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Traders in Financial Futures - Futures Only Positions as of September 20, 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   123,057
Positions
     5,490     46,983     12,420     18,446      5,259        325     23,120     23,326     11,696     12,153      2,083        156     39,251     20,809
 
Changes from:       September 13, 2011                               Total Change is:     5,654
    -2,451      1,744      4,293        164     -2,151        -30        984      2,336      4,467       -225         58        -16     -1,532     -5,047
 
Percent of Open Interest Represented by Each Category of Trader
       4.5       38.2       10.1       15.0        4.3        0.3       18.8       19.0        9.5        9.9        1.7        0.1       31.9       16.9
 
Number of Traders in Each Category                                    Total Traders:        85
         6         17         11          5          5          .         14         19          8         16          .          .
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Traders in Financial Futures - Futures Only Positions as of September 20, 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    21,500
Positions
       225      8,177          7      1,179        924        129      7,448      1,912        167         50          0          0     12,295     10,184
 
Changes from:       September 13, 2011                               Total Change is:   -22,328
    -8,049    -16,979     -3,068       -165        -53          0     -8,995     -2,052       -505         50          0          0     -1,596        329
 
Percent of Open Interest Represented by Each Category of Trader
       1.0       38.0        0.0        5.5        4.3        0.6       34.6        8.9        0.8        0.2        0.0        0.0       57.2       47.4
 
Number of Traders in Each Category                                    Total Traders:        29
         .          8          .          .          .          .          9          6          .          .          0          0
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Traders in Financial Futures - Futures Only Positions as of September 20, 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   143,678
Positions
    90,296      1,411          0      8,460     32,667        891     28,616     73,293      1,359        500      4,714          0     13,556     29,343
 
Changes from:       September 13, 2011                               Total Change is:     1,558
    23,273     -2,009     -6,143      1,430     -1,440       -396     -3,520     15,400     -1,684     -1,063       -482          0    -10,339     -1,688
 
Percent of Open Interest Represented by Each Category of Trader
      62.8        1.0        0.0        5.9       22.7        0.6       19.9       51.0        0.9        0.3        3.3        0.0        9.4       20.4
 
Number of Traders in Each Category                                    Total Traders:        89
        15          4          0          4         13          4         14         32          8          .          6          0
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Traders in Financial Futures - Futures Only Positions as of September 20, 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   127,828
Positions
       870     69,996          5     37,476      8,676      1,182     57,364     18,408        152      1,920      2,107          0     28,859     27,302
 
Changes from:       September 13, 2011                               Total Change is:   -23,707
    -8,932       -988    -20,464        630       -569         40      5,461      4,880     -2,492        920       -293          0      1,130     -3,821
 
Percent of Open Interest Represented by Each Category of Trader
       0.7       54.8        0.0       29.3        6.8        0.9       44.9       14.4        0.1        1.5        1.6        0.0       22.6       21.4
 
Number of Traders in Each Category                                    Total Traders:        93
         .         15          .         11          6          4         31         21          .          .          5          0
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Traders in Financial Futures - Futures Only Positions as of September 20, 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   201,556
Positions
    91,696     10,822        109     30,342     32,220      2,246     36,687     87,622        902      6,060     10,640        920     32,594     56,075
 
Changes from:       September 13, 2011                               Total Change is:   -62,944
    15,724    -26,507    -38,876     -1,985       -176        498    -26,690     13,756     -2,263       -321        732        507     -9,538    -10,615
 
Percent of Open Interest Represented by Each Category of Trader
      45.5        5.4        0.1       15.1       16.0        1.1       18.2       43.5        0.4        3.0        5.3        0.5       16.2       27.8
 
Number of Traders in Each Category                                    Total Traders:       174
        23         10          .         15         23         11         21         60         12          8         14          .
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Traders in Financial Futures - Futures Only Positions as of September 20, 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    78,616
Positions
    14,576     35,573        148      3,237      8,795        325     36,725     14,602          0      1,022        199          0     22,583     18,974
 
Changes from:       September 13, 2011                               Total Change is:   -46,770
     3,710    -32,230    -11,986        -87        598         -7    -32,825        485       -590         40         93          0     -5,025     -3,133
 
