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Traders in Financial Futures - Futures Only Positions as of November 22, 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   129,151
Positions
    39,141     16,773      1,041     20,026     31,910        507     28,983     49,684      4,895      8,498      1,335          0     26,060     23,006
 
Changes from:       November 15, 2011                                Total Change is:     5,184
     2,533     -3,269        298      1,180         79         17      3,274      5,304        584         57         69          0     -2,759      2,102
 
Percent of Open Interest Represented by Each Category of Trader
      30.3       13.0        0.8       15.5       24.7        0.4       22.4       38.5        3.8        6.6        1.0        0.0       20.2       17.8
 
Number of Traders in Each Category                                    Total Traders:        76
        11          9          6          6          5          .         11         20          5         11          .          0
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Traders in Financial Futures - Futures Only Positions as of November 22, 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    31,022
Positions
     8,361      6,505        519        875      1,338        217     12,006      8,928        121          0          0          0      8,923     13,394
 
Changes from:       November 15, 2011                                Total Change is:       816
       928       -424         99          0          2          0        335      1,405         -6          0          0          0       -540       -260
 
Percent of Open Interest Represented by Each Category of Trader
      27.0       21.0        1.7        2.8        4.3        0.7       38.7       28.8        0.4        0.0        0.0        0.0       28.8       43.2
 
Number of Traders in Each Category                                    Total Traders:        35
         6          7          .          .          .          .          5         13          .          0          0          0
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Traders in Financial Futures - Futures Only Positions as of November 22, 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   160,287
Positions
   110,381      3,299        466      8,239     60,564      2,735     20,127     61,917      1,174      4,132      2,921          0     13,033     27,211
 
Changes from:       November 15, 2011                                Total Change is:     9,585
    16,604       -156       -111     -1,482      2,108          5     -4,625      3,886        -66        655        735          0     -1,395      3,184
 
Percent of Open Interest Represented by Each Category of Trader
      68.9        2.1        0.3        5.1       37.8        1.7       12.6       38.6        0.7        2.6        1.8        0.0        8.1       17.0
 
Number of Traders in Each Category                                    Total Traders:        91
        15          4          .          6         14          5         20         24          7          4          4          0
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Traders in Financial Futures - Futures Only Positions as of November 22, 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   149,571
Positions
     9,554     99,890        297     54,635      9,402      1,508     61,021     12,165        394      1,000      2,206          0     21,162     23,709
 
Changes from:       November 15, 2011                                Total Change is:     7,338
       354      9,516         15        624      1,288         14      6,220     -2,203        117          0         28          0         -6     -1,437
 
Percent of Open Interest Represented by Each Category of Trader
       6.4       66.8        0.2       36.5        6.3        1.0       40.8        8.1        0.3        0.7        1.5        0.0       14.1       15.9
 
Number of Traders in Each Category                                    Total Traders:        88
         6         12          .         10          7          .         30         17          4          .          5          0
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Traders in Financial Futures - Futures Only Positions as of November 22, 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   260,064
Positions
    98,400     47,374         67     48,335     32,112      8,899     62,727     90,056      3,449      6,015     12,669        938     31,234     64,500
 
Changes from:       November 15, 2011                                Total Change is:    15,512
     4,465      7,945        -33      5,533        793        -15      2,893      3,171      2,169        -41         -1        658       -117        825
 
Percent of Open Interest Represented by Each Category of Trader
      37.8       18.2        0.0       18.6       12.3        3.4       24.1       34.6        1.3        2.3        4.9        0.4       12.0       24.8
 
Number of Traders in Each Category                                    Total Traders:       175
        26         12          .         16         22         12         28         49         15          6         16          4
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Traders in Financial Futures - Futures Only Positions as of November 22, 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   128,192
Positions
    52,153     43,717        717      2,425     38,485        927     48,466     24,145        423      1,852        416          0     21,229     19,362
 
Changes from:       November 15, 2011                                Total Change is:    -8,273
     5,903     -4,358         97       -597      1,083          0    -14,313     -6,607         63        399        133          0        175      1,316
 
Percent of Open Interest Represented by Each Category of Trader
      40.7       34.1        0.6        1.9       30.0        0.7       37.8       18.8        0.3        1.4        0.3        0.0       16.6       15.1
 
