Traders in Financial Futures - Futures Only Positions as of January 24, 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   117,164
Positions
    33,007      7,177      1,679     17,967     34,670        603     20,025     49,740      4,295      8,559          0          0     31,029     19,000
 
Changes from:       January 17, 2012                                 Total Change is:    -5,937
    -9,305      2,098        263        -29         16        -10     -1,457     -5,682         76        162       -643          0      4,363     -2,055
 
Percent of Open Interest Represented by Each Category of Trader
      28.2        6.1        1.4       15.3       29.6        0.5       17.1       42.5        3.7        7.3        0.0        0.0       26.5       16.2
 
Number of Traders in Each Category                                    Total Traders:        74
         8          8          6          6          4          .         22         16          5         10          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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    39,314
Positions
    10,698      1,602        847        999      1,961        283     16,556     18,271        159        537          0          0      9,235     16,191
 
Changes from:       January 17, 2012                                 Total Change is:    -2,263
    -2,006        127        250          0         -8          8     -2,615        314        143          0          0          0      1,957     -3,097
 
Percent of Open Interest Represented by Each Category of Trader
      27.2        4.1        2.2        2.5        5.0        0.7       42.1       46.5        0.4        1.4        0.0        0.0       23.5       41.2
 
Number of Traders in Each Category                                    Total Traders:        43
         9          4          .          .          4          .          8         16          .          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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   190,040
Positions
   141,799      2,542        349      8,738     81,432      3,265     18,957     67,707      1,099      1,168      2,279          0     14,665     31,367
 
Changes from:       January 17, 2012                                 Total Change is:   -21,378
   -15,562        931        196        -21       -207         23     -7,297    -15,393        -80       -404     -1,306          0      1,767     -5,542
 
Percent of Open Interest Represented by Each Category of Trader
      74.6        1.3        0.2        4.6       42.8        1.7       10.0       35.6        0.6        0.6        1.2        0.0        7.7       16.5
 
Number of Traders in Each Category                                    Total Traders:        92
        12          7          .          5         17          4         14         31          5          .          5          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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   152,061
Positions
       597     61,506        186     65,802     10,329      1,028     61,327     47,906        231      1,841      1,123          0     21,049     29,752
 
Changes from:       January 17, 2012                                 Total Change is:   -16,009
         0    -15,152         36        -31       -447        -61    -12,709     -4,696         55      1,091     -1,080          0     -4,390      5,336
 
Percent of Open Interest Represented by Each Category of Trader
       0.4       40.4        0.1       43.3        6.8        0.7       40.3       31.5        0.2        1.2        0.7        0.0       13.8       19.6
 
Number of Traders in Each Category                                    Total Traders:        89
         .         17          5          8          8          .         19         29          6          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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   315,350
Positions
   143,798     34,421        604     53,651     31,848      4,878     70,651    174,171      1,578      5,995      7,386        526     33,669     59,938
 
Changes from:       January 17, 2012                                 Total Change is:    14,388
     8,519      2,144        195      1,377     -1,239        -27      2,944     16,254        472        -24     -3,457        214        718       -168
 
Percent of Open Interest Represented by Each Category of Trader
      45.6       10.9        0.2       17.0       10.1        1.5       22.4       55.2        0.5        1.9        2.3        0.2       10.7       19.0
 
Number of Traders in Each Category                                    Total Traders:       182
        23         12          5         17         17         11         27         64         13          5         17          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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   139,724
Positions
    10,756     44,789      3,269      3,418     43,938      1,062     92,137     26,502        386        492      2,560         11     28,193     17,207
 
Changes from:       January 17, 2012                                 Total Change is:     4,403
    -5,999      8,608        -65        487       -163         18      8,858     -6,712        363     -1,130      1,679          0      1,871        675
 
Percent of Open Interest Represented by Each Category of Trader
       7.7       32.1        2.3        2.4       31.4        0.8       65.9       19.0        0.3        0.4        1.8        0.0       20.2       12.3
 
