```
Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
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              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   :
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CANADIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF CAD 100,000)                          
CFTC Code #090741                                                    Open Interest is   173,429
Positions
    43,148     20,858     35,074     18,197     34,905        450     30,841     48,233      9,301      9,342      1,506          0     27,076     23,102
 
Changes from:       December 6, 2011                                 Total Change is:    23,103
        32       -189     22,562     -1,663         -8          1     -1,303     -1,195      2,708        643       -418        -24        147       -334
 
Percent of Open Interest Represented by Each Category of Trader
      24.9       12.0       20.2       10.5       20.1        0.3       17.8       27.8        5.4        5.4        0.9        0.0       15.6       13.3
 
Number of Traders in Each Category                                    Total Traders:        72
         8         13         12          5          4          .         12         16          7         11          .          0
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Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
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              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   :
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SWISS FRANC - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF CHF 125,000)                              
CFTC Code #092741                                                    Open Interest is    56,102
Positions
    20,020      5,823      7,164        999        912        203     15,244     15,340      5,496          0        424          0      6,976     20,740
 
Changes from:       December 6, 2011                                 Total Change is:    13,554
     2,456       -614      5,987          0          5          0      1,433        468      4,800          0        -40          0     -1,122      2,948
 
Percent of Open Interest Represented by Each Category of Trader
      35.7       10.4       12.8        1.8        1.6        0.4       27.2       27.3        9.8        0.0        0.8        0.0       12.4       37.0
 
Number of Traders in Each Category                                    Total Traders:        42
         8          8          7          .          .          .          5         17          5          0          .          0
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Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
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              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   :
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BRITISH POUND STERLING - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF GBP 62,500)                    
CFTC Code #096742                                                    Open Interest is   218,203
Positions
   150,290      1,728     12,135      7,652     78,537      3,362     22,473     82,177      7,451      3,103      2,978          0     11,737     29,835
 
Changes from:       December 6, 2011                                 Total Change is:     8,689
    -5,798     -2,273     11,188       -603     -1,119        278     -1,002     -5,863      6,287     -1,205        175          0       -456         16
 
Percent of Open Interest Represented by Each Category of Trader
      68.9        0.8        5.6        3.5       36.0        1.5       10.3       37.7        3.4        1.4        1.4        0.0        5.4       13.7
 
Number of Traders in Each Category                                    Total Traders:        92
        15          6         10          4         15          4         15         29         16          4          .          0
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Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
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              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   :
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JAPANESE YEN - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF JPY 12,500,000)                          
CFTC Code #097741                                                    Open Interest is   204,818
Positions
    18,117    118,137     24,440     63,825     10,571        836     65,328     10,219     11,949      2,152      1,850          0     18,171     26,816
 
Changes from:       December 6, 2011                                 Total Change is:    26,193
    -1,202       -807     15,405        595        469       -615         16     -1,832     11,785        867       -183          0       -658      1,971
 
Percent of Open Interest Represented by Each Category of Trader
       8.8       57.7       11.9       31.2        5.2        0.4       31.9        5.0        5.8        1.1        0.9        0.0        8.9       13.1
 
Number of Traders in Each Category                                    Total Traders:        79
         6         12         10          7          7          .         22         18         10          .          .          0
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Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
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              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   :
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EURO FX - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF EUR 125,000)                                  
CFTC Code #099741                                                    Open Interest is   327,740
Positions
   109,062     57,504     16,708     50,842     32,802      5,886     77,262    124,484     19,053     15,312     10,219      1,404     32,211     59,680
 
Changes from:       December 6, 2011                                 Total Change is:    44,431
     8,548     -2,326      9,772     -6,319       -134      2,227     10,737     20,054     15,341      1,089     -3,079        296      2,740      2,280
 
Percent of Open Interest Represented by Each Category of Trader
      33.3       17.5        5.1       15.5       10.0        1.8       23.6       38.0        5.8        4.7        3.1        0.4        9.8       18.2
 
Number of Traders in Each Category                                    Total Traders:       179
        22         14          9         15         20         11         24         62         18          7         15          .