Number of Traders in Each Category                                    Total Traders:        77
        12         11          .          .          5          .         18         23          .          .          .          0
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Traders in Financial Futures - Futures Only Positions as of November 22, 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   105,529
Positions
    64,644     58,311     33,921          0          0          0      5,260     11,503      1,159          0          0          0        545        635
 
Changes from:       November 15, 2011                                Total Change is:     8,397
     8,279      8,249        -52          0          0          0          0          0          0          0          0          0        170        200
 
Percent of Open Interest Represented by Each Category of Trader
      61.3       55.3       32.1        0.0        0.0        0.0        5.0       10.9        1.1        0.0        0.0        0.0        0.5        0.6
 
Number of Traders in Each Category                                    Total Traders:        22
         9          9         12          0          0          0          .          .          .          0          0          0
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Traders in Financial Futures - Futures Only Positions as of November 22, 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   116,535
Positions
    67,490     39,587     10,688     18,213      2,816        760      5,844     43,209      5,761      1,023      3,668          0      6,756     10,046
 
Changes from:       November 15, 2011                                Total Change is:    10,839
     1,468     -2,306      9,803      2,255        -52       -137    -11,378     -7,707      5,101         44        810          0      3,683      5,327
 
Percent of Open Interest Represented by Each Category of Trader
      57.9       34.0        9.2       15.6        2.4        0.7        5.0       37.1        4.9        0.9        3.1        0.0        5.8        8.6
 
Number of Traders in Each Category                                    Total Traders:        89
         8         11          .          5          6          .         15         29          4          5          8          0
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Traders in Financial Futures - Futures Only Positions as of November 22, 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    26,870
Positions
    13,243     18,053          0          0        254          0     11,596      5,646          2        543        342          0      1,486      2,573
 
Changes from:       November 15, 2011                                Total Change is:       904
     2,552     -1,170         -8          0          0          0     -1,509      1,518         -1        288          0          0       -418        565
 
Percent of Open Interest Represented by Each Category of Trader
      49.3       67.2        0.0        0.0        0.9        0.0       43.2       21.0        0.0        2.0        1.3        0.0        5.5        9.6
 
Number of Traders in Each Category                                    Total Traders:        39
         5          9          0          0          .          0          6         15          .          .          .          0
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Traders in Financial Futures - Futures Only Positions as of November 22, 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    61,638
Positions
    22,864     30,899      7,840      3,058      3,231        538     11,475      5,863      4,133      2,234        772      1,724      7,774      6,640
 
Changes from:       November 15, 2011                                Total Change is:    16,120
     6,052      2,985      7,541        -28        465       -126     -3,749       -144      3,967        302     -1,450      1,724        436      1,158
 
Percent of Open Interest Represented by Each Category of Trader
      37.1       50.1       12.7        5.0        5.2        0.9       18.6        9.5        6.7        3.6        1.3        2.8       12.6       10.8
 
Number of Traders in Each Category                                    Total Traders:        95
        21         16          9          5          7          .         21         17          9          5          .          .
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Traders in Financial Futures - Futures Only Positions as of November 22, 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    17,651
Positions
    12,377     11,636        265        617        292          0      1,060      2,416         42      1,344          0        380      1,566      2,620
 
Changes from:       November 15, 2011                                Total Change is:         .
         .          .          .          .          .          .          .          .          .          .          .          .          .          .
 
Percent of Open Interest Represented by Each Category of Trader
      70.1       65.9        1.5        3.5        1.7        0.0        6.0       13.7        0.2        7.6        0.0        2.2        8.9       14.8
 
Number of Traders in Each Category                                    Total Traders:        20
         8          4          .          .          .          0          .          .          .          .          0          .
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Traders in Financial Futures - Futures Only Positions as of November 22, 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    87,973
Positions
    35,463     53,016        659      4,881      5,877      1,076     27,630     13,694      1,381      4,468      4,231          0     12,415      8,039
 
Changes from:       November 15, 2011                                Total Change is:    -3,063
     1,839     -2,813         61     -1,289        346       -251     -2,816      1,681      1,049        604       -211          0     -2,260     -2,925
 
Percent of Open Interest Represented by Each Category of Trader
      40.3       60.3        0.7        5.5        6.7        1.2       31.4       15.6        1.6        5.1        4.8        0.0       14.1        9.1
 