Number of Traders in Each Category                                    Total Traders:        88
         .         15          .          .          8          .         34         19          .          .          4          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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   121,114
Positions
    40,620     38,773     71,473          0          0          0      5,497      7,395      3,263          0          0          0        261        210
 
Changes from:       January 17, 2012                                 Total Change is:    -5,207
     7,493     10,493    -15,719          0          0          0      1,067     -1,854      1,971          0          0          0        -19        -98
 
Percent of Open Interest Represented by Each Category of Trader
      33.5       32.0       59.0        0.0        0.0        0.0        4.5        6.1        2.7        0.0        0.0        0.0        0.2        0.2
 
Number of Traders in Each Category                                    Total Traders:        22
         7         10         12          0          0          0          .          .          .          0          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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   142,514
Positions
    68,687     59,777        980     23,815        944        822     42,230     72,180        950      1,081      1,953          0      3,949      4,908
 
Changes from:       January 17, 2012                                 Total Change is:    12,121
      -957      6,675        237     -1,326       -643       -262     12,704      6,646        738          1     -1,375          0        986        105
 
Percent of Open Interest Represented by Each Category of Trader
      48.2       41.9        0.7       16.7        0.7        0.6       29.6       50.6        0.7        0.8        1.4        0.0        2.8        3.4
 
Number of Traders in Each Category                                    Total Traders:        96
         6         13          .          8          .          .         26         31          .          5          4          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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    25,569
Positions
     1,702     16,053        225        101        601          0     19,979      6,569        141        165        342          0      3,256      1,638
 
Changes from:       January 17, 2012                                 Total Change is:     4,614
       186      4,128          0        -82         54          0      4,170        536          0          0       -101          0        340         -3
 
Percent of Open Interest Represented by Each Category of Trader
       6.7       62.8        0.9        0.4        2.4        0.0       78.1       25.7        0.6        0.6        1.3        0.0       12.7        6.4
 
Number of Traders in Each Category                                    Total Traders:        42
         4          9          .          .          .          0         15          9          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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    51,716
Positions
    14,611     33,199        306      3,411      2,394        733     21,885      9,195        165      3,095        574          0      7,512      5,151
 
Changes from:       January 17, 2012                                 Total Change is:       831
      -333        339        -77        304       -359        150      1,571        675       -761        -93        146          0         69        718
 
Percent of Open Interest Represented by Each Category of Trader
      28.3       64.2        0.6        6.6        4.6        1.4       42.3       17.8        0.3        6.0        1.1        0.0       14.5       10.0
 
Number of Traders in Each Category                                    Total Traders:        95
        19         17          .          4          5          .         25         19          5          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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   103,432
Positions
    29,221     66,398        612      6,821      4,787      1,465     43,769     18,390        330      6,190      1,148          0     15,024     10,302
 
Changes from:       January 17, 2012                                 Total Change is:     1,661
      -665        678       -153        608       -717        300      3,142      1,349     -1,522       -186        291          0        137      1,435
 
Percent of Open Interest Represented by Each Category of Trader
      28.3       64.2        0.6        6.6        4.6        1.4       42.3       17.8        0.3        6.0        1.1        0.0       14.5       10.0
 
Number of Traders in Each Category                                    Total Traders:        95
        19         17          .          4          5          .         25         19          5          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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   794,994
Positions
    40,312    184,102     40,265    368,020    191,583     56,517     87,093    144,618     38,769     32,287     33,151      3,890    127,842    102,100
 
Changes from:       January 17, 2012                                 Total Change is:    28,395
       650     21,623      1,986      4,143    -11,977       -363        529     -1,650     11,104      2,652        -82      2,400      5,294      5,353
 
Percent of Open Interest Represented by Each Category of Trader
       5.1       23.2        5.1       46.3       24.1        7.1       11.0       18.2        4.9        4.1        4.2        0.5       16.1       12.8
 