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Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
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              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   :
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AUSTRALIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF AUD 100,000)                        
CFTC Code #232741                                                    Open Interest is   153,296
Positions
    46,518     49,738     14,208      2,572     41,781        926     60,210     26,385      2,651      7,301        674         22     18,888     16,911
 
Changes from:       December 6, 2011                                 Total Change is:    10,489
    -4,000      3,547      8,069          0         89         18      6,131        940     -1,425        709       -889         13        974        127
 
Percent of Open Interest Represented by Each Category of Trader
      30.3       32.4        9.3        1.7       27.3        0.6       39.3       17.2        1.7        4.8        0.4        0.0       12.3       11.0
 
Number of Traders in Each Category                                    Total Traders:        83
        12         12          9          .          6          .         18         26          5          5          .          .
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Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
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              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   :
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RUSSIAN RUBLE - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF RUB 2,500,000)                          
CFTC Code #089741                                                    Open Interest is   128,111
Positions
    42,703     35,727     76,980          0          0          0      4,067     11,065      1,507          0          0          0      2,854      2,832
 
Changes from:       December 6, 2011                                 Total Change is:    19,867
   -19,597    -20,541     39,573          0          0          0       -836       -523        218          0          0          0        509      1,140
 
Percent of Open Interest Represented by Each Category of Trader
      33.3       27.9       60.1        0.0        0.0        0.0        3.2        8.6        1.2        0.0        0.0        0.0        2.2        2.2
 
Number of Traders in Each Category                                    Total Traders:        20
         8          9         14          0          0          0          .          .          .          0          0          0
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Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
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              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   :
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MEXICAN PESO - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF MXN 500,000)                             
CFTC Code #095741                                                    Open Interest is   125,833
Positions
    70,222     44,230      8,311     18,840      2,068        812     17,060     54,557      6,913        719      3,570        127      2,829      5,245
 
Changes from:       December 6, 2011                                 Total Change is:    -4,398
      -731     -5,187     -3,265        -55       -159        192       -886      4,917        199        121        -42       -209        236       -844
 
Percent of Open Interest Represented by Each Category of Trader
      55.8       35.1        6.6       15.0        1.6        0.6       13.6       43.4        5.5        0.6        2.8        0.1        2.2        4.2
 
Number of Traders in Each Category                                    Total Traders:        96
         7         12          6          6          5          .         21         31         11          4          6          .
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Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
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              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   :
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NEW ZEALAND DOLLAR - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF NZD 100,000)                       
CFTC Code #112741                                                    Open Interest is    28,686
Positions
    15,677     18,557        400          0        261          0     10,126      5,990        495        165        514          0      1,823      2,469
 
Changes from:       December 6, 2011                                 Total Change is:     1,089
      -183        931        196          0        -33          0        403       -617        325          0         29          0        348        258
 
Percent of Open Interest Represented by Each Category of Trader
      54.7       64.7        1.4        0.0        0.9        0.0       35.3       20.9        1.7        0.6        1.8        0.0        6.4        8.6
 
Number of Traders in Each Category                                    Total Traders:        41
         8          9          5          0          .          0          5         14          4          .          .          0
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Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
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              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   :
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DJIA Consolidated - CHICAGO BOARD OF TRADE   ($10 X DJIA INDEX)                                     
CFTC Code #12460+                                                    Open Interest is   106,167
Positions
    24,853     39,489     35,998      3,846      2,821         85     18,052      5,671      9,146      2,073      1,331      3,136      8,981      8,493
 
Changes from:       December 6, 2011                                 Total Change is:    39,424
     1,511      4,572     27,102         39          7       -278      2,389       -160      6,084        -34        -37      1,402      1,210        732
 
Percent of Open Interest Represented by Each Category of Trader
      23.4       37.2       33.9        3.6        2.7        0.1       17.0        5.3        8.6        2.0        1.3        3.0        8.5        8.0
 
Number of Traders in Each Category                                    Total Traders:       100
        20         15         21          6          7          .         22         18         22          .          .          .
