Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
CANADIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF CAD 100,000)                          
CFTC Code #090741                                                    Open Interest is   126,626
Positions
    20,864     19,282      1,612     20,853     34,421        187     40,767     42,445      2,163      8,394        144         96     31,690     26,276
 
Changes from:       May 22, 2012                                     Total Change is:    -4,366
     5,943     -2,645        541        183        411          6     -9,571     -5,491      1,185         52        109         95     -2,800      1,423
 
Percent of Open Interest Represented by Each Category of Trader
      16.5       15.2        1.3       16.5       27.2        0.1       32.2       33.5        1.7        6.6        0.1        0.1       25.0       20.8
 
Number of Traders in Each Category                                    Total Traders:        79
         7          7          5          6          5          .         17         26         12         10          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
SWISS FRANC - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF CHF 125,000)                              
CFTC Code #092741                                                    Open Interest is    71,895
Positions
    32,939      6,473         10        912      1,463        242     25,456     33,142        225      4,944        427         76      7,091     29,837
 
Changes from:       May 22, 2012                                     Total Change is:        63
       275        195          0         99          4          0      1,592     -1,452         40       -463        -19          0     -1,480      1,295
 
Percent of Open Interest Represented by Each Category of Trader
      45.8        9.0        0.0        1.3        2.0        0.3       35.4       46.1        0.3        6.9        0.6        0.1        9.9       41.5
 
Number of Traders in Each Category                                    Total Traders:        45
         8          5          .          .          .          .          8         17          .          .          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
BRITISH POUND STERLING - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF GBP 62,500)                    
CFTC Code #096742                                                    Open Interest is   181,435
Positions
    28,472     84,854      1,542      9,697     35,788      7,256     81,683     24,514        915     27,398      3,963         72     24,400     22,531
 
Changes from:       May 22, 2012                                     Total Change is:    -3,062
     7,502     -7,243        620       -146       -893        406    -10,766      2,872        -80      1,515        399         38     -2,151        819
 
Percent of Open Interest Represented by Each Category of Trader
      15.7       46.8        0.8        5.3       19.7        4.0       45.0       13.5        0.5       15.1        2.2        0.0       13.4       12.4
 
Number of Traders in Each Category                                    Total Traders:        92
         8          9          6          5         15          .         28         20          8          .          4          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
JAPANESE YEN - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF JPY 12,500,000)                          
CFTC Code #097741                                                    Open Interest is   140,684
Positions
    31,944     49,238      1,438     62,797      9,937        775     17,918     38,537        196     10,344      2,446         36     15,236     38,081
 
Changes from:       May 22, 2012                                     Total Change is:    -1,484
    -2,000      4,543         58         97         93         19      1,079     -3,936        -32       -663         59         36        -78     -2,324
 
Percent of Open Interest Represented by Each Category of Trader
      22.7       35.0        1.0       44.6        7.1        0.6       12.7       27.4        0.1        7.4        1.7        0.0       10.8       27.1
 
Number of Traders in Each Category                                    Total Traders:        80
         6         11          .          8          6          .         16         26          .          .          5          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
EURO FX - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF EUR 125,000)                                  
CFTC Code #099741                                                    Open Interest is   394,160
Positions
   186,762     18,128      1,295     27,436     42,268      9,934     75,361    227,687      3,171     56,119     14,112      1,230     32,852     76,335
 
Changes from:       May 22, 2012                                     Total Change is:    17,452
     8,232        356        244        242        725        242      6,446     11,473        640         -3      2,216       -358      1,767      1,914
 
Percent of Open Interest Represented by Each Category of Trader
      47.4        4.6        0.3        7.0       10.7        2.5       19.1       57.8        0.8       14.2        3.6        0.3        8.3       19.4
 
Number of Traders in Each Category                                    Total Traders:       196
        24         11          4         16         25         12         25         66         18         10         19          4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
AUSTRALIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF AUD 100,000)                        
CFTC Code #232741                                                    Open Interest is   142,616
Positions
   106,916      8,967        292      1,824     44,995        887     14,045     55,860        484      3,642      2,063          0     14,526     29,068
 
Changes from:       May 22, 2012                                     Total Change is:     2,653
    21,623     -2,760        -80        165       -275          0    -15,295      3,412        342        365        212          0     -4,467      1,802
 