Number of Traders in Each Category                                    Total Traders:       520
        28         55         26        113         62         63         83        113         64         30         35         11
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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   258,281
Positions
    32,151    107,883      1,515    108,704     47,032     11,843     29,241     21,710      1,973      3,243     12,552      1,286     68,325     52,487
 
Changes from:       January 17, 2012                                 Total Change is:    16,513
     7,604     13,003         20       -843     -2,132         81      6,905       -548        395      1,674      1,974        675          2      3,045
 
Percent of Open Interest Represented by Each Category of Trader
      12.4       41.8        0.6       42.1       18.2        4.6       11.3        8.4        0.8        1.3        4.9        0.5       26.5       20.3
 
Number of Traders in Each Category                                    Total Traders:       102
         8         16          5         24         14         12         13         18         11          .          6          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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 2,683,566
Positions
   178,358    518,651     56,195  1,327,814    753,991    192,132    406,258    731,534     66,982    153,059    110,834      5,181    297,587    248,066
 
Changes from:       January 17, 2012                                 Total Change is:    59,412
   -30,403     47,469      5,464     27,133    -47,021     -4,424     13,332     39,699      8,336     12,317     -2,851      1,198     26,459     11,542
 
Percent of Open Interest Represented by Each Category of Trader
       6.6       19.3        2.1       49.5       28.1        7.2       15.1       27.3        2.5        5.7        4.1        0.2       11.1        9.2
 
Number of Traders in Each Category                                    Total Traders:       498
        30         51         17        103         55         57         85        110         53         29         34          8
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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   109,140
Positions
    20,988     20,780          0     52,118     60,464      9,642     13,178      9,071        321      1,717      4,396          0     11,176      4,466
 
Changes from:       January 17, 2012                                 Total Change is:     3,519
    -1,561      6,085          0         49     -4,813      1,181      2,259        641          3          0        353          0      1,588         69
 
Percent of Open Interest Represented by Each Category of Trader
      19.2       19.0        0.0       47.8       55.4        8.8       12.1        8.3        0.3        1.6        4.0        0.0       10.2        4.1
 
Number of Traders in Each Category                                    Total Traders:        90
        10          9          0         31         12         15         14          8          .          .          4          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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    91,118
Positions
     6,281     43,871      8,058     25,340      9,662      1,785     29,386      9,959      6,995      1,596      4,094          0     11,677      6,693
 
Changes from:       January 17, 2012                                 Total Change is:    13,989
       317      7,903      1,957        522        -91         27      6,409        758      2,952        500        -71        -72      1,378        625
 
Percent of Open Interest Represented by Each Category of Trader
       6.9       48.1        8.8       27.8       10.6        2.0       32.3       10.9        7.7        1.8        4.5        0.0       12.8        7.3
 
Number of Traders in Each Category                                    Total Traders:       234
        21         33         11         30         22         10         63         40         15         11         14          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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    16,016
Positions
     6,633      9,794         20          0        300          0      6,680        982          0          0        856          0      2,683      4,064
 
Changes from:       January 17, 2012                                 Total Change is:     4,539
     1,348      2,681          0          0          0          0      2,949        613          0          0        491          0        242        754
 
Percent of Open Interest Represented by Each Category of Trader
      41.4       61.2        0.1        0.0        1.9        0.0       41.7        6.1        0.0        0.0        5.3        0.0       16.8       25.4
 
Number of Traders in Each Category                                    Total Traders:        24
         9          8          .          0          .          0          4          .          0          0          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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   375,509
Positions
    35,782    207,927      2,648    126,700     46,812      8,926    146,708     78,062      1,795      7,978     16,190          2     44,970     13,147
 
Changes from:       January 17, 2012                                 Total Change is:    47,249
     3,305     34,571      1,328      2,608       -455        135     32,030     15,457         29      2,498     -2,810       -362      5,678       -644
 