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Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
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              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   :
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DOW JONES INDUSTRIAL AVERAGE - CHICAGO BOARD OF TRADE   ($10 X DJIA INDEX)                          
CFTC Code #124601                                                    Open Interest is    26,816
Positions
    13,877     13,612      3,704        597        292          0      1,287      1,987      2,555      1,344          0      1,721      1,731      2,945
 
Changes from:       December 6, 2011                                 Total Change is:     8,096
       500      1,000      3,439          0          0          0        220       -468      2,507          0          0      1,331         99        287
 
Percent of Open Interest Represented by Each Category of Trader
      51.7       50.8       13.8        2.2        1.1        0.0        4.8        7.4        9.5        5.0        0.0        6.4        6.5       11.0
 
Number of Traders in Each Category                                    Total Traders:        25
         8          4          9          .          .          0          5          4          7          .          0          .
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Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
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              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   :
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DOW JONES INDUSTRIAL AVG- x $5 - CHICAGO BOARD OF TRADE   ($5 X DJIA INDEX)                         
CFTC Code #124603                                                    Open Interest is   158,702
Positions
    40,061     69,862     46,479      6,497      5,057        169     39,890     13,728      6,820      4,146      5,350        141     14,499     11,096
 
Changes from:       December 6, 2011                                 Total Change is:    62,656
     3,869      8,991     45,479         78         14       -555      4,763      1,042      6,727        -67        -73        141      2,221        890
 
Percent of Open Interest Represented by Each Category of Trader
      25.2       44.0       29.3        4.1        3.2        0.1       25.1        8.7        4.3        2.6        3.4        0.1        9.1        7.0
 
Number of Traders in Each Category                                    Total Traders:        97
        20         15         14          5          6          .         24         20         21          .          .          .
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Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
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              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   :
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S&P 500 Consolidated - CHICAGO MERCANTILE EXCHANGE   (S&P 500 INDEX X $250.00)                      
CFTC Code #13874+                                                    Open Interest is 1,023,384
Positions
    93,917    158,403    147,798    350,071    215,366     69,822     99,693    163,845     91,953     19,485     39,467     10,836    139,809    125,894
 
Changes from:       December 6, 2011                                 Total Change is:    96,391
     1,362     -9,545     49,789      1,153     15,121      1,718      8,721      7,412     18,494      3,619      2,437      5,145      6,390      5,821
 
Percent of Open Interest Represented by Each Category of Trader
       9.2       15.5       14.4       34.2       21.0        6.8        9.7       16.0        9.0        1.9        3.9        1.1       13.7       12.3
 
Number of Traders in Each Category                                    Total Traders:       554
        33         55         50        106         74         68         89        122         94         30         45         16
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Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
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              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   :
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S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (S&P 500 INDEX X $250.00)                       
CFTC Code #138741                                                    Open Interest is   342,167
Positions
    65,956    108,069     27,786    102,290     46,511     14,011     38,826     65,181      5,639      4,066     11,556        477     83,116     62,937
 
Changes from:       December 6, 2011                                 Total Change is:    18,587
    11,368        468      7,832      1,763      3,551      1,913     -2,471     -2,794      1,651      1,305       -723       -461     -4,313      7,150
 
Percent of Open Interest Represented by Each Category of Trader
      19.3       31.6        8.1       29.9       13.6        4.1       11.3       19.0        1.6        1.2        3.4        0.1       24.3       18.4
 
Number of Traders in Each Category                                    Total Traders:       122
        13         15         14         26         14         13         16         30         22          .          6          .
