```
Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
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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    93,160
Positions
    20,455      9,013        866     20,510     34,259        252      7,773     14,523      5,220      8,945        340         44     29,095     28,643
 
Changes from:       June 26, 2012                                    Total Change is:    -2,661
     1,248      2,500         98       -504        -99         53     -4,211     -3,827       -263       -904       -441        -13      1,835       -669
 
Percent of Open Interest Represented by Each Category of Trader
      22.0        9.7        0.9       22.0       36.8        0.3        8.3       15.6        5.6        9.6        0.4        0.0       31.2       30.7
 
Number of Traders in Each Category                                    Total Traders:        65
         4          7          5          6          5          4         12         22          .          8          .          .
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Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
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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    53,322
Positions
    19,172      8,102        100      1,954      1,464        247     23,438     22,653          2      1,171          0          0      7,238     20,754
 
Changes from:       June 26, 2012                                    Total Change is:       875
       403         30        100        -99         -1          0        594      1,800          1          0          0          0       -124     -1,055
 
Percent of Open Interest Represented by Each Category of Trader
      36.0       15.2        0.2        3.7        2.7        0.5       44.0       42.5        0.0        2.2        0.0        0.0       13.6       38.9
 
Number of Traders in Each Category                                    Total Traders:        39
         6          4          .          .          .          .          6         15          .          .          0          0
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Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
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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   108,208
Positions
    16,658      5,362        322      9,415     33,614     10,152     43,629     26,848        575     10,762      3,664          0     16,695     27,671
 
Changes from:       June 26, 2012                                    Total Change is:    -6,353
     2,453     -4,965         -1       -332       -845        614     -9,822        315       -371        559         13          0        547     -1,113
 
Percent of Open Interest Represented by Each Category of Trader
      15.4        5.0        0.3        8.7       31.1        9.4       40.3       24.8        0.5        9.9        3.4        0.0       15.4       25.6
 
Number of Traders in Each Category                                    Total Traders:        87
         8          5          .          6         17          6         15         29          .          .          4          0
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Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
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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   117,403
Positions
     9,493     16,444          6     58,798      7,667        714     33,291     38,393        107        953     18,088          0     14,041     35,984
 
Changes from:       June 26, 2012                                    Total Change is:    -5,844
       804      1,333        -33       -588       -575         13     -7,384     -5,197         56        422       -507          0        866       -934
 
Percent of Open Interest Represented by Each Category of Trader
       8.1       14.0        0.0       50.1        6.5        0.6       28.4       32.7        0.1        0.8       15.4        0.0       12.0       30.6
 
Number of Traders in Each Category                                    Total Traders:        81
         5         11          .         10          5          .         19         21          .          .          7          0
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Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
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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   302,289
Positions
    92,856     16,184      1,186     49,586     37,213      4,267     61,617    162,223      1,558     58,506     11,751        766     31,947     67,141
 
Changes from:       June 26, 2012                                    Total Change is:   -13,496
   -14,975      7,564        304      1,086        638        336      1,964    -22,100        573     -2,773      1,546         -4         -7     -2,353
 
Percent of Open Interest Represented by Each Category of Trader
      30.7        5.4        0.4       16.4       12.3        1.4       20.4       53.7        0.5       19.4        3.9        0.3       10.6       22.2
 
Number of Traders in Each Category                                    Total Traders:       198
        23         10          7         20         22         15         25         68          9          7         23          .
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Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
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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   125,706
Positions
    40,663     14,869      1,662      2,440     44,438      1,028     58,816     38,531        168      3,516      2,427         22     17,391     22,561
 
Changes from:       June 26, 2012                                    Total Change is:     3,322
    -7,142      2,318      1,381        301       -682        113      9,649     -1,448        131       -703        158         22       -430      1,329
 
Percent of Open Interest Represented by Each Category of Trader
      32.3       11.8        1.3        1.9       35.4        0.8       46.8       30.7        0.1        2.8        1.9        0.0       13.8       17.9
 
Number of Traders in Each Category                                    Total Traders:        81
        10          5          .          .          9          .         23         26          .          .          4          .