Number of Traders in Each Category                                    Total Traders:        93
        21         16          4          4          6          .         23         16          6          5          .          0
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Traders in Financial Futures - Futures Only Positions as of November 22, 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   901,580
Positions
   108,242    124,964     79,789    355,910    226,178     64,711     75,673    173,413     65,516     17,565     44,619      5,150    129,024    117,240
 
Changes from:       November 15, 2011                                Total Change is:     3,695
     8,350    -14,476     -4,245        477     13,478     -1,385     -4,463      9,605      2,568        -45     -1,888         24      2,415         15
 
Percent of Open Interest Represented by Each Category of Trader
      12.0       13.9        8.8       39.5       25.1        7.2        8.4       19.2        7.3        1.9        4.9        0.6       14.3       13.0
 
Number of Traders in Each Category                                    Total Traders:       578
        34         57         31        110         76         63         82        137         80         32         48         13
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Traders in Financial Futures - Futures Only Positions as of November 22, 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   294,476
Positions
    54,184     70,850     17,639    104,291     43,696     11,539     29,831     65,232      3,344      3,755     15,116         85     69,808     66,975
 
Changes from:       November 15, 2011                                Total Change is:   -10,893
    -3,422    -14,470      3,242     -3,387       -298         16     -8,054     -2,356          8         74        908       -130        760      2,187
 
Percent of Open Interest Represented by Each Category of Trader
      18.4       24.1        6.0       35.4       14.8        3.9       10.1       22.2        1.1        1.3        5.1        0.0       23.7       22.7
 
Number of Traders in Each Category                                    Total Traders:       120
        14         14          8         27         14         12         16         27         11          .          6          .
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Traders in Financial Futures - Futures Only Positions as of November 22, 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 3,035,521
Positions
   511,713    511,991     69,328  1,274,269    928,585    249,688    488,659    800,358     51,410     82,689    161,154     11,684    296,081    251,323
 
Changes from:       November 15, 2011                                Total Change is:    72,942
    11,670    -47,219      9,754     17,419     66,979     -5,104     30,157     72,008        597     -1,676    -15,061      1,848      8,277    -10,860
 
Percent of Open Interest Represented by Each Category of Trader
      16.9       16.9        2.3       42.0       30.6        8.2       16.1       26.4        1.7        2.7        5.3        0.4        9.8        8.3
 
Number of Traders in Each Category                                    Total Traders:       549
        34         53         22         96         72         57         84        131         60         33         45         10
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Traders in Financial Futures - Futures Only Positions as of November 22, 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   117,120
Positions
    28,708     18,168        105     51,731     64,696      7,987     16,523     12,602      1,275      1,402      6,700          0      9,389      5,587
 
Changes from:       November 15, 2011                                Total Change is:     5,994
     3,738       -617        -20      3,661      4,808       -544        -88         31      1,271          0        103          0     -2,024        962
 
Percent of Open Interest Represented by Each Category of Trader
      24.5       15.5        0.1       44.2       55.2        6.8       14.1       10.8        1.1        1.2        5.7        0.0        8.0        4.8
 
Number of Traders in Each Category                                    Total Traders:        88
        12          8          .         32         13         11         10          9          .          .          .          0
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Traders in Financial Futures - Futures Only Positions as of November 22, 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    94,718
Positions
    22,613     37,998      8,590     19,148      9,534      1,726     16,124      9,672      6,599        979      4,524        102     18,836     15,974
 
Changes from:       November 15, 2011                                Total Change is:    -7,284
     2,433     -6,821     -2,097     -1,926         51        105     -5,342         52        196          1        431         52       -705        747
 
Percent of Open Interest Represented by Each Category of Trader
      23.9       40.1        9.1       20.2       10.1        1.8       17.0       10.2        7.0        1.0        4.8        0.1       19.9       16.9
 
Number of Traders in Each Category                                    Total Traders:       212
        23         27         11         29         20         11         47         48         16          8         10          .
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Traders in Financial Futures - Futures Only Positions as of November 22, 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 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 INDEX X $100)                    
CFTC Code #209741                                                    Open Interest is    30,644
Positions
    13,190     22,741         20          0        300          0      2,980      3,999          0          0      2,112         50     14,404      1,422
 
Changes from:       November 15, 2011                                Total Change is:    -2,027
      -355     -2,037          0          0          0          0     -2,036         73          0          0          0          0        364        -63
 