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Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
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              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   :
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E-MINI S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   ($50 X S&P 500 INDEX)                    
CFTC Code #13874A                                                    Open Interest is 3,406,086
Positions
   461,208    573,074    278,659  1,268,586    873,954    249,374    559,634    748,621    176,272     78,121    140,580     50,769    283,463    314,783
 
Changes from:       December 6, 2011                                 Total Change is:   389,022
     2,186      2,149    157,570        383     61,282     -4,408     33,044     28,111    107,131     -1,708      2,523     41,310     53,514     -6,646
 
Percent of Open Interest Represented by Each Category of Trader
      13.5       16.8        8.2       37.2       25.7        7.3       16.4       22.0        5.2        2.3        4.1        1.5        8.3        9.2
 
Number of Traders in Each Category                                    Total Traders:       526
        36         51         42         94         68         61         92        115         81         29         41         14
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Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
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              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   :
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E-MINI S&P 400 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (S&P 400 INDEX X $100)                   
CFTC Code #33874A                                                    Open Interest is   132,247
Positions
    30,241     20,552      7,100     52,209     63,369     10,180     18,642     15,840      3,454      1,422      6,731          0      8,999      5,021
 
Changes from:       December 6, 2011                                 Total Change is:    15,097
     4,086        866      7,099      3,169      2,204        239       -147      1,274      3,422       -218         16        -25     -2,528          2
 
Percent of Open Interest Represented by Each Category of Trader
      22.9       15.5        5.4       39.5       47.9        7.7       14.1       12.0        2.6        1.1        5.1        0.0        6.8        3.8
 
Number of Traders in Each Category                                    Total Traders:        92
        11         10         12         30         14         14          9         12          5          .          .          0
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Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
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              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   :
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NASDAQ-100 Consolidated - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 INDEX X $100)                   
CFTC Code #20974+                                                    Open Interest is   114,413
Positions
    20,109     40,160     19,778     22,640     10,825      1,640     18,866      9,362      9,569      1,472      3,814      1,020     19,319     18,245
 
Changes from:       December 6, 2011                                 Total Change is:    20,204
      -854      2,007      8,883      1,825      1,439        404      3,436         73      4,415        497       -291        970        628      2,304
 
Percent of Open Interest Represented by Each Category of Trader
      17.6       35.1       17.3       19.8        9.5        1.4       16.5        8.2        8.4        1.3        3.3        0.9       16.9       15.9
 
Number of Traders in Each Category                                    Total Traders:       217
        24         27         23         30         24         12         49         42         25          7         12          4
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Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   :
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NASDAQ-100 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 INDEX X $100)                    
CFTC Code #209741                                                    Open Interest is    31,870
Positions
    11,794     23,478        154          0        300          0      4,574      4,246        374          0      2,112          0     14,974      1,206
 
Changes from:       December 6, 2011                                 Total Change is:     1,982
      -903      1,228         32          0          0          0      1,593        246        374          0          0        -50        936        152
 
Percent of Open Interest Represented by Each Category of Trader
      37.0       73.7        0.5        0.0        0.9        0.0       14.4       13.3        1.2        0.0        6.6        0.0       47.0        3.8
 
Number of Traders in Each Category                                    Total Traders:        24
         8          8          .          0          .          0          .          .          .          0          .          0
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Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   412,713
Positions
    99,212    141,050     40,483    113,201     52,625      8,199    103,754     57,873     13,681      7,359      8,509      5,100     21,724     85,193
 
Changes from:       December 6, 2011                                 Total Change is:    91,111