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Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
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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   104,539
Positions
    50,935     56,278     36,739      1,963          0        483      2,818      1,253      6,315      2,209          0      2,855        222        616
 
Changes from:       June 26, 2012                                    Total Change is:     2,298
     1,038      2,258         51        743          0         77        421        186        -47          0          0          0         15       -227
 
Percent of Open Interest Represented by Each Category of Trader
      48.7       53.8       35.1        1.9        0.0        0.5        2.7        1.2        6.0        2.1        0.0        2.7        0.2        0.6
 
Number of Traders in Each Category                                    Total Traders:        23
         8         10         11          .          0          .          .          .          .          .          0          .
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Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
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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   132,669
Positions
    63,240     49,182          1     20,283      1,255      1,555     42,292     56,472        608        844     19,067        102      3,744      4,427
 
Changes from:       June 26, 2012                                    Total Change is:    11,145
      -460      9,841          1        114       -566          0     11,103      2,323         67       -636      1,128         -3        959     -1,646
 
Percent of Open Interest Represented by Each Category of Trader
      47.7       37.1        0.0       15.3        0.9        1.2       31.9       42.6        0.5        0.6       14.4        0.1        2.8        3.3
 
Number of Traders in Each Category                                    Total Traders:        93
         4         10          .          8          5          .         24         28          4          4          9          .
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Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
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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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BRAZILIAN REAL - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF BRL 100,000)                           
CFTC Code #102741                                                    Open Interest is    17,905
Positions
    16,200      1,501         65        404        945          0        735        968         93        100     13,428          0        308        905
 
Changes from:       June 26, 2012                                    Total Change is:    -1,220
      -653        106       -267          0       -922          0       -300       -215        -62        100          0          0        -38        140
 
Percent of Open Interest Represented by Each Category of Trader
      90.5        8.4        0.4        2.3        5.3        0.0        4.1        5.4        0.5        0.6       75.0        0.0        1.7        5.1
 
Number of Traders in Each Category                                    Total Traders:        20
         5          5          .          .          .          0          .          .          .          .          .          0
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Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
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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    20,483
Positions
     5,421     11,739          0        427        261          0     10,875      5,244        134        297      1,265          0      3,329      1,840
 
Changes from:       June 26, 2012                                    Total Change is:     3,882
    -1,283      3,716          0        187       -136          0      4,567        644        -15       -210         16          0        636       -343
 
Percent of Open Interest Represented by Each Category of Trader
      26.5       57.3        0.0        2.1        1.3        0.0       53.1       25.6        0.7        1.4        6.2        0.0       16.3        9.0
 
Number of Traders in Each Category                                    Total Traders:        41
         5          8          0          .          .          0          9          9          .          .          4          0
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Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
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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    45,453
Positions
    13,991     30,656         67      3,938        364        453     17,654      9,666        163      1,652         15          0      7,536      4,070
 
Changes from:       June 26, 2012                                    Total Change is:       146
       961       -358        -79        588       -287        129     -1,433        637        103       -653        -13          0        531         15
 
Percent of Open Interest Represented by Each Category of Trader
      30.8       67.4        0.1        8.7        0.8        1.0       38.8       21.3        0.4        3.6        0.0        0.0       16.6        9.0
 
Number of Traders in Each Category                                    Total Traders:        90
        17         16          .          6          4          .         29         14          4          .          .          0
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Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
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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    90,905
Positions
    27,982     61,312        134      7,875        727        905     35,308     19,332        326      3,303         30          0     15,072      8,139
 
Changes from:       June 26, 2012                                    Total Change is:       292
     1,922       -715       -157      1,175       -574        257     -2,866      1,273        205     -1,306        -26          0      1,062         29
 
Percent of Open Interest Represented by Each Category of Trader
      30.8       67.4        0.1        8.7        0.8        1.0       38.8       21.3        0.4        3.6        0.0        0.0       16.6        9.0
 
Number of Traders in Each Category                                    Total Traders:        90
        17         16          .          6          4          .         29         14          4          .          .          0
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Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
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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   773,321
Positions
    47,400    146,507     31,862    361,624    180,317     52,427     76,684    176,558     22,155     27,938     35,966      5,945    147,286    121,583
 
Changes from:       June 26, 2012                                    Total Change is:      -753
    -4,358     13,444      1,957     -5,966    -18,613        163      1,734     -9,017      4,314       -274      6,410     -2,748      4,425      3,337
 
Percent of Open Interest Represented by Each Category of Trader
       6.1       18.9        4.1       46.8       23.3        6.8        9.9       22.8        2.9        3.6        4.7        0.8       19.0       15.7
 
Number of Traders in Each Category                                    Total Traders:       534
        33         46         28        121         54         59         87        116         63         34         42          9
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Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
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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   227,230
Positions
    21,649     62,353      6,840    103,030     29,808      7,678     14,501     30,449      1,057      1,180      6,665      5,596     65,699     76,784
 
Changes from:       June 26, 2012                                    Total Change is:     1,552
     4,488      5,020        -38     -3,036       -512        127      2,202       -361       -167     -1,394     -3,477     -2,580      1,950      3,540
 
Percent of Open Interest Represented by Each Category of Trader
       9.5       27.4        3.0       45.3       13.1        3.4        6.4       13.4        0.5        0.5        2.9        2.5       28.9       33.8
 
Number of Traders in Each Category                                    Total Traders:       100
        10         12          6         25          8         13         18         20          6          .          .          .