Percent of Open Interest Represented by Each Category of Trader
      18.5       45.2        0.2        4.1       11.2        0.4       46.7       18.6        0.0        1.3        0.3        0.0       28.7       24.1
 
Number of Traders in Each Category                                    Total Traders:        66
         8         10          .          .          6          .         20         17          0          .          .          0
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Traders in Financial Futures - Futures Only Positions as of September 20, 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    95,981
Positions
    47,269     51,140     29,822          0          0          0     15,129     12,184      1,423        424          0          0      1,914      1,412
 
Changes from:       September 13, 2011                               Total Change is:    -8,730
    -1,226     -1,905     -5,201          0          0          0     -1,968       -182        179       -552          0          0         38     -1,621
 
Percent of Open Interest Represented by Each Category of Trader
      49.2       53.3       31.1        0.0        0.0        0.0       15.8       12.7        1.5        0.4        0.0        0.0        2.0        1.5
 
Number of Traders in Each Category                                    Total Traders:        25
         9          9         13          0          0          0          .          .          .          .          0          0
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Traders in Financial Futures - Futures Only Positions as of September 20, 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    76,010
Positions
    37,457     36,101          0     23,404      2,908          0      9,959     26,025        244      1,414      4,744          0      3,532      5,988
 
Changes from:       September 13, 2011                               Total Change is:   -43,065
   -11,953    -28,817     -6,538      2,322        693          0    -19,360     -1,146     -4,245        503        376          0     -3,794     -3,388
 
Percent of Open Interest Represented by Each Category of Trader
      49.3       47.5        0.0       30.8        3.8        0.0       13.1       34.2        0.3        1.9        6.2        0.0        4.6        7.9
 
Number of Traders in Each Category                                    Total Traders:        88
         4         11          0          5          4          0         15         34          4          6          9          0
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Traders in Financial Futures - Futures Only Positions as of September 20, 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    22,307
Positions
     2,409     17,720          2        455          0          0     15,530      3,078          0        552        165          0      3,359      1,342
 
Changes from:       September 13, 2011                               Total Change is:   -12,357
    -1,962     -5,723     -6,697         19          0          0     -1,978      1,019       -163       -129          0          0     -1,447       -793
 
Percent of Open Interest Represented by Each Category of Trader
      10.8       79.4        0.0        2.0        0.0        0.0       69.6       13.8        0.0        2.5        0.7        0.0       15.1        6.0
 
Number of Traders in Each Category                                    Total Traders:        39
         4          9          .          .          0          0         13          7          0          .          .          0
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Traders in Financial Futures - Futures Only Positions as of September 20, 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    32,752
Positions
    15,569     16,648         49      3,016      3,229        466      7,204      6,815         21      2,810        550          0      3,619      4,977
 
Changes from:       September 13, 2011                               Total Change is:   -29,405
    -4,404     -8,646    -11,094       -133       -365         60     -1,026        150     -5,796     -1,218        526       -637     -5,158     -3,604
 
Percent of Open Interest Represented by Each Category of Trader
      47.5       50.8        0.1        9.2        9.9        1.4       22.0       20.8        0.1        8.6        1.7        0.0       11.0       15.2
 
Number of Traders in Each Category                                    Total Traders:        69
        20         12          .          5          7          .          9         13          .          .          .          0
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Traders in Financial Futures - Futures Only Positions as of September 20, 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    65,504
Positions
    31,138     33,295         97      6,031      6,457        932     14,407     13,629         41      5,620      1,099          0      7,238      9,954
 
Changes from:       September 13, 2011                               Total Change is:   -27,152
    -2,317     -9,902     -9,040      1,116       -183        119     -7,015     -1,200     -4,446       -974      1,051        -89     -4,506     -3,462
 
Percent of Open Interest Represented by Each Category of Trader
      47.5       50.8        0.1        9.2        9.9        1.4       22.0       20.8        0.1        8.6        1.7        0.0       11.0       15.2
 
Number of Traders in Each Category                                    Total Traders:        69
        20         12          .          5          7          .          9         13          .          .          .          0
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Traders in Financial Futures - Futures Only Positions as of September 20, 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   849,368
Positions
   106,916    122,894     33,599    395,432    213,679     61,774     67,888    197,372     14,169     19,530     49,447      5,394    144,665    151,039
 