Percent of Open Interest Represented by Each Category of Trader
      43.0       74.2        0.1        0.0        1.0        0.0        9.7       13.0        0.0        0.0        6.9        0.2       47.0        4.6
 
Number of Traders in Each Category                                    Total Traders:        23
         7          8          .          0          .          0          .          .          0          0          .          .
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Traders in Financial Futures - Futures Only Positions as of November 22, 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 STOCK INDEX (MINI) - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 STOCK INDEX X $20)        
CFTC Code #209742                                                    Open Interest is   320,368
Positions
    88,009    117,177      1,956     95,741     46,169      8,632     93,368     56,010      5,347      4,897     12,058        259     22,159     72,760
 
Changes from:       November 15, 2011                                Total Change is:   -26,285
     4,132    -33,725       -681     -9,628        255        524    -17,608     -1,181      2,057          4      2,156        259     -5,344      4,051
 
Percent of Open Interest Represented by Each Category of Trader
      27.5       36.6        0.6       29.9       14.4        2.7       29.1       17.5        1.7        1.5        3.8        0.1        6.9       22.7
 
Number of Traders in Each Category                                    Total Traders:       211
        23         26          7         29         20         11         45         50         11          8         10          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 22, 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   463,285
Positions
   236,298     33,544     25,865    108,180    212,083     29,982     44,046    114,660      2,898      1,368     24,661        286     14,362     19,306
 
Changes from:       November 15, 2011                                Total Change is:    11,934
     8,914        461      1,461      4,304      8,700     -3,504      4,350      5,526     -1,464       -200     -2,606          0     -1,927      3,360
 
Percent of Open Interest Represented by Each Category of Trader
      51.0        7.2        5.6       23.4       45.8        6.5        9.5       24.7        0.6        0.3        5.3        0.1        3.1        4.2
 
Number of Traders in Each Category                                    Total Traders:       238
        24         10          6         46         49         27         23         68         10          .         16          .
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Traders in Financial Futures - Futures Only Positions as of November 22, 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    30,572
Positions
     9,219      1,735         70      7,396      2,466         82      6,904      6,823         48        216      5,067          0      6,637     14,281
 
Changes from:       November 15, 2011                                Total Change is:       531
      -295         19          0         74       -150         22        626       -780         -9       -217        334          0        330      1,095
 
Percent of Open Interest Represented by Each Category of Trader
      30.2        5.7        0.2       24.2        8.1        0.3       22.6       22.3        0.2        0.7       16.6        0.0       21.7       46.7
 
Number of Traders in Each Category                                    Total Traders:        45
        11          .          .          9          4          .          9          6          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 22, 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    49,442
Positions
    21,288     10,218      1,646      8,733      2,950        590      5,867      8,887      1,471      2,786          0          0      7,061     23,680
 
Changes from:       November 15, 2011                                Total Change is:     2,043
     2,035      3,259       -833       -351        310         -6       -425        209       -457      1,330          0          0        750       -439
 
Percent of Open Interest Represented by Each Category of Trader
      43.1       20.7        3.3       17.7        6.0        1.2       11.9       18.0        3.0        5.6        0.0        0.0       14.3       47.9
 
Number of Traders in Each Category                                    Total Traders:        67
        22         11          4          8          .          .          6         12          .          5          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 22, 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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MSCI EAFE MINI INDEX - NYSE LIFFE   (MSCI EAFE INDEX X $50)                                         
CFTC Code #244041                                                    Open Interest is    43,094
Positions
     3,625      2,373        233     29,423     25,149      4,044      2,464      9,170          4          0          0          0      3,301      2,121
 
Changes from:       November 15, 2011                                Total Change is:    -4,427
     1,960     -1,359     -1,677     -3,714      2,403       -361         98     -3,350       -118       -284          0          0       -331         35
 
Percent of Open Interest Represented by Each Category of Trader
       8.4        5.5        0.5       68.3       58.4        9.4        5.7       21.3        0.0        0.0        0.0        0.0        7.7        4.9
 
Number of Traders in Each Category                                    Total Traders:        50
         .          4          .         16         19          9          5          4          .          0          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 22, 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    63,978
Positions
    17,279     24,730         49     24,134     25,770      3,284      9,735      3,727        310      2,234      2,743        907      6,046      2,458
 
Changes from:       November 15, 2011                                Total Change is:    -3,081
     1,173         96       -858     -3,937        -21        156      1,288     -2,691        -78       -865        455         34          6       -174
 