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Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
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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 2,730,453
Positions
   223,936    515,950     29,930  1,320,062    779,639    196,652    364,797    784,427     51,609    133,789    146,506      1,745    407,933    223,995
 
Changes from:       June 26, 2012                                    Total Change is:   -11,526
   -33,525     52,826       -731    -15,284    -91,143        816      6,514    -34,425     13,552      5,599     49,433       -841     12,374     -1,013
 
Percent of Open Interest Represented by Each Category of Trader
       8.2       18.9        1.1       48.3       28.6        7.2       13.4       28.7        1.9        4.9        5.4        0.1       14.9        8.2
 
Number of Traders in Each Category                                    Total Traders:       507
        31         45         21        106         51         51         89        112         51         32         41          8
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Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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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   102,601
Positions
    16,084     22,558         31     61,384     59,161      1,826     13,162     12,661        101      2,222      2,813          0      7,791      3,450
 
Changes from:       June 26, 2012                                    Total Change is:     3,646
    -5,351      7,937         31      4,137     -5,744         26      5,874      3,191     -1,139        307        -30          0       -239       -626
 
Percent of Open Interest Represented by Each Category of Trader
      15.7       22.0        0.0       59.8       57.7        1.8       12.8       12.3        0.1        2.2        2.7        0.0        7.6        3.4
 
Number of Traders in Each Category                                    Total Traders:        98
         9         11          .         36         12         10         14         11          .          .          .          0
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Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
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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    70,759
Positions
     4,494     46,280        118     34,405      8,505        936     21,913      8,832        195      2,896      3,136         71      5,731      2,687
 
Changes from:       June 26, 2012                                    Total Change is:     2,902
      -480      4,633         37       -731       -528       -259      3,675     -1,002         -8       -326        147         70        923       -187
 
Percent of Open Interest Represented by Each Category of Trader
       6.4       65.4        0.2       48.6       12.0        1.3       31.0       12.5        0.3        4.1        4.4        0.1        8.1        3.8
 
Number of Traders in Each Category                                    Total Traders:       214
        14         33          .         32         21         12         57         35          6         10         12          .
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Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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NASDAQ-100 STOCK INDEX (MINI) - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 STOCK INDEX X $20)        
CFTC Code #209742                                                    Open Interest is   353,795
Positions
    22,470    231,401        590    172,025     42,525      4,679    109,564     44,159        976     14,481     15,678        353     28,657     13,434
 
Changes from:       June 26, 2012                                    Total Change is:    14,512
    -2,400     23,165        185     -3,653     -2,640     -1,295     18,376     -5,012        -41     -1,629        734        352      4,617       -936
 
Percent of Open Interest Represented by Each Category of Trader
       6.4       65.4        0.2       48.6       12.0        1.3       31.0       12.5        0.3        4.1        4.4        0.1        8.1        3.8
 
Number of Traders in Each Category                                    Total Traders:       214
        14         33          .         32         21         12         57         35          6         10         12          .