Percent of Open Interest Represented by Each Category of Trader
       9.5       55.4        0.7       33.7       12.5        2.4       39.1       20.8        0.5        2.1        4.3        0.0       12.0        3.5
 
Number of Traders in Each Category                                    Total Traders:       234
        24         30          .         30         22         10         62         41         11         11         14          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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   408,633
Positions
   159,619     28,139     20,686    118,751    201,264     29,089     52,069     95,472      2,569      8,285     15,046        372     17,193     15,996
 
Changes from:       January 17, 2012                                 Total Change is:     5,019
   -16,422      2,120      6,603      4,329     -5,340        663      6,021      1,760        554      4,345       -701        219     -1,293       -859
 
Percent of Open Interest Represented by Each Category of Trader
      39.1        6.9        5.1       29.1       49.3        7.1       12.7       23.4        0.6        2.0        3.7        0.1        4.2        3.9
 
Number of Traders in Each Category                                    Total Traders:       249
        23         11          4         47         42         26         40         58         10          9         19          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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    22,907
Positions
     5,090        695          0      8,079      1,595         54      3,543      5,369          0        600      4,586          0      5,541     10,608
 
Changes from:       January 17, 2012                                 Total Change is:      -465
      -109        408          0        994        358          0       -995     -1,590         -3       -217        555          0       -135       -193
 
Percent of Open Interest Represented by Each Category of Trader
      22.2        3.0        0.0       35.3        7.0        0.2       15.5       23.4        0.0        2.6       20.0        0.0       24.2       46.3
 
Number of Traders in Each Category                                    Total Traders:        36
         5          .          0          9          .          .          8          7          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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    43,607
Positions
    14,543      7,246        822      6,473      2,964        951      8,504      2,179      3,193      2,009          0          0      7,112     26,252
 
Changes from:       January 17, 2012                                 Total Change is:     4,898
      -933        692         97       -732       -270        247      3,329       -513        923        132          0          0      1,835      3,722
 
Percent of Open Interest Represented by Each Category of Trader
      33.4       16.6        1.9       14.8        6.8        2.2       19.5        5.0        7.3        4.6        0.0        0.0       16.3       60.2
 
Number of Traders in Each Category                                    Total Traders:        51
        12         10          .          6          .          4         12          5          .          4          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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    46,314
Positions
       428      4,306         89     33,542     23,819      4,713      2,800     11,221        165          0          0          0      4,577      2,001
 
Changes from:       January 17, 2012                                 Total Change is:       722
      -250         -1         24       -210        363        503        291         -1        161          0          0          0        203       -327
 
Percent of Open Interest Represented by Each Category of Trader
       0.9        9.3        0.2       72.4       51.4       10.2        6.0       24.2        0.4        0.0        0.0        0.0        9.9        4.3
 
Number of Traders in Each Category                                    Total Traders:        51
         .          .          .         17         20         10          .          7          .          0          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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    68,109
Positions
    10,148     21,610         22     35,782     25,240      2,342      8,066     15,591        595      4,135        562        598      6,421      1,549
 
Changes from:       January 17, 2012                                 Total Change is:    -1,655
    -4,146     -1,685         22      1,891      1,551       -274        941        334         26        802       -247        -22       -895     -1,360
 
Percent of Open Interest Represented by Each Category of Trader
      14.9       31.7        0.0       52.5       37.1        3.4       11.8       22.9        0.9        6.1        0.8        0.9        9.4        2.3
 
Number of Traders in Each Category                                    Total Traders:        82
         9         13          .         17          9          7         14          9          .          9          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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   624,696
Positions
    30,331     95,556      3,034    293,048    113,133     98,230     47,216    108,890      7,056      9,325     66,733         36    136,420    132,028
 
Changes from:       January 17, 2012                                 Total Change is:   -16,689
    13,100    -32,704        876     -5,730      3,432      5,739     -6,975     -1,135       -239    -12,103     -2,219         36    -11,393      9,525
 