Percent of Open Interest Represented by Each Category of Trader
      75.0        6.3        0.2        1.3       31.5        0.6        9.8       39.2        0.3        2.6        1.4        0.0       10.2       20.4
 
Number of Traders in Each Category                                    Total Traders:        82
        13          5          5          .          9          .         15         32          8          .          5          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
RUSSIAN RUBLE - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF RUB 2,500,000)                          
CFTC Code #089741                                                    Open Interest is   107,777
Positions
    56,011     59,748     34,326      1,439          0          0      1,566      2,708      7,788      3,487          0      2,948        212        259
 
Changes from:       May 22, 2012                                     Total Change is:      -779
     1,116     -1,596        646       -261          0          0     -1,999        180          0       -100          0          0       -181         -9
 
Percent of Open Interest Represented by Each Category of Trader
      52.0       55.4       31.8        1.3        0.0        0.0        1.5        2.5        7.2        3.2        0.0        2.7        0.2        0.2
 
Number of Traders in Each Category                                    Total Traders:        25
         7         11         12          .          0          0          .          .          .          .          0          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
MEXICAN PESO - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF MXN 500,000)                             
CFTC Code #095741                                                    Open Interest is   187,458
Positions
    82,869     90,066     11,888     18,708      1,779      1,551     54,448     45,236     15,569      2,325     17,031          0        100      4,338
 
Changes from:       May 22, 2012                                     Total Change is:    -1,796
     3,175       -272      1,730     -5,227        731          0      2,882     -5,490     -1,542        278      5,819       -111     -2,981     -2,661
 
Percent of Open Interest Represented by Each Category of Trader
      44.2       48.0        6.3       10.0        0.9        0.8       29.0       24.1        8.3        1.2        9.1        0.0        0.1        2.3
 
Number of Traders in Each Category                                    Total Traders:       119
        11          9          .          7          4          .         22         46          8          8         11          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
BRAZILIAN REAL - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF BRL 100,000)                           
CFTC Code #102741                                                    Open Interest is    21,041
Positions
    14,129      2,200      2,674        391        848         78      3,036        885        224        100     13,428          0        409        704
 
Changes from:       May 22, 2012                                     Total Change is:       499
      -498       -303      1,299          0        623       -106        -79       -829        108        -20         -5          0       -205       -288
 
Percent of Open Interest Represented by Each Category of Trader
      67.1       10.5       12.7        1.9        4.0        0.4       14.4        4.2        1.1        0.5       63.8        0.0        1.9        3.3
 
Number of Traders in Each Category                                    Total Traders:        22
         8          .          5          .          .          .          7          .          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NEW ZEALAND DOLLAR - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF NZD 100,000)                       
CFTC Code #112741                                                    Open Interest is    21,453
Positions
     9,065      5,387          1          0        298          0      6,781     11,611        157      3,769        722          0      1,680      3,277
 
Changes from:       May 22, 2012                                     Total Change is:        14
       692       -419          1       -211        168          0       -652         83        157        -30        114          0         57        -90
 
Percent of Open Interest Represented by Each Category of Trader
      42.3       25.1        0.0        0.0        1.4        0.0       31.6       54.1        0.7       17.6        3.4        0.0        7.8       15.3
 
Number of Traders in Each Category                                    Total Traders:        42
         9          .          .          0          .          0          6         16          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
DJIA Consolidated - CHICAGO BOARD OF TRADE   ($10 X DJIA INDEX)                                     
CFTC Code #12460+                                                    Open Interest is    68,734
Positions
    19,763     28,105     12,495      4,509      2,376        552     12,414      8,816      6,020      1,749      1,332      1,276      9,957      7,763
 
Changes from:       May 22, 2012                                     Total Change is:     1,544
     2,655       -442      1,946       -243       -808        150     -3,569      1,422     -1,096        405       -190          0      1,296        562
 
Percent of Open Interest Represented by Each Category of Trader
      28.8       40.9       18.2        6.6        3.5        0.8       18.1       12.8        8.8        2.5        1.9        1.9       14.5       11.3
 
