.1 527 1.5 35,487
NON U.S. 2 514 1.4 133 0.4
---- --------- ---- --------- ----
5 2,309 6.5 660 1.9
09/01/09 NYME GASOIL CRACK SPR SWAP U.S. 2 3,302 6.0 1,230 2.2 55,315
NON U.S. 3 3,470 6.3 2,942 5.3
---- --------- ---- --------- ----
5 6,772 12.2 4,172 7.5