     8,535     12,185     35,966      9,125      7,197      2,021     17,166      7,085     12,254      2,486     -1,455      5,100     -1,542     10,758
 
Percent of Open Interest Represented by Each Category of Trader
      24.0       34.2        9.8       27.4       12.8        2.0       25.1       14.0        3.3        1.8        2.1        1.2        5.3       20.6
 
Number of Traders in Each Category                                    Total Traders:       217
        25         26         17         30         24         12         49         42         23          7         12          4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   465,246
Positions
   213,315     29,244     36,833    108,667    213,960     27,974     47,574    104,172      7,464      2,675     24,715      1,918     18,826     18,966
 
Changes from:       December 6, 2011                                 Total Change is:    20,703
    -2,122     -3,026     12,145      3,765      5,289     -2,256       -303      1,237      4,901      1,050        831      1,906      1,617       -324
 
Percent of Open Interest Represented by Each Category of Trader
      45.8        6.3        7.9       23.4       46.0        6.0       10.2       22.4        1.6        0.6        5.3        0.4        4.0        4.1
 
Number of Traders in Each Category                                    Total Traders:       242
        25          9         12         41         50         26         32         60         19          7         17          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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    22,552
Positions
     6,262          0          0      7,259      1,649         82      3,542      8,295          0        216      3,896          0      5,191      8,630
 
Changes from:       December 6, 2011                                 Total Change is:    -8,124
    -3,063     -2,066     -1,071       -232     -1,099          0     -1,125      4,550     -1,514          0     -1,080          0     -1,119     -5,844
 
Percent of Open Interest Represented by Each Category of Trader
      27.8        0.0        0.0       32.2        7.3        0.4       15.7       36.8        0.0        1.0       17.3        0.0       23.0       38.3
 
Number of Traders in Each Category                                    Total Traders:        34
         6          0          0          8          4          .          7          6          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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    30,842
Positions
     9,191      6,887        916      5,644      4,285        411      7,005      1,754         54      1,100        250          0      6,521     16,285
 
Changes from:       December 6, 2011                                 Total Change is:   -19,212
   -11,587       -303     -3,653     -2,087      1,598     -1,823      3,745     -6,116     -1,564     -2,109        170       -220         86     -7,301
 
Percent of Open Interest Represented by Each Category of Trader
      29.8       22.3        3.0       18.3       13.9        1.3       22.7        5.7        0.2        3.6        0.8        0.0       21.1       52.8
 
Number of Traders in Each Category                                    Total Traders:        39
         8          8          .          5          .          .          7          5          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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    50,830
Positions
     3,595      4,111      3,716     27,132     24,048      4,397      4,863     10,002      1,380        205          0          0      5,542      3,176
 
Changes from:       December 6, 2011                                 Total Change is:     6,658
      -190        958      3,483     -1,804      1,305         71      1,863     -1,433      1,376        205          0          0      1,654        898
 
Percent of Open Interest Represented by Each Category of Trader
       7.1        8.1        7.3       53.4       47.3        8.7        9.6       19.7        2.7        0.4        0.0        0.0       10.9        6.2
 
Number of Traders in Each Category                                    Total Traders:        54
         .          4          .         16         20          9          8          4          4          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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    85,838
Positions
    15,622     24,062        842     28,066     24,694      2,193      8,286      7,473      5,604      2,153      2,695      1,777     21,295     16,498
 
Changes from:       December 6, 2011                                 Total Change is:    19,065
       726      1,449        746         86       -447        210       -387      1,618      3,903        -20        -32        356     13,445     11,262
 
Percent of Open Interest Represented by Each Category of Trader
      18.2       28.0        1.0       32.7       28.8        2.6        9.7        8.7        6.5        2.5        3.1        2.1       24.8       19.2
 
Number of Traders in Each Category                                    Total Traders:        70
        12         11          4         12          9          7         11          6          4          6          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   601,710
Positions
    18,024    104,632      4,112    291,645    108,428     98,102     39,904     88,891      4,415      9,329     65,724          0    136,179    127,406
 
Changes from:       December 6, 2011                                 Total Change is:     9,849