Percent of Open Interest Represented by Each Category of Trader
      27.0       38.7        0.1       37.7       40.3        5.1       15.2        5.8        0.5        3.5        4.3        1.4        9.5        3.8
 
Number of Traders in Each Category                                    Total Traders:        68
        12          8          .         12         10          7         12          5          .          6          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 22, 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   650,958
Positions
    13,083    111,152     15,333    314,074     89,693     91,977     42,333    131,639      8,966      8,786     70,564        275    156,131    131,359
 
Changes from:       November 15, 2011                                Total Change is:    16,542
    -1,684        136      5,825      5,800     -2,597     -1,756     -3,789      2,975        199     -1,652      3,343         33     13,566      8,384
 
Percent of Open Interest Represented by Each Category of Trader
       2.0       17.1        2.4       48.2       13.8       14.1        6.5       20.2        1.4        1.3       10.8        0.0       24.0       20.2
 
Number of Traders in Each Category                                    Total Traders:       152
         9         19         13         40         18         31         22         29         20          4         11          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 22, 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   406,747
Positions
     5,331    182,658      7,050    283,267     12,979     33,317      5,899    121,642      3,373      2,195      1,692          0     66,315     44,036
 
Changes from:       November 15, 2011                                Total Change is:    14,898
         0     -1,562      6,035      8,568        -28      1,041        -25      5,268      2,571       -680     -1,723          0     -2,612      3,296
 
Percent of Open Interest Represented by Each Category of Trader
       1.3       44.9        1.7       69.6        3.2        8.2        1.5       29.9        0.8        0.5        0.4        0.0       16.3       10.8
 
Number of Traders in Each Category                                    Total Traders:        73
         .         12          4         40          4         20          .         10          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 22, 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   755,378
Positions
    98,446     80,066      4,620    151,651    213,823     80,024    222,316    201,712     28,568     62,574     33,334        673    106,506    112,558
 
Changes from:       November 15, 2011                                Total Change is:    -3,575
     4,501       -756      2,617        698     -6,550     -1,481    -40,625     28,650      7,464     29,434    -29,590    -10,918      4,735      6,989
 
Percent of Open Interest Represented by Each Category of Trader
      13.0       10.6        0.6       20.1       28.3       10.6       29.4       26.7        3.8        8.3        4.4        0.1       14.1       14.9
 
Number of Traders in Each Category                                    Total Traders:       217
        12         25          7         35         48         43         30         35         19         14         17          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 22, 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 1,522,038
Positions
    98,862    151,683     40,115    608,840    557,334    173,077    194,943    114,068     58,759     45,280    117,217      4,036    298,126    305,749
 
Changes from:       November 15, 2011                                Total Change is:    41,670
       741      6,737      5,092     -1,218     18,835    -22,389     24,640    -32,804     21,084     -1,452     18,413     -2,871     18,043     29,573
 
Percent of Open Interest Represented by Each Category of Trader
       6.5       10.0        2.6       40.0       36.6       11.4       12.8        7.5        3.9        3.0        7.7        0.3       19.6       20.1
 
Number of Traders in Each Category                                    Total Traders:       246
        23         32         21         31         57         45         42         41         37          5         14          5
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 22, 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 1,284,747
Positions
    84,163    146,227     21,497    341,519    466,986    174,584    217,780    155,793     18,633    203,748     64,662     10,309    212,514    226,056
 
Changes from:       November 15, 2011                                Total Change is:    20,581
     8,722      7,624     11,471     41,465     -2,181     -9,988    -46,211     13,337     -4,384      2,769     -1,262      5,637     11,100        327
 
Percent of Open Interest Represented by Each Category of Trader
       6.6       11.4        1.7       26.6       36.3       13.6       17.0       12.1        1.5       15.9        5.0        0.8       16.5       17.6
 
Number of Traders in Each Category                                    Total Traders:       188
         8         35         15         22         39         37         31         33         24          9         10          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 22, 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   597,515
Positions
   222,423    245,385    179,212      3,748      5,080      3,570     79,444     48,243     57,627      6,952      5,728      9,478     35,061     43,192
 
Changes from:       November 15, 2011                                Total Change is:    -1,420
    10,797     13,032     -5,273        241          0          0      8,155       -133     -3,829        151         50     -2,495     -9,167     -2,772
 