Number of Traders in Each Category                                    Total Traders:        94
        16         17          7          6          7          .         24         12          9          8          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
DOW JONES INDUSTRIAL AVERAGE - CHICAGO BOARD OF TRADE   ($10 X DJIA INDEX)                          
CFTC Code #124601                                                    Open Interest is    17,501
Positions
    10,846      9,975          0      1,070          0          0      4,179      1,623          0          0      2,174          0      1,406      3,729
 
Changes from:       May 22, 2012                                     Total Change is:     1,264
     1,235      1,294          0         20          0          0         10       -989          0          0          0          0         -1        959
 
Percent of Open Interest Represented by Each Category of Trader
      62.0       57.0        0.0        6.1        0.0        0.0       23.9        9.3        0.0        0.0       12.4        0.0        8.0       21.3
 
Number of Traders in Each Category                                    Total Traders:        20
         5          6          0          .          0          0          4          .          0          0          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
DOW JONES INDUSTRIAL AVG- x $5 - CHICAGO BOARD OF TRADE   ($5 X DJIA INDEX)                         
CFTC Code #124603                                                    Open Interest is   102,465
Positions
    40,936     59,363      1,887      6,877      4,751      1,104     28,068     25,984        442      6,050        867          0     17,101      8,067
 
Changes from:       May 22, 2012                                     Total Change is:       559
     6,804        494        -73       -526     -1,616        299     -9,120      2,859       -229        810       -380          0      2,594       -795
 
Percent of Open Interest Represented by Each Category of Trader
      40.0       57.9        1.8        6.7        4.6        1.1       27.4       25.4        0.4        5.9        0.8        0.0       16.7        7.9
 
Number of Traders in Each Category                                    Total Traders:        91
        14         17          .          5          7          .         23         16          4          8          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
S&P 500 Consolidated - CHICAGO MERCANTILE EXCHANGE   (S&P 500 INDEX X $250.00)                      
CFTC Code #13874+                                                    Open Interest is   881,189
Positions
    60,190    142,856     58,063    360,591    182,411     47,515     81,316    203,574     62,707     33,137     31,354      9,308    168,361    143,401
 
Changes from:       May 22, 2012                                     Total Change is:     7,701
      -273     -9,012      5,666        910       -151        436      3,305      5,324     -1,737     -2,111      3,604        105      1,401      3,466
 
Percent of Open Interest Represented by Each Category of Trader
       6.8       16.2        6.6       40.9       20.7        5.4        9.2       23.1        7.1        3.8        3.6        1.1       19.1       16.3
 
Number of Traders in Each Category                                    Total Traders:       543
        37         51         36        119         63         63         72        128         77         32         40         14
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (S&P 500 INDEX X $250.00)                       
CFTC Code #138741                                                    Open Interest is   273,113
Positions
    31,072     57,810      9,432    108,945     30,810      8,479     29,205     54,139      2,909      9,984      6,873      5,665     67,422     96,996
 
Changes from:       May 22, 2012                                     Total Change is:      -245
      -628     -3,409         70      3,017     -1,244        159       -830     -1,424          0       -485        710        268     -1,816      4,625
 
Percent of Open Interest Represented by Each Category of Trader
      11.4       21.2        3.5       39.9       11.3        3.1       10.7       19.8        1.1        3.7        2.5        2.1       24.7       35.5
 
Number of Traders in Each Category                                    Total Traders:       112
        13          9          5         29          9         16         19         23         10          5          4          4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
E-MINI S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   ($50 X S&P 500 INDEX)                    
CFTC Code #13874A                                                    Open Interest is 3,040,378
Positions
   286,632    566,269    102,117  1,282,719    782,496    170,689    482,005    968,622     77,543    127,743    134,383      6,236    504,694    232,023
 
Changes from:       May 22, 2012                                     Total Change is:    39,728
    18,390    -11,398     11,364    -11,437      4,565      2,286      9,059     22,124      2,930     -8,271     14,331       -677     16,084     -5,797
 
Percent of Open Interest Represented by Each Category of Trader
       9.4       18.6        3.4       42.2       25.7        5.6       15.9       31.9        2.6        4.2        4.4        0.2       16.6        7.6
 