Percent of Open Interest Represented by Each Category of Trader
       4.9       15.3        0.5       46.9       18.1       15.7        7.6       17.4        1.1        1.5       10.7        0.0       21.8       21.1
 
Number of Traders in Each Category                                    Total Traders:       162
        11         18         10         45         19         35         29         28         18          .          9          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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   372,317
Positions
     4,825    148,027        675    275,259     27,287     29,271      1,872    117,802        277          0      1,611          0     60,138     47,367
 
Changes from:       January 17, 2012                                 Total Change is:    -2,201
         0     -4,061       -130       -886        -46          5          0     -1,116         61          0      1,611          0     -1,251      1,475
 
Percent of Open Interest Represented by Each Category of Trader
       1.3       39.8        0.2       73.9        7.3        7.9        0.5       31.6        0.1        0.0        0.4        0.0       16.2       12.7
 
Number of Traders in Each Category                                    Total Traders:        66
         .          9          5         36          6         19          .         11          .          0          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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   845,260
Positions
    77,688    151,070      1,908    157,845    166,825     75,015    335,704    287,647     12,191     61,985     49,103        587    122,337    100,914
 
Changes from:       January 17, 2012                                 Total Change is:    57,848
     4,471     22,106         -5      8,961    -13,237        884     79,650     39,078     -1,273    -37,103     11,372       -287      2,550       -790
 
Percent of Open Interest Represented by Each Category of Trader
       9.2       17.9        0.2       18.7       19.7        8.9       39.7       34.0        1.4        7.3        5.8        0.1       14.5       11.9
 
Number of Traders in Each Category                                    Total Traders:       217
        11         29          5         33         39         40         40         38         15          9         18          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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 1,708,405
Positions
   143,199     89,758     19,320    703,647    810,959    146,896    336,619    151,021     41,109     57,093     94,252      3,870    256,652    351,220
 
Changes from:       January 17, 2012                                 Total Change is:    20,012
    63,833    -61,720      1,568    -14,096     91,465     -6,306     43,355    -28,078     -5,085    -31,315      8,295       -567    -31,375     20,440
 
Percent of Open Interest Represented by Each Category of Trader
       8.4        5.3        1.1       41.2       47.5        8.6       19.7        8.8        2.4        3.3        5.5        0.2       15.0       20.6
 
Number of Traders in Each Category                                    Total Traders:       251
        29         22         14         29         56         43         47         42         34          9         17          6
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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 1,446,476
Positions
    65,940    208,761      8,399    503,010    623,876    148,904    269,994    123,360     20,403    199,028     79,077     10,120    220,678    223,576
 
Changes from:       January 17, 2012                                 Total Change is:    21,276
    11,956    -11,942      1,533     61,832     31,107     -5,915    -10,460     -2,653      1,689    -32,425    -11,940     10,120    -17,054      9,277
 
Percent of Open Interest Represented by Each Category of Trader
       4.6       14.4        0.6       34.8       43.1       10.3       18.7        8.5        1.4       13.8        5.5        0.7       15.3       15.5
 
Number of Traders in Each Category                                    Total Traders:       179
         9         28          5         22         41         39         35         21         17          8         15          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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   530,229
Positions
   156,747    221,449    176,230        905      1,040      3,974     82,643     23,905     51,670      8,677      4,850      7,996     41,387     39,115
 
Changes from:       January 17, 2012                                 Total Change is:     9,549
      -271     -3,928      9,096     -2,000          0      2,000     -7,201     -5,411      4,315        621         -5       -347      3,336      3,829
 
Percent of Open Interest Represented by Each Category of Trader
      29.6       41.8       33.2        0.2        0.2        0.7       15.6        4.5        9.7        1.6        0.9        1.5        7.8        7.4
 
Number of Traders in Each Category                                    Total Traders:        86
        21         21         32          .          .          .         21          9         21          4          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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 7,864,081
Positions
 1,098,226  2,331,325  1,799,571  1,373,860    225,034     84,760    901,472    521,215  1,449,700     94,243    342,260    168,186    894,063    942,030
 