    -2,951     11,662     -4,218     15,406      1,825      3,641     -2,321     -2,892     -1,826       -183      2,562          0      2,301       -905
 
Percent of Open Interest Represented by Each Category of Trader
       3.0       17.4        0.7       48.5       18.0       16.3        6.6       14.8        0.7        1.6       10.9        0.0       22.6       21.2
 
Number of Traders in Each Category                                    Total Traders:       140
         7         18          9         41         21         32         23         19         13          .          9          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   381,228
Positions
     5,119    154,084      4,576    266,825     17,369     37,190      1,837    121,649      3,157          0          0          0     62,524     43,203
 
Changes from:       December 6, 2011                                 Total Change is:   -24,193
       -56     -6,927     -3,596     -6,411      1,682     -3,381          0     -4,677    -10,411          0          0          0       -338      3,117
 
Percent of Open Interest Represented by Each Category of Trader
       1.3       40.4        1.2       70.0        4.6        9.8        0.5       31.9        0.8        0.0        0.0        0.0       16.4       11.3
 
Number of Traders in Each Category                                    Total Traders:        69
         .         12          4         36          7         21          .         11          .          0          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   720,971
Positions
    69,647     88,016     15,258    134,846    174,236     68,219    264,802    217,396     22,564     42,032     34,445        587    103,016    100,250
 
Changes from:       December 6, 2011                                 Total Change is:    51,605
    -5,419     22,111       -778     -2,258     -1,977       -336     58,949     37,168     -7,443      6,257      4,347          0      2,633     -1,487
 
Percent of Open Interest Represented by Each Category of Trader
       9.7       12.2        2.1       18.7       24.2        9.5       36.7       30.2        3.1        5.8        4.8        0.1       14.3       13.9
 
Number of Traders in Each Category                                    Total Traders:       206
        11         25         10         30         45         38         31         40         22         10         14          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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 1,452,990
Positions
    67,286    124,295     24,259    592,603    606,088    173,187    227,416    116,192     44,054     32,259     82,163      1,907    290,019    280,845
 
Changes from:       December 6, 2011                                 Total Change is:    46,090
    -1,835     12,689     -1,084     54,947     47,674    -14,950     31,968     32,619    -29,852    -10,159       -967         -5     17,060        -34
 
Percent of Open Interest Represented by Each Category of Trader
       4.6        8.6        1.7       40.8       41.7       11.9       15.7        8.0        3.0        2.2        5.7        0.1       20.0       19.3
 
Number of Traders in Each Category                                    Total Traders:       228
        17         27         18         33         55         48         42         37         26          4         13          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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 1,314,506
Positions
    78,241    156,740     10,352    381,702    480,197    157,663    198,733    169,920     61,634    198,216     71,983          0    227,965    206,017
 
Changes from:       December 6, 2011                                 Total Change is:    70,145
    -4,189     29,111     -5,388     27,503     28,013      5,852     23,688     17,982     -2,974      5,268      8,151          0     20,385    -10,602
 
Percent of Open Interest Represented by Each Category of Trader
       6.0       11.9        0.8       29.0       36.5       12.0       15.1       12.9        4.7       15.1        5.5        0.0       17.3       15.7
 
Number of Traders in Each Category                                    Total Traders:       171
         9         28          9         23         39         38         27         27         11          6         12          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   573,418
Positions
   196,601    248,594    181,444      3,266      3,667      3,570     91,902     36,083     48,878     10,706      5,008      8,591     28,460     37,583
 
Changes from:       December 6, 2011                                 Total Change is:    13,465
    -9,000      7,383      9,884       -250          0          0     10,170        -79        498        552       -709        544      1,067     -4,056
 
Percent of Open Interest Represented by Each Category of Trader
      34.3       43.4       31.6        0.6        0.6        0.6       16.0        6.3        8.5        1.9        0.9        1.5        5.0        6.6
 
Number of Traders in Each Category                                    Total Traders:       104
        22         28         40          .          .          .         24         14         21          .          4          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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 8,677,126
Positions
 1,569,772  2,777,629  1,739,128  1,848,744     61,292    105,907    652,013    679,218  1,662,679    123,413    467,898    177,228    798,242  1,006,147
 