Number of Traders in Each Category                                    Total Traders:       515
        39         47         30        105         60         53         76        121         65         30         37         10
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
E-MINI S&P 400 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (S&P 400 INDEX X $100)                   
CFTC Code #33874A                                                    Open Interest is   103,853
Positions
    24,425     16,228        439     55,412     63,312      2,387      9,849     13,080        646      1,951      3,181          0      8,744      4,580
 
Changes from:       May 22, 2012                                     Total Change is:    -1,647
    -2,072        -62         64      1,617       -387        185        261      1,833     -1,912        254     -1,322          0        -44        -46
 
Percent of Open Interest Represented by Each Category of Trader
      23.5       15.6        0.4       53.4       61.0        2.3        9.5       12.6        0.6        1.9        3.1        0.0        8.4        4.4
 
Number of Traders in Each Category                                    Total Traders:        90
        13          7          .         31         11         10         10         13          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NASDAQ-100 Consolidated - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 INDEX X $100)                   
CFTC Code #20974+                                                    Open Interest is    98,712
Positions
     7,203     32,399     16,417     26,447      8,932      1,299     21,911     11,969     15,661      1,071      6,316        457      8,245      5,262
 
Changes from:       May 22, 2012                                     Total Change is:    -2,761
      -190     -3,937      2,053     -1,836         36       -191     -2,085       -226       -365       -122        -70         -3        -24        -59
 
Percent of Open Interest Represented by Each Category of Trader
       7.3       32.8       16.6       26.8        9.0        1.3       22.2       12.1       15.9        1.1        6.4        0.5        8.4        5.3
 
Number of Traders in Each Category                                    Total Traders:       217
        19         30         15         32         21         10         49         43         16          8         14          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NASDAQ-100 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 INDEX X $100)                    
CFTC Code #209741                                                    Open Interest is    22,798
Positions
    10,258     12,925        666      1,036          0          0      7,287      8,376          0        329          0          0      3,222        831
 
Changes from:       May 22, 2012                                     Total Change is:       349
       -96        246         10          0          0          0      1,129        123          0          0          0          0       -694        -30
 
Percent of Open Interest Represented by Each Category of Trader
      45.0       56.7        2.9        4.5        0.0        0.0       32.0       36.7        0.0        1.4        0.0        0.0       14.1        3.6
 
Number of Traders in Each Category                                    Total Traders:        26
        11          6          .          .          0          0          .          4          0          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NASDAQ-100 STOCK INDEX (MINI) - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 STOCK INDEX X $20)        
CFTC Code #209742                                                    Open Interest is   379,569
Positions
    61,739    174,384      1,741    127,056     44,661      6,494    147,478     92,321      3,950      5,356     33,223        642     25,113     22,153
 
Changes from:       May 22, 2012                                     Total Change is:   -15,548
     9,459    -10,988        288     -9,179        179       -953     -9,476      4,848     -8,416       -610       -349        -13      3,352       -144
 
Percent of Open Interest Represented by Each Category of Trader
      16.3       45.9        0.5       33.5       11.8        1.7       38.9       24.3        1.0        1.4        8.8        0.2        6.6        5.8
 
Number of Traders in Each Category                                    Total Traders:       216
        19         30          6         32         21         10         48         44         11          8         14          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
RUSSELL 2000 MINI INDEX FUTURE - ICE FUTURES U.S.   (RUSSELL 2000 INDEX X $100.00)                  
CFTC Code #23977A                                                    Open Interest is   441,600
Positions
   203,421     31,935     14,991    130,919    222,317     19,325     50,922    120,668      3,765      2,947     11,311        250     15,060     17,038
 
Changes from:       May 22, 2012                                     Total Change is:     1,927
     4,791      1,821        831        -84        841       -743     -3,646       -465        657        109     -1,576          0         12        561
 
Percent of Open Interest Represented by Each Category of Trader
      46.1        7.2        3.4       29.6       50.3        4.4       11.5       27.3        0.9        0.7        2.6        0.1        3.4        3.9
 
Number of Traders in Each Category                                    Total Traders:       243
        21         15          5         50         44         24         35         60         12          5         13          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NIKKEI STOCK AVERAGE - CHICAGO MERCANTILE EXCHANGE   (NIKKEI INDEX X $5.00)                         
CFTC Code #240741                                                    Open Interest is    34,948
Positions
    12,492        435          0      9,044      1,244        182      3,594      3,251         67      1,880      7,138          0      7,689     22,631
 