Changes from:       January 17, 2012                                 Total Change is:    30,278
   -19,271      8,359    -27,273    -77,574    112,891     -6,327    132,304    -12,821     -6,902     -6,375     -8,291        142     41,554    -29,500
 
Percent of Open Interest Represented by Each Category of Trader
      14.0       29.6       22.9       17.5        2.9        1.1       11.5        6.6       18.4        1.2        4.4        2.1       11.4       12.0
 
Number of Traders in Each Category                                    Total Traders:       249
        28         57         79         11          7         12         58         52         84          8         12         13
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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     9,664
Positions
     5,329      3,147          0      1,553        780         11      1,212      5,471         30      1,302        160          0        227         65
 
Changes from:       January 17, 2012                                 Total Change is:       199
        25        449          0        -61         -4          0        193       -224          0         55          0          0        -13        -22
 
Percent of Open Interest Represented by Each Category of Trader
      55.1       32.6        0.0       16.1        8.1        0.1       12.5       56.6        0.3       13.5        1.7        0.0        2.3        0.7
 
Number of Traders in Each Category                                    Total Traders:        29
         .          .          0          .          4          .          5          8          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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    12,575
Positions
     9,017      7,881          0      1,236      1,666          0      1,926      2,606          0         80        305          0        316        117
 
Changes from:       January 17, 2012                                 Total Change is:       147
       -23        486          0         -2       -132          0        237       -129          0         10          0          0        -75        -78
 
Percent of Open Interest Represented by Each Category of Trader
      71.7       62.7        0.0        9.8       13.2        0.0       15.3       20.7        0.0        0.6        2.4        0.0        2.5        0.9
 
Number of Traders in Each Category                                    Total Traders:        34
         4          5          0          .          4          0          8          7          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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    64,148
Positions
    21,236     31,637          0      5,103        360        514     22,691     28,032      1,494      5,351        452          0      7,759      1,659
 
Changes from:       January 17, 2012                                 Total Change is:    -4,335
       660     -1,924          0     -1,740          0         35     -2,085     -2,688        964       -132        122         -1     -2,036       -843
 
Percent of Open Interest Represented by Each Category of Trader
      33.1       49.3        0.0        8.0        0.6        0.8       35.4       43.7        2.3        8.3        0.7        0.0       12.1        2.6
 
Number of Traders in Each Category                                    Total Traders:       109
         4          5          0          8          .          .         46         12          6         27          5          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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   151,622
Positions
    60,049     33,697     25,455      9,515      1,991      1,340     12,006     45,143      9,372      1,129      6,274     24,959      7,797      3,391
 
Changes from:       January 17, 2012                                 Total Change is:    -2,679
     9,391      1,194     -4,915        872       -137        690      3,346     10,557     -6,121       -130      2,232      9,452    -15,264    -15,631
 
Percent of Open Interest Represented by Each Category of Trader
      39.6       22.2       16.8        6.3        1.3        0.9        7.9       29.8        6.2        0.7        4.1       16.5        5.1        2.2
 
Number of Traders in Each Category                                    Total Traders:        78
        13          9         16          7          4          .         16         16         19          7          4          6
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 24, 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    16,354
Positions
    11,618      1,525          0      1,649        950        430      1,823     11,810        168          0      1,149        309        357         13
 
Changes from:       January 17, 2012                                 Total Change is:       206
      -109       -388          0         -6         26          0        165        570          0          0        -67         67         89         -2
 
Percent of Open Interest Represented by Each Category of Trader
      71.0        9.3        0.0       10.1        5.8        2.6       11.1       72.2        1.0        0.0        7.0        1.9        2.2        0.1
 
Number of Traders in Each Category                                    Total Traders:        24
         .          .          0          4          .          .          .          8          .          0          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
 

Updated January 27, 2012