Changes from:       September 13, 2011                               Total Change is:  -473,305
   -62,974     -6,721   -147,750     -6,185    -20,360     -5,596    -53,136    -51,100   -164,098     -3,354    -45,644    -10,365    -19,847    -21,670
 
Percent of Open Interest Represented by Each Category of Trader
      12.6       14.5        4.0       46.6       25.2        7.3        8.0       23.2        1.7        2.3        5.8        0.6       17.0       17.8
 
Number of Traders in Each Category                                    Total Traders:       589
        33         57         25        109         73         65         70        159         50         33         54         10
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Traders in Financial Futures - Futures Only Positions as of September 20, 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   265,258
Positions
    31,551     66,735      4,354    120,460     43,747     11,759     27,484     39,005        701      6,821     18,478        524     61,604     79,955
 
Changes from:       September 13, 2011                               Total Change is:  -239,508
   -88,974     -7,916    -54,337      2,932      5,328     -1,021    -46,664   -112,062    -21,619     -2,935    -21,693     -6,959    -19,931    -19,229
 
Percent of Open Interest Represented by Each Category of Trader
      11.9       25.2        1.6       45.4       16.5        4.4       10.4       14.7        0.3        2.6        7.0        0.2       23.2       30.1
 
Number of Traders in Each Category                                    Total Traders:       119
         8         17          .         29         15         12         16         24          5          4          6          .
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Traders in Financial Futures - Futures Only Positions as of September 20, 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 2,920,552
Positions
   497,004    400,973     26,047  1,391,271    866,071    233,665    235,364    825,180     33,998     77,995    169,295      9,901    415,307    355,422
 
Changes from:       September 13, 2011                               Total Change is:-1,168,985
   -74,866   -198,893   -262,198    -45,796   -128,651    -22,665   -651,738   -314,568    -93,017    -11,156   -128,818     -7,971        422    -12,204
 
Percent of Open Interest Represented by Each Category of Trader
      17.0       13.7        0.9       47.6       29.7        8.0        8.1       28.3        1.2        2.7        5.8        0.3       14.2       12.2
 
Number of Traders in Each Category                                    Total Traders:       556
        34         53         15         96         68         60         68        152         40         32         52          8
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Traders in Financial Futures - Futures Only Positions as of September 20, 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   104,855
Positions
    16,871     22,122          0     65,532     53,653      3,213      9,994     13,816        422      1,514      6,418          0      7,309      5,211
 
Changes from:       September 13, 2011                               Total Change is:   -20,083
      -110     -2,087     -9,954      4,275     -1,213     -1,915     -8,199      1,768       -667          0      2,027     -1,576     -1,937     -6,466
 
Percent of Open Interest Represented by Each Category of Trader
      16.1       21.1        0.0       62.5       51.2        3.1        9.5       13.2        0.4        1.4        6.1        0.0        7.0        5.0
 
Number of Traders in Each Category                                    Total Traders:        89
         8          9          0         34         14          9          9         12          .          .          .          0
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Traders in Financial Futures - Futures Only Positions as of September 20, 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 Consolidated - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 INDEX X $100)                   
CFTC Code #20974+                                                    Open Interest is    61,986
Positions
    18,409     17,819        207     19,163     21,653      1,253     15,628     13,973        312      1,133      2,418         43      5,838      4,307
 
Changes from:       September 13, 2011                               Total Change is:   -65,563
    -7,524     -4,542    -31,119     -1,048     -2,389       -861      1,055      2,347    -19,058        321     -1,415       -595     -6,734     -7,931
 
Percent of Open Interest Represented by Each Category of Trader
      29.7       28.7        0.3       30.9       34.9        2.0       25.2       22.5        0.5        1.8        3.9        0.1        9.4        6.9
 
Number of Traders in Each Category                                    Total Traders:       214
        24         26          .         30         24         11         48         45         15          7         10          .
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Traders in Financial Futures - Futures Only Positions as of September 20, 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 (MINI) - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 STOCK INDEX X $20)        
CFTC Code #209742                                                    Open Interest is   309,930
Positions
    92,046     89,096      1,036     95,813    108,267      6,263     78,140     69,866      1,562      5,664     12,090        217     29,189     21,533
 