Changes from:       May 22, 2012                                     Total Change is:      -147
       357          0          0        -20          0         68       -615       -965         67        146         58          0       -150        625
 
Percent of Open Interest Represented by Each Category of Trader
      35.7        1.2        0.0       25.9        3.6        0.5       10.3        9.3        0.2        5.4       20.4        0.0       22.0       64.8
 
Number of Traders in Each Category                                    Total Traders:        38
         7          .          0         10          .          .          7          .          .          .          4          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NIKKEI STOCK AVERAGE YEN DENOM - CHICAGO MERCANTILE EXCHANGE   (NIKKEI INDEX X JPY 500)             
CFTC Code #240743                                                    Open Interest is    71,235
Positions
    26,234      7,826      1,942      6,061      3,220        867      8,594      2,017      6,309      8,897        223          0     12,331     48,831
 
Changes from:       May 22, 2012                                     Total Change is:     2,615
     1,664         52       -177        136       -329         73       -215       -609       -490      1,163        223          0        461      3,872
 
Percent of Open Interest Represented by Each Category of Trader
      36.8       11.0        2.7        8.5        4.5        1.2       12.1        2.8        8.9       12.5        0.3        0.0       17.3       68.5
 
Number of Traders in Each Category                                    Total Traders:        53
        16         10          4          4          .          .         10          4          .          6          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
MSCI EAFE MINI INDEX - NYSE LIFFE   (MSCI EAFE INDEX X $50)                                         
CFTC Code #244041                                                    Open Interest is    61,963
Positions
       222     15,488        886     45,018     26,692      3,810      7,603     12,447          5        244          0          0      4,175      2,635
 
Changes from:       May 22, 2012                                     Total Change is:       839
         0        479       -323      1,422       -154        214       -662        -34          0          0          0          0        188        657
 
Percent of Open Interest Represented by Each Category of Trader
       0.4       25.0        1.4       72.7       43.1        6.1       12.3       20.1        0.0        0.4        0.0        0.0        6.7        4.3
 
Number of Traders in Each Category                                    Total Traders:        62
         .          5          .         20         21          8          8          6          .          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
MSCI EMERGING MKTS MINI INDEX - NYSE LIFFE   (MSCI EAFE INDEX X $50)                                
CFTC Code #244042                                                    Open Interest is    97,257
Positions
    11,872     32,500      4,129     49,679      6,584      4,703     11,605     40,214         65      5,266      2,899        241      9,697      5,922
 
Changes from:       May 22, 2012                                     Total Change is:       411
    -1,320     -1,484      1,806        386        267        466       -946       -453          0       -641        162         18        642       -371
 
Percent of Open Interest Represented by Each Category of Trader
      12.2       33.4        4.2       51.1        6.8        4.8       11.9       41.3        0.1        5.4        3.0        0.2       10.0        6.1
 
Number of Traders in Each Category                                    Total Traders:        90
         7         19          6         21         11          9         12         10          .          7          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY BONDS - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000 FACE VALUE)                   
CFTC Code #020601                                                    Open Interest is   790,120
Positions
     9,000    192,682     44,370    291,083    147,395     73,044     98,961     77,271     58,257     22,390     38,678      1,785    191,230    156,638
 
Changes from:       May 22, 2012                                     Total Change is:   101,420
    -2,789     19,147     39,321       -239    -10,560     -1,996      3,251        634     41,410     -2,141      2,143      1,719     22,884      9,602
 
Percent of Open Interest Represented by Each Category of Trader
       1.1       24.4        5.6       36.8       18.7        9.2       12.5        9.8        7.4        2.8        4.9        0.2       24.2       19.8
 
Number of Traders in Each Category                                    Total Traders:       155
         5         22         10         36         22         28         30         23         23          5         12          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM U.S. TREASURY BONDS - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000 FACE VALUE)         
CFTC Code #020604                                                    Open Interest is   403,081
Positions
     2,478    136,053     16,555    235,269     10,425     29,440      7,613    100,718     16,226      9,189     20,523          0     86,311     73,141
 
Changes from:       May 22, 2012                                     Total Change is:    43,789
         0     -8,261     15,476     -6,840     -1,966        312     -1,895      4,798     16,170        490      2,110          0     20,076     15,150
 