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Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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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   440,281
Positions
   184,449     35,049     13,191    136,457    225,552     23,013     57,683    108,290      2,684      2,619     16,864          0     20,185     15,638
 
Changes from:       June 26, 2012                                    Total Change is:     4,892
    -6,137     -2,966      1,461     -1,371      2,360      3,540      4,857        265       -604       -591        409          0      3,737        427
 
Percent of Open Interest Represented by Each Category of Trader
      41.9        8.0        3.0       31.0       51.2        5.2       13.1       24.6        0.6        0.6        3.8        0.0        4.6        3.6
 
Number of Traders in Each Category                                    Total Traders:       244
        20         13          .         50         42         27         40         59         13          .         17          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NIKKEI STOCK AVERAGE - CHICAGO MERCANTILE EXCHANGE   (NIKKEI INDEX X $5.00)                         
CFTC Code #240741                                                    Open Interest is    28,497
Positions
     7,800        220          0      9,311        981        446      3,304      7,017          0      1,462      6,410          0      6,174     13,423
 
Changes from:       June 26, 2012                                    Total Change is:     1,088
       766          0          0      1,196       -416          0       -186        456          0       -100          0          0       -588      1,048
 
Percent of Open Interest Represented by Each Category of Trader
      27.4        0.8        0.0       32.7        3.4        1.6       11.6       24.6        0.0        5.1       22.5        0.0       21.7       47.1
 
Number of Traders in Each Category                                    Total Traders:        36
         5          .          0         11          .          .          5          7          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NIKKEI STOCK AVERAGE YEN DENOM - CHICAGO MERCANTILE EXCHANGE   (NIKKEI INDEX X JPY 500)             
CFTC Code #240743                                                    Open Interest is    36,247
Positions
    12,684      7,866      1,153      5,640      2,519        764      6,979      6,598        959      3,995      3,016          0      4,073     13,372
 
Changes from:       June 26, 2012                                    Total Change is:       890
     1,264     -1,455        632       -429       -440        -13        122        775        518     -1,203        774          0         -1         99
 
Percent of Open Interest Represented by Each Category of Trader
      35.0       21.7        3.2       15.6        6.9        2.1       19.3       18.2        2.6       11.0        8.3        0.0       11.2       36.9
 
Number of Traders in Each Category                                    Total Traders:        54
        16          9          .          5          .          .          8          9          .          4          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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MSCI EAFE MINI INDEX - NYSE LIFFE   (MSCI EAFE INDEX X $50)                                         
CFTC Code #244041                                                    Open Interest is    66,482
Positions
     1,346     12,477      2,395     48,276     27,983      5,653      5,161     15,227          4          0          0          0      3,647      2,743
 
Changes from:       June 26, 2012                                    Total Change is:    -1,055
      -591     -2,436      1,922     -2,563     -6,695      2,182     -1,006      3,698          0          0          0          0       -999        274
 
Percent of Open Interest Represented by Each Category of Trader
       2.0       18.8        3.6       72.6       42.1        8.5        7.8       22.9        0.0        0.0        0.0        0.0        5.5        4.1
 
Number of Traders in Each Category                                    Total Traders:        65
         4          .          .         23         21          8          5          9          .          0          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
MSCI EMERGING MKTS MINI INDEX - NYSE LIFFE   (MSCI EAFE INDEX X $50)                                
CFTC Code #244042                                                    Open Interest is   113,521
Positions
    14,800     56,221      1,714     62,711     12,115      4,427     11,187     30,461        369      6,081      1,001        240     11,992      6,973
 
Changes from:       June 26, 2012                                    Total Change is:     4,135
     1,001      3,891        -81      1,007      3,561        -29        464     -2,610        126        124        216         17      1,506       -956
 
Percent of Open Interest Represented by Each Category of Trader
      13.0       49.5        1.5       55.2       10.7        3.9        9.9       26.8        0.3        5.4        0.9        0.2       10.6        6.1
 
Number of Traders in Each Category                                    Total Traders:        99
        12         19          5         23         13         10         14          7          .          8          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY BONDS - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000 FACE VALUE)                   
CFTC Code #020601                                                    Open Interest is   626,502
Positions
     6,951    161,994      5,089    272,234    148,664     73,670     76,552     72,294     11,403     22,848     31,901         27    157,728    121,460
 
Changes from:       June 26, 2012                                    Total Change is:    -6,825
    -2,289        198        860      9,081     -1,622     -4,741     -3,785      7,354     -5,518       -225       -499         15       -223     -2,872
 
Percent of Open Interest Represented by Each Category of Trader