Changes from:       September 13, 2011                               Total Change is:  -163,868
   -63,544    -55,347    -37,881     -3,568    -11,947     -4,306    -19,654    -28,775    -17,626      1,605     -6,253     -1,260    -17,634       -473
 
Percent of Open Interest Represented by Each Category of Trader
      29.7       28.7        0.3       30.9       34.9        2.0       25.2       22.5        0.5        1.8        3.9        0.1        9.4        6.9
 
Number of Traders in Each Category                                    Total Traders:       214
        24         26          .         30         24         11         48         45         15          7         10          .
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Traders in Financial Futures - Futures Only Positions as of September 20, 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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RUSSELL 2000 MINI INDEX FUTURE - ICE FUTURES U.S.   (RUSSELL 2000 INDEX X $100.00)                  
CFTC Code #23977A                                                    Open Interest is   452,796
Positions
   248,545     21,989     15,049    109,260    220,156     34,843     25,522    117,239      3,386      1,770     19,648          0     14,421     20,486
 
Changes from:       September 13, 2011                               Total Change is:   -55,809
   -17,282     -2,271    -14,713     10,935     -2,797     -2,728    -20,584    -10,064     -4,193       -341     -1,163       -678     -6,225    -17,202
 
Percent of Open Interest Represented by Each Category of Trader
      54.9        4.9        3.3       24.1       48.6        7.7        5.6       25.9        0.7        0.4        4.3        0.0        3.2        4.5
 
Number of Traders in Each Category                                    Total Traders:       240
        23         13          .         49         52         27         21         63          9          4         15          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of September 20, 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    26,440
Positions
     7,823      1,750         20      4,214      1,594        198      6,158      6,374          0        826      4,514          0      7,201     11,990
 
Changes from:       September 13, 2011                               Total Change is:      -680
        72        140         20        204       -233        -34     -1,276       -885         -1        310        162          0         25        151
 
Percent of Open Interest Represented by Each Category of Trader
      29.6        6.6        0.1       15.9        6.0        0.7       23.3       24.1        0.0        3.1       17.1        0.0       27.2       45.3
 
Number of Traders in Each Category                                    Total Traders:        38
         9          .          .          7          .          .          8          5          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of September 20, 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    31,544
Positions
     9,673     13,087        514      7,161      2,636        656      6,568      6,954        214      1,000          0          0      5,758      7,483
 
Changes from:       September 13, 2011                               Total Change is:    -4,597
       554     -1,395        213        601     -4,135        157       -373        507        214       -528          0          0     -5,435       -158
 
Percent of Open Interest Represented by Each Category of Trader
      30.7       41.5        1.6       22.7        8.4        2.1       20.8       22.0        0.7        3.2        0.0        0.0       18.3       23.7
 
Number of Traders in Each Category                                    Total Traders:        53
        14         11          .          8          .          .          6         10          .          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of September 20, 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    41,351
Positions
       382      2,189      1,598     26,962     24,266      4,589      3,310      7,059          5      1,257          0          0      3,248      1,645
 
Changes from:       September 13, 2011                               Total Change is:    -6,089
       -49     -2,028     -2,574        965       -246       -243       -428      2,042     -2,558       -173          0          0     -1,029       -482
 
Percent of Open Interest Represented by Each Category of Trader
       0.9        5.3        3.9       65.2       58.7       11.1        8.0       17.1        0.0        3.0        0.0        0.0        7.9        4.0
 
Number of Traders in Each Category                                    Total Traders:        49
         .          .          .         15         20          9          6          .          .          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of September 20, 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    55,433
Positions
     9,151     21,239      2,165     27,421     11,034      1,231      7,265     14,466        534      1,857        144        161      5,648      4,459
 
Changes from:       September 13, 2011                               Total Change is:    -9,678
       129      3,094     -2,611      3,011     -1,916       -251        328       -400     -2,607          0         -6       -932     -6,745     -4,049
 
Percent of Open Interest Represented by Each Category of Trader
      16.5       38.3        3.9       49.5       19.9        2.2       13.1       26.1        1.0        3.3        0.3        0.3       10.2        8.0
 