Percent of Open Interest Represented by Each Category of Trader
       0.6       33.8        4.1       58.4        2.6        7.3        1.9       25.0        4.0        2.3        5.1        0.0       21.4       18.1
 
Number of Traders in Each Category                                    Total Traders:        62
         .          9          6         28          4         18          .         10          6          .          4          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
2-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE   (CONTRACTS OF $200,000 FACE VALUE)            
CFTC Code #042601                                                    Open Interest is   948,559
Positions
    90,806    143,689     14,739    190,602    118,382     62,742    236,592    425,084     32,073    184,513     40,757      5,991    130,501    105,102
 
Changes from:       May 22, 2012                                     Total Change is:   -14,384
    12,987     -9,119     -3,247    -35,614      4,633        734     -9,136     -5,259        349      9,705     -7,345      2,411      7,427      2,459
 
Percent of Open Interest Represented by Each Category of Trader
       9.6       15.1        1.6       20.1       12.5        6.6       24.9       44.8        3.4       19.5        4.3        0.6       13.8       11.1
 
Number of Traders in Each Category                                    Total Traders:       217
        18         19         13         40         27         40         42         35         28         20         15          5
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000 FACE VALUE)           
CFTC Code #043602                                                    Open Interest is 2,147,766
Positions
    79,460    219,477    112,252    836,218    558,945    192,469    295,875    389,708    149,766    104,521    135,532     52,304    324,901    337,313
 
Changes from:       May 22, 2012                                     Total Change is:   136,811
   -32,804    -12,093     13,088     70,027       -666    -19,289    -35,498     10,640     67,018      3,637     16,953     30,739     39,893     30,421
 
Percent of Open Interest Represented by Each Category of Trader
       3.7       10.2        5.2       38.9       26.0        9.0       13.8       18.1        7.0        4.9        6.3        2.4       15.1       15.7
 
Number of Traders in Each Category                                    Total Traders:       262
        15         38         25         24         55         45         42         58         38          7         23          6
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
5-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000 FACE VALUE)            
CFTC Code #044601                                                    Open Interest is 1,311,759
Positions
    91,370    142,180     14,476    231,481    522,862    120,890    288,471    145,873     35,109    265,317     69,377     15,063    249,582    245,929
 
Changes from:       May 22, 2012                                     Total Change is:  -112,051
    14,853       -189    -25,840    -28,961     -3,070    -25,566    -18,024    -15,436    -12,201    -13,015    -11,389     -8,943      5,646     -9,417
 
Percent of Open Interest Represented by Each Category of Trader
       7.0       10.8        1.1       17.6       39.9        9.2       22.0       11.1        2.7       20.2        5.3        1.1       19.0       18.7
 
Number of Traders in Each Category                                    Total Traders:       188
        10         26         15         26         35         34         38         27         25          8         18          7
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE   (CONTRACTS OF $5,000,000)                           
CFTC Code #045601                                                    Open Interest is   539,857
Positions
   192,466    129,503    199,067        885      7,752      4,065     48,679     66,785     63,343      3,965     12,356      5,544     21,843     51,442
 
Changes from:       May 22, 2012                                     Total Change is:       471
    -7,174     -6,687      6,443        -80     -2,270       -128      1,655      7,054       -836      1,745        224       -389       -765     -2,940
 
Percent of Open Interest Represented by Each Category of Trader
      35.7       24.0       36.9        0.2        1.4        0.8        9.0       12.4       11.7        0.7        2.3        1.0        4.0        9.5
 
Number of Traders in Each Category                                    Total Traders:        93
        24         24         43          .          .          .         15         18         25          .          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
3-MONTH EURODOLLARS - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF $1,000,000)                       
CFTC Code #132741                                                    Open Interest is 8,570,861
Positions
 2,253,957  2,141,832  1,940,884    292,668     68,046    219,158    960,909    615,534  1,650,086    201,940    660,227    294,994    756,265    980,100
 
Changes from:       May 22, 2012                                     Total Change is:   -20,274
   -37,880     74,469    -16,710     -9,950    -24,156     17,980     64,898     12,451    -59,184      4,319    -27,259     32,903    -16,650    -30,768
 