       1.1       25.9        0.8       43.5       23.7       11.8       12.2       11.5        1.8        3.6        5.1        0.0       25.2       19.4
 
Number of Traders in Each Category                                    Total Traders:       160
         4         24          6         42         22         30         35         17         13          6         10          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM U.S. TREASURY BONDS - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000 FACE VALUE)         
CFTC Code #020604                                                    Open Interest is   347,164
Positions
     3,011    132,700         72    233,411     13,889     33,255      3,761     96,932      1,430      8,388     22,477          0     63,836     46,409
 
Changes from:       June 26, 2012                                    Total Change is:      -279
       -30     -5,449       -358      5,708      5,032     -1,694     -1,379      1,804        387       -147      2,954          0     -2,766     -2,955
 
Percent of Open Interest Represented by Each Category of Trader
       0.9       38.2        0.0       67.2        4.0        9.6        1.1       27.9        0.4        2.4        6.5        0.0       18.4       13.4
 
Number of Traders in Each Category                                    Total Traders:        70
         .         11          .         31          6         18          .         12          4          .          5          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
2-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE   (CONTRACTS OF $200,000 FACE VALUE)            
CFTC Code #042601                                                    Open Interest is   795,701
Positions
    68,726     57,054      2,129    167,999     94,053     69,267    196,350    423,357     14,823    140,304     35,852     10,360    125,743     88,806
 
Changes from:       June 26, 2012                                    Total Change is:   -88,441
     2,612    -60,467     -4,292     -1,860    -10,113      2,513    -52,953     21,899    -49,023      3,229       -984        108     11,225     11,918
 
Percent of Open Interest Represented by Each Category of Trader
       8.6        7.2        0.3       21.1       11.8        8.7       24.7       53.2        1.9       17.6        4.5        1.3       15.8       11.2
 
Number of Traders in Each Category                                    Total Traders:       211
        20         15          4         42         27         37         38         33         22         20         16          4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000 FACE VALUE)           
CFTC Code #043602                                                    Open Interest is 1,770,490
Positions
   128,581    204,869     21,110    727,657    496,513    202,621    249,328    367,226     68,577     74,880    111,488      2,140    295,596    295,946
 
Changes from:       June 26, 2012                                    Total Change is:    32,480
     3,439      2,388     -7,229     21,326    -29,064     24,503       -335     46,328       -813     -6,273        -51         86     -2,224     -3,668
 
Percent of Open Interest Represented by Each Category of Trader
       7.3       11.6        1.2       41.1       28.0       11.4       14.1       20.7        3.9        4.2        6.3        0.1       16.7       16.7
 
Number of Traders in Each Category                                    Total Traders:       242
        22         31         11         21         53         43         27         64         24          7         17          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
5-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000 FACE VALUE)            
CFTC Code #044601                                                    Open Interest is 1,138,496
Positions
   157,262     69,003      1,202    244,561    496,901    106,231    333,170    149,725     11,887     62,992     77,191      1,374    219,817    224,982
 
Changes from:       June 26, 2012                                    Total Change is:    -1,036
    -2,956    -28,772    -15,255    -21,262     14,057      3,927     20,698     39,957     -2,798      4,459      8,750          0     12,151    -20,902
 
Percent of Open Interest Represented by Each Category of Trader
      13.8        6.1        0.1       21.5       43.6        9.3       29.3       13.2        1.0        5.5        6.8        0.1       19.3       19.8
 
Number of Traders in Each Category                                    Total Traders:       194
        15         18          4         27         38         35         42         28         18          7         19          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE   (CONTRACTS OF $5,000,000)                           
CFTC Code #045601                                                    Open Interest is   485,980
Positions
   192,419    137,074    157,112      2,176      2,222      3,999     41,702     66,277     59,052        615     12,069      5,370     23,535     42,805
 
Changes from:       June 26, 2012                                    Total Change is:   -40,610
   -17,954    -19,115    -12,829        972       -914        -66        168      4,314     -6,256     -2,519     -1,802       -349     -1,777     -3,593
 
Percent of Open Interest Represented by Each Category of Trader
      39.6       28.2       32.3        0.4        0.5        0.8        8.6       13.6       12.2        0.1        2.5        1.1        4.8        8.8
 
Number of Traders in Each Category                                    Total Traders:        95
        19         28         46          .          .          .         19         16         24          .          5          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
3-MONTH EURODOLLARS - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF $1,000,000)                       
CFTC Code #132741                                                    Open Interest is 7,827,764
Positions
 1,609,929  2,510,273  1,754,372    545,545     54,677    152,854  1,279,977    532,784  1,165,786    191,891    442,345    224,964    902,446    989,709
 
Changes from:       June 26, 2012                                    Total Change is:    27,837