Number of Traders in Each Category                                    Total Traders:        70
        11          8          .         19          7          6         14          5          .          5          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of September 20, 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   651,563
Positions
    19,423    141,032      3,274    337,009    128,833     75,584     48,628    113,831     15,697      8,474     53,453          0    143,474    119,859
 
Changes from:       September 13, 2011                               Total Change is:     8,249
     1,994      6,940     -4,727      5,655     -3,022     12,610      5,728      9,661     -2,631     -1,848       -435          0     -8,532    -10,147
 
Percent of Open Interest Represented by Each Category of Trader
       3.0       21.6        0.5       51.7       19.8       11.6        7.5       17.5        2.4        1.3        8.2        0.0       22.0       18.4
 
Number of Traders in Each Category                                    Total Traders:       166
        10         18          4         42         24         34         31         30         12          .          8          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of September 20, 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   376,572
Positions
     6,784    177,113      2,696    268,690     17,335     23,860      2,028    109,506      1,889      5,142      2,034          0     65,483     42,139
 
Changes from:       September 13, 2011                               Total Change is:   -19,896
     4,297     -1,492        962    -23,193        343      1,614         -5    -11,870     -5,252      2,267     -2,266          0       -586     -1,935
 
Percent of Open Interest Represented by Each Category of Trader
       1.8       47.0        0.7       71.4        4.6        6.3        0.5       29.1        0.5        1.4        0.5        0.0       17.4       11.2
 
Number of Traders in Each Category                                    Total Traders:        75
         .         14          4         36          5         15          .         14          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of September 20, 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   780,592
Positions
    55,636    100,222      9,561    131,834    224,851     90,333    285,172    145,472     39,894     62,703     51,426      1,511    103,948    117,322
 
Changes from:       September 13, 2011                               Total Change is:    28,768
   -28,891     33,931      3,057     11,755     -1,532     -4,599     77,611     -3,614     -2,427    -23,360      5,209       -305     -4,073       -952
 
Percent of Open Interest Represented by Each Category of Trader
       7.1       12.8        1.2       16.9       28.8       11.6       36.5       18.6        5.1        8.0        6.6        0.2       13.3       15.0
 
Number of Traders in Each Category                                    Total Traders:       235
        12         35         11         31         51         40         36         39         19          7         23          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of September 20, 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 1,566,935
Positions
    70,768    211,860     15,469    742,929    526,256    196,666    171,116    170,286     26,734     54,097    101,487      7,005    282,151    311,172
 
Changes from:       September 13, 2011                               Total Change is:   -82,988
    -2,984     -7,819     -4,295    -24,638     -9,864    -24,688       -479    -35,611     -1,636      7,864     10,843     -9,757    -22,375       -161
 
Percent of Open Interest Represented by Each Category of Trader
       4.5       13.5        1.0       47.4       33.6       12.6       10.9       10.9        1.7        3.5        6.5        0.4       18.0       19.9
 
Number of Traders in Each Category                                    Total Traders:       228
        18         27         18         35         54         47         32         44         26          7         11          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of September 20, 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 1,323,971
Positions
    98,475    137,262     16,551    399,831    590,510    123,268    255,647     91,774     41,173    164,722     56,907     18,830    205,474    247,696
 
Changes from:       September 13, 2011                               Total Change is:   -12,600
    -3,149    -39,921     -8,922     -4,601     24,886     17,297    -13,668     -6,504     -6,561     10,106     10,640        -96     -3,006     -3,419
 
Percent of Open Interest Represented by Each Category of Trader
       7.4       10.4        1.3       30.2       44.6        9.3       19.3        6.9        3.1       12.4        4.3        1.4       15.5       18.7
 
Number of Traders in Each Category                                    Total Traders:       187
        12         26         11         18         51         32         39         25         23          7          9          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of September 20, 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   707,947
Positions
   266,814    265,897    197,006      3,760      5,310      3,474     77,924     76,043    105,233      9,824      5,076      9,115     34,797     40,793
 
Changes from:       September 13, 2011                               Total Change is:      -157
     2,899     28,170      6,565       -330      2,002         92     -9,519    -36,006        689      1,310          0        156     -2,019     -1,825
 
Percent of Open Interest Represented by Each Category of Trader
      37.7       37.6       27.8        0.5        0.8        0.5       11.0       10.7       14.9        1.4        0.7        1.3        4.9        5.8
 