Changes from:       December 6, 2011                                 Total Change is:   181,647
    46,450     83,765     34,024    -66,123      5,410    -48,256     37,444     26,065     88,276     21,587     -9,704      2,307     65,938       -240
 
Percent of Open Interest Represented by Each Category of Trader
      18.1       32.0       20.0       21.3        0.7        1.2        7.5        7.8       19.2        1.4        5.4        2.0        9.2       11.6
 
Number of Traders in Each Category                                    Total Traders:       253
        32         59         86         12          7         13         41         64         87          9         14         17
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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    11,784
Positions
     6,602      2,987          0      1,547        782         11      1,034      6,630        336      1,174        160          0      1,080        878
 
Changes from:       December 6, 2011                                 Total Change is:       757
       308       -580          0         12        -50          4          2      1,033       -420         40          0          0        811        770
 
Percent of Open Interest Represented by Each Category of Trader
      56.0       25.3        0.0       13.1        6.6        0.1        8.8       56.3        2.9       10.0        1.4        0.0        9.2        7.5
 
Number of Traders in Each Category                                    Total Traders:        28
         .          .          0          .          4          .          4          9          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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    14,300
Positions
    10,424      6,703        190      1,367      2,187          0        926      3,737        969         40        305          0        384        209
 
Changes from:       December 6, 2011                                 Total Change is:       531
      -660        -69          0          0        102          0        246       -483        969          0          0          0        -24         12
 
Percent of Open Interest Represented by Each Category of Trader
      72.9       46.9        1.3        9.6       15.3        0.0        6.5       26.1        6.8        0.3        2.1        0.0        2.7        1.5
 
Number of Traders in Each Category                                    Total Traders:        30
         4          4          .          .          5          0          6          7          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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    66,540
Positions
    18,487     46,308          0      5,249        308        304     26,326     13,747      2,285      4,866        372        131      8,892      3,085
 
Changes from:       December 6, 2011                                 Total Change is:     9,168
       225        570       -500        488          0        -36      4,377      6,168      1,280        700        161        131      2,503      1,394
 
Percent of Open Interest Represented by Each Category of Trader
      27.8       69.6        0.0        7.9        0.5        0.5       39.6       20.7        3.4        7.3        0.6        0.2       13.4        4.6
 
Number of Traders in Each Category                                    Total Traders:       108
         5          6          0          6          .          .         42         17          8         27          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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   150,430
Positions
    39,151     42,854     40,769     10,426        860      1,454     11,258     19,073     16,207        529      1,448     13,309     17,327     14,456
 
Changes from:       December 6, 2011                                 Total Change is:     1,936
       319     -4,283      1,456      1,412         84        225     -3,122        -34     -1,056       -901      1,079      1,527      2,076      2,938
 
Percent of Open Interest Represented by Each Category of Trader
      26.0       28.5       27.1        6.9        0.6        1.0        7.5       12.7       10.8        0.4        1.0        8.8       11.5        9.6
 
Number of Traders in Each Category                                    Total Traders:        77
        11          9         15         11          .          7         17         15         23          .          6          6
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 13, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              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    16,944
Positions
     2,942         26         90      1,857      1,544         90     10,664      2,815         71          0     11,204      1,094        136         10
 
Changes from:       December 6, 2011                                 Total Change is:        62
      -139       -162         90         61         73          0        -88         35          0          0       -165        190        -52          1
 
Percent of Open Interest Represented by Each Category of Trader
      17.4        0.2        0.5       11.0        9.1        0.5       62.9       16.6        0.4        0.0       66.1        6.5        0.8        0.1
 
Number of Traders in Each Category                                    Total Traders:        27
         4          .          .          5          4          .          5          5          .          0          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
```

----

Updated December 16, 2011