     3,582     16,818     -9,194     41,870      5,408     -6,516     19,555     43,844    -55,137    -14,713    -12,540    -29,368     77,758     74,522
 
Percent of Open Interest Represented by Each Category of Trader
      20.6       32.1       22.4        7.0        0.7        2.0       16.4        6.8       14.9        2.5        5.7        2.9       11.5       12.6
 
Number of Traders in Each Category                                    Total Traders:       237
        24         56         74         13          6         15         48         52         76         13         15         17
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
INTEREST RATE SWAPS 10YR - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000)                         
CFTC Code #246602                                                    Open Interest is     9,995
Positions
     6,583        189          0        581        802          6      1,156      8,647         50      1,359        255          0        260         46
 
Changes from:       June 26, 2012                                    Total Change is:       690
       681       -194          0        -15          0          0         25        888          0          0          0          0         -1         -4
 
Percent of Open Interest Represented by Each Category of Trader
      65.9        1.9        0.0        5.8        8.0        0.1       11.6       86.5        0.5       13.6        2.6        0.0        2.6        0.5
 
Number of Traders in Each Category                                    Total Traders:        29
         .          .          0          .          4          .          6          8          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
INTEREST RATE SWAPS 5YR - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000)                          
CFTC Code #247602                                                    Open Interest is    12,313
Positions
     9,266      6,023          0      1,028      1,069         46      1,622      5,007          0          0        100          0        351         68
 
Changes from:       June 26, 2012                                    Total Change is:     1,199
     1,013      1,579          0        -15          0          0        175       -391          0          0          0          0         26         11
 
Percent of Open Interest Represented by Each Category of Trader
      75.3       48.9        0.0        8.3        8.7        0.4       13.2       40.7        0.0        0.0        0.8        0.0        2.9        0.6
 
Number of Traders in Each Category                                    Total Traders:        30
         .          6          0          .          5          .          6          8          0          0          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
U.S. DOLLAR INDEX - ICE FUTURES U.S.   (U.S. DOLLAR INDEX X $1000)                                  
CFTC Code #098662                                                    Open Interest is    65,041
Positions
    13,661     28,619        500      5,797        100        307     32,822     33,107        596      5,295        366          0      6,063      1,446
 
Changes from:       June 26, 2012                                    Total Change is:    -1,701
      -316       -882          0       -811        100        -55        733     -1,627         77       -638        291          0       -691        395
 
Percent of Open Interest Represented by Each Category of Trader
      21.0       44.0        0.8        8.9        0.2        0.5       50.5       50.9        0.9        8.1        0.6        0.0        9.3        2.2
 
Number of Traders in Each Category                                    Total Traders:        97
         .          4          .          7          .          .         47         11          .         20          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
VIX FUTURES - CBOE FUTURES EXCHANGE   ($1000 X INDEX)                                               
CFTC Code #1170E1                                                    Open Interest is   334,634
Positions
   132,525     51,606     31,915     42,930      7,644      3,854     24,404    108,283     29,526      2,061     34,027     41,203     26,216     26,576
 
Changes from:       June 26, 2012                                    Total Change is:    24,867
        46     -4,759      2,975      2,817      1,348     -1,043        740      3,971      4,469        240      5,982      8,715      5,908      3,209
 
Percent of Open Interest Represented by Each Category of Trader
      39.6       15.4        9.5       12.8        2.3        1.2        7.3       32.4        8.8        0.6       10.2       12.3        7.8        7.9
 
Number of Traders in Each Category                                    Total Traders:       132
        14         15         21          7          8          7         19         42         39          6         14         15
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of July 3, 2012                    
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
DOW JONES UBS EXCESS RETURN - CHICAGO BOARD OF TRADE   ($100 X INDEX)                               
CFTC Code #221602                                                    Open Interest is     7,990
Positions
     3,237      1,221          0      2,111        823          0      1,699      4,971        847          0        117          0         96         11
 
Changes from:       June 26, 2012                                    Total Change is:    -2,601
     2,051        486     -2,729          0        -75          0     -2,031        982        124          0     -1,293          0        -16        -96
 
Percent of Open Interest Represented by Each Category of Trader
      40.5       15.3        0.0       26.4       10.3        0.0       21.3       62.2       10.6        0.0        1.5        0.0        1.2        0.1
 
Number of Traders in Each Category                                    Total Traders:        20
         .          .          0          4          .          0          .          7          .          0          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
```

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Updated July 3, 2012