Number of Traders in Each Category                                    Total Traders:       132
        26         35         52          .          5          .         18         28         32          .          4          5
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of September 20, 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 8,484,343
Positions
   681,432  3,104,995  1,633,095  2,947,474     50,151    134,195    824,759    847,302  1,267,516     58,518    431,624    190,463    746,891    825,002
 
Changes from:       September 13, 2011                               Total Change is:-1,116,324
  -344,065   -170,609   -220,018   -261,900     -7,070    -12,053     -5,542   -243,181   -230,177      1,221   -120,992      2,901    -46,691   -115,125
 
Percent of Open Interest Represented by Each Category of Trader
       8.0       36.6       19.2       34.7        0.6        1.6        9.7       10.0       14.9        0.7        5.1        2.2        8.8        9.7
 
Number of Traders in Each Category                                    Total Traders:       263
        30         60         83         11         13         19         48         60         81         10         13         18
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of September 20, 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    10,807
Positions
     3,701      4,367          0        833        790         12      2,336      5,313          4      3,601        240          0        320         81
 
Changes from:       September 13, 2011                               Total Change is:        88
       596        302         -5         17          0          0       -572         -9          4          0       -220          0         48         16
 
Percent of Open Interest Represented by Each Category of Trader
      34.2       40.4        0.0        7.7        7.3        0.1       21.6       49.2        0.0       33.3        2.2        0.0        3.0        0.7
 
Number of Traders in Each Category                                    Total Traders:        31
         .          6          0          .          4          .          7          6          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of September 20, 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    15,557
Positions
    12,406     10,087          0      1,278      1,786         12      1,453      3,189          0         80        435          0        328         48
 
Changes from:       September 13, 2011                               Total Change is:    -5,546
    -5,356       -320        -94         -6        203         -4       -171       -311          0          0     -5,000          0         85        -20
 
Percent of Open Interest Represented by Each Category of Trader
      79.7       64.8        0.0        8.2       11.5        0.1        9.3       20.5        0.0        0.5        2.8        0.0        2.1        0.3
 
Number of Traders in Each Category                                    Total Traders:        26
         4          5          0          .          5          .          4          .          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of September 20, 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    62,452
Positions
    17,541     47,443        500      1,524        619        686     29,360     10,078        603      3,975        853          2      8,261      1,668
 
Changes from:       September 13, 2011                               Total Change is:      -350
    -1,417     23,277     -1,917         39        -36        -50      2,191    -19,291     -1,164      1,594        111       -256        630     -1,024
 
Percent of Open Interest Represented by Each Category of Trader
      28.1       76.0        0.8        2.4        1.0        1.1       47.0       16.1        1.0        6.4        1.4        0.0       13.2        2.7
 
Number of Traders in Each Category                                    Total Traders:       111
         4          6          .          .          .          .         49         14          6         27          5          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of September 20, 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   178,964
Positions
    40,525     49,312     46,851      4,399        638      6,811     20,734     17,136     24,662      4,688      2,645     13,992     16,302     16,917
 
Changes from:       September 13, 2011                               Total Change is:    13,072
    -3,944      5,821      8,324         32       -105        -43      3,203     -5,926      3,639         36         -9        995        830        376
 
Percent of Open Interest Represented by Each Category of Trader
      22.6       27.6       26.2        2.5        0.4        3.8       11.6        9.6       13.8        2.6        1.5        7.8        9.1        9.5
 
Number of Traders in Each Category                                    Total Traders:       104
        12         12         20          6          .         10         19         18         32          6          8         17
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of September 20, 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    14,381
Positions
     3,251      4,755      1,634      1,850        396          0      4,389      1,385        989        150      3,491      1,714        404         17
 
Changes from:       September 13, 2011                               Total Change is:     2,507
       201         -9      1,634       -257        -13          0        -35        -92        364          0          3        603         -3         17
 
Percent of Open Interest Represented by Each Category of Trader
      22.6       33.1       11.4       12.9        2.8        0.0       30.5        9.6        6.9        1.0       24.3       11.9        2.8        0.1
 
Number of Traders in Each Category                                    Total Traders:        24
         .          4          .          4          .          0          6          4          .          .          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
```

----

Updated September 23, 2011