Percent of Open Interest Represented by Each Category of Trader
      26.3       25.0       22.6        3.4        0.8        2.6       11.2        7.2       19.3        2.4        7.7        3.4        8.8       11.4
 
Number of Traders in Each Category                                    Total Traders:       255
        38         46         80         13          7         17         51         59         88         12         17         22
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
INTEREST RATE SWAPS 10YR - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000)                         
CFTC Code #246602                                                    Open Interest is     8,429
Positions
     4,057        415          0        632        973          6      1,888      6,411        217      1,340        285          0        289        122
 
Changes from:       May 22, 2012                                     Total Change is:       -35
      -124        140          0          0          0          0        174       -100       -126         -5         70          0         46        -19
 
Percent of Open Interest Represented by Each Category of Trader
      48.1        4.9        0.0        7.5       11.5        0.1       22.4       76.1        2.6       15.9        3.4        0.0        3.4        1.4
 
Number of Traders in Each Category                                    Total Traders:        30
         4          .          0          .          4          .          7          7          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
INTEREST RATE SWAPS 5YR - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000)                          
CFTC Code #247602                                                    Open Interest is     9,640
Positions
     5,997      3,940          0      1,147      1,920         45      2,098      3,333          7         40        366          0        306         29
 
Changes from:       May 22, 2012                                     Total Change is:       599
        34        -62          0          0        -55          0        502        750          7          0        -30          0         56        -11
 
Percent of Open Interest Represented by Each Category of Trader
      62.2       40.9        0.0       11.9       19.9        0.5       21.8       34.6        0.1        0.4        3.8        0.0        3.2        0.3
 
Number of Traders in Each Category                                    Total Traders:        32
         .          5          0          .          5          .          8          7          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
U.S. DOLLAR INDEX - ICE FUTURES U.S.   (U.S. DOLLAR INDEX X $1000)                                  
CFTC Code #098662                                                    Open Interest is    76,744
Positions
    14,220     45,834          0      5,951          0        225     43,230     27,958        603      5,546        468         68      6,901      1,588
 
Changes from:       May 22, 2012                                     Total Change is:     2,251
       157      8,941          0         88        -63          0        599     -6,501         28        439       -242         50        890         38
 
Percent of Open Interest Represented by Each Category of Trader
      18.5       59.7        0.0        7.8        0.0        0.3       56.3       36.4        0.8        7.2        0.6        0.1        9.0        2.1
 
Number of Traders in Each Category                                    Total Traders:       115
         8          .          0          8          0          .         54         14          .         23          4          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
VIX FUTURES - CBOE FUTURES EXCHANGE   ($1000 X INDEX)                                               
CFTC Code #1170E1                                                    Open Interest is   272,588
Positions
   105,595     53,188     30,780     33,946      3,350      6,497     17,083     87,548     26,290      1,309     14,557     29,940     21,148     20,438
 
Changes from:       May 22, 2012                                     Total Change is:   -15,047
   -18,963     -8,789      4,165       -205       -446       -256      5,844    -10,471       -380       -467      4,605     -6,315      1,530      2,840
 
Percent of Open Interest Represented by Each Category of Trader
      38.7       19.5       11.3       12.5        1.2        2.4        6.3       32.1        9.6        0.5        5.3       11.0        7.8        7.5
 
Number of Traders in Each Category                                    Total Traders:       128
        14         13         20         10          7         10         20         38         39          8         10         13
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of May 29, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
DOW JONES UBS EXCESS RETURN - CHICAGO BOARD OF TRADE   ($100 X INDEX)                               
CFTC Code #221602                                                    Open Interest is     8,007
Positions
     1,805        808        307      2,086        971          0      3,125      3,678        594          0      1,638          0         90         11
 
Changes from:       May 22, 2012                                     Total Change is:       858
       347          0          0       -398        -72          0        905        280          0          0        650          0          4          0
 
Percent of Open Interest Represented by Each Category of Trader
      22.5       10.1        3.8       26.1       12.1        0.0       39.0       45.9        7.4        0.0       20.5        0.0        1.1        0.1
 
Number of Traders in Each Category                                    Total Traders:        23
         .          .          .          5          .          0          5          4          .          0          .          0
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Updated June 1, 2012