Percent of Open Interest Represented by Each Category of Trader
      37.2       41.1       30.0        0.6        0.9        0.6       13.3        8.1        9.6        1.2        1.0        1.6        5.9        7.2
 
Number of Traders in Each Category                                    Total Traders:       109
        24         29         39          .          4          .         19         19         23          .          5          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 22, 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 8,641,460
Positions
 1,526,736  2,641,635  1,781,798  2,040,008     77,948    160,538    599,992    741,922  1,557,110     98,161    483,069    165,450    711,667  1,031,990
 
Changes from:       November 15, 2011                                Total Change is:    20,918
   342,514    -24,706    -99,008   -194,219     40,774      1,132    -30,166     63,782     45,878      1,488      5,136     -8,873    -37,828     -3,197
 
Percent of Open Interest Represented by Each Category of Trader
      17.7       30.6       20.6       23.6        0.9        1.9        6.9        8.6       18.0        1.1        5.6        1.9        8.2       11.9
 
Number of Traders in Each Category                                    Total Traders:       268
        37         53         84         14          6         18         38         74         90          8         17         20
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 22, 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    10,782
Positions
     5,452      3,444          0      1,908        840          7      1,977      6,193          0      1,171        160          0        267        138
 
Changes from:       November 15, 2011                                Total Change is:       753
       -29        559          0          5         -1          0        961        175          0       -219          0          0         35         20
 
Percent of Open Interest Represented by Each Category of Trader
      50.6       31.9        0.0       17.7        7.8        0.1       18.3       57.4        0.0       10.9        1.5        0.0        2.5        1.3
 
Number of Traders in Each Category                                    Total Traders:        27
         .          .          0          .          4          .          5          7          0          4          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 22, 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    15,028
Positions
    12,640      7,532          0      1,366      2,272          0        669      4,739          0         40        340          0        313        145
 
Changes from:       November 15, 2011                                Total Change is:       -34
       169       -425          0          0        269          0       -185        121          0          0          0          0        -18          1
 
Percent of Open Interest Represented by Each Category of Trader
      84.1       50.1        0.0        9.1       15.1        0.0        4.5       31.5        0.0        0.3        2.3        0.0        2.1        1.0
 
Number of Traders in Each Category                                    Total Traders:        29
         4          4          0          .          5          0          4          8          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 22, 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    54,442
Positions
    18,193     43,219        501      4,102        455        388     17,111      6,830        635      4,725        461          8      8,779      1,945
 
Changes from:       November 15, 2011                                Total Change is:    -2,863
      -699      1,326        -11      1,689         -2         -7     -4,897     -3,383        -19        324        107          8        749       -882
 
Percent of Open Interest Represented by Each Category of Trader
      33.4       79.4        0.9        7.5        0.8        0.7       31.4       12.5        1.2        8.7        0.8        0.0       16.1        3.6
 
Number of Traders in Each Category                                    Total Traders:        99
         5          4          .          6          .          .         32         16          6         29          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 22, 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   133,931
Positions
    37,738     49,856     27,104      8,611        500      2,219     13,363     11,745     17,032      2,310      2,651      9,337     16,217     13,487
 
Changes from:       November 15, 2011                                Total Change is:   -13,772
      -884      4,539    -11,050       -390        -15       -113      2,787     -2,416     -1,775       -115        393     -1,978       -254     -1,357
 
Percent of Open Interest Represented by Each Category of Trader
      28.2       37.2       20.2        6.4        0.4        1.7       10.0        8.8       12.7        1.7        2.0        7.0       12.1       10.1
 
Number of Traders in Each Category                                    Total Traders:        81
        11          8         14         10          .          6         17         18         22          .          7          7
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of November 22, 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    16,040
Positions
     3,080          0          0      1,970      1,662          0     10,278      2,758         71          0     11,096        445        196          8
 
Changes from:       November 15, 2011                                Total Change is:     1,017
       196          0          0         31         89          0        936         60          0          0      1,008          2       -148       -142
 
Percent of Open Interest Represented by Each Category of Trader
      19.2        0.0        0.0       12.3       10.4        0.0       64.1       17.2        0.4        0.0       69.2        2.8        1.2        0.0
 
Number of Traders in Each Category                                    Total Traders:        26
         4          0          0          5          4          0          5          5          .          0          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
```

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Updated November 28, 2011