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Traders in Financial Futures - Futures Only Positions as of December 27, 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   118,735
Positions
    36,467      2,619      1,298     16,112     35,265        625     25,413     50,922      3,732      9,728      1,525          1     25,359     22,748
 
Changes from:       December 20, 2011                                Total Change is:   -55,519
    19,762    -18,653    -35,538        256       -316        147     -7,757      3,869     -6,096        135          7          0    -26,428      1,061
 
Percent of Open Interest Represented by Each Category of Trader
      30.7        2.2        1.1       13.6       29.7        0.5       21.4       42.9        3.1        8.2        1.3        0.0       21.4       19.2
 
Number of Traders in Each Category                                    Total Traders:        66
         8          4          4          5          5          .         14         15          4         12          .          .
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Traders in Financial Futures - Futures Only Positions as of December 27, 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    35,741
Positions
    11,035        721          0      1,059        856        265     15,670     15,405         44        537          0          0      7,131     18,450
 
Changes from:       December 20, 2011                                Total Change is:     2,721
     1,079        -79          0         60         10         62      1,802      1,182         11          0          0          0       -293      1,535
 
Percent of Open Interest Represented by Each Category of Trader
      30.9        2.0        0.0        3.0        2.4        0.7       43.8       43.1        0.1        1.5        0.0        0.0       20.0       51.6
 
Number of Traders in Each Category                                    Total Traders:        35
         8          .          0          .          .          .          6         14          .          .          0          0
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Traders in Financial Futures - Futures Only Positions as of December 27, 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   183,119
Positions
   128,343      2,138        202      8,644     75,330      3,108     24,880     72,242        633      3,239      3,230          0     14,070     26,236
 
Changes from:       December 20, 2011                                Total Change is:      -853
    -1,398        401       -124        326     -1,955        303       -953      1,727        -61        839          0         -4        219     -1,140
 
Percent of Open Interest Represented by Each Category of Trader
      70.1        1.2        0.1        4.7       41.1        1.7       13.6       39.5        0.3        1.8        1.8        0.0        7.7       14.3
 
Number of Traders in Each Category                                    Total Traders:        85
        11          5          .          5         15          4         17         24          .          5          .          0
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Traders in Financial Futures - Futures Only Positions as of December 27, 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   132,557
Positions
       167     58,699        339     65,557     11,037      1,491     48,339     32,683        136      1,310      2,552          0     15,218     25,620
 
Changes from:       December 20, 2011                                Total Change is:       551
      -195     -4,550        257        955        258        160      1,306      3,225         -1         45        -78          0     -1,976      1,280
 
Percent of Open Interest Represented by Each Category of Trader
       0.1       44.3        0.3       49.5        8.3        1.1       36.5       24.7        0.1        1.0        1.9        0.0       11.5       19.3
 
Number of Traders in Each Category                                    Total Traders:        75
         .         13          .          7          8          5         17         23          .          .          4          0
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Traders in Financial Futures - Futures Only Positions as of December 27, 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   276,022
Positions
   122,475     27,029        155     49,677     32,557      4,724     57,998    144,008        985     14,330     12,138        162     25,516     54,264
 
Changes from:       December 20, 2011                                Total Change is:     9,425
     4,430      2,962          3     -1,648       -692        461      7,811      9,020         76          0        -23          0     -1,708     -2,382
 
Percent of Open Interest Represented by Each Category of Trader
      44.4        9.8        0.1       18.0       11.8        1.7       21.0       52.2        0.4        5.2        4.4        0.1        9.2       19.7
 
Number of Traders in Each Category                                    Total Traders:       170
        22         10          .         15         18         10         24         60          9          6         15          .
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Traders in Financial Futures - Futures Only Positions as of December 27, 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   111,210
Positions
    22,574     18,034      2,867      2,719     44,088      1,050     57,155     28,570          0      6,642        795          0     18,203     15,806
 
Changes from:       December 20, 2011                                Total Change is:     6,393
    -3,174      2,857          0        123      2,413        125      8,330      1,246          0        -12         18          0      1,001       -266
 
Percent of Open Interest Represented by Each Category of Trader
      20.3       16.2        2.6        2.4       39.6        0.9       51.4       25.7        0.0        6.0        0.7        0.0       16.4       14.2
 
Number of Traders in Each Category                                    Total Traders:        73
         7         10          .          .          8          .         17         23          0          4          .          0
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Traders in Financial Futures - Futures Only Positions as of December 27, 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   119,294
Positions
    41,019     34,864     72,505          0          0          0      4,067      9,705      1,292          0          0          0        411        928
 
Changes from:       December 20, 2011                                Total Change is:      -327
      -452       -381        252          0          0          0       -141       -468        141          0          0          0       -127        129
 
Percent of Open Interest Represented by Each Category of Trader
      34.4       29.2       60.8        0.0        0.0        0.0        3.4        8.1        1.1        0.0        0.0        0.0        0.3        0.8
 
Number of Traders in Each Category                                    Total Traders:        21
         9          8         12          0          0          0          .          .          .          0          0          0
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Traders in Financial Futures - Futures Only Positions as of December 27, 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   117,370
Positions
    69,717     52,093        690     23,923      2,557      1,169     17,899     49,968        160      1,234      3,858          0      2,578      6,875
 
Changes from:       December 20, 2011                                Total Change is:     1,018
       195     -1,632         -2      2,103        263        336     -2,275      1,255        -54        546        130          0        169        722
 
Percent of Open Interest Represented by Each Category of Trader
      59.4       44.4        0.6       20.4        2.2        1.0       15.3       42.6        0.1        1.1        3.3        0.0        2.2        5.9
 
Number of Traders in Each Category                                    Total Traders:        86
         7         10          .          6          5          .         13         31          .          6          8          0
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Traders in Financial Futures - Futures Only Positions as of December 27, 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    10,181
Positions
     2,890      1,836        225          0        169          0      4,956      5,012          0        265        500          0      1,845      2,439
 
Changes from:       December 20, 2011                                Total Change is:       739
      -399        540          0          0       -105          0        841        157          0        100         -9          0        197        156
 
Percent of Open Interest Represented by Each Category of Trader
      28.4       18.0        2.2        0.0        1.7        0.0       48.7       49.2        0.0        2.6        4.9        0.0       18.1       24.0
 
Number of Traders in Each Category                                    Total Traders:        32
         7          .          .          0          .          0          5         13          0          .          .          0
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Traders in Financial Futures - Futures Only Positions as of December 27, 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    44,765
Positions
    15,844     29,468        211      3,306      2,462        287     16,261      7,980        285      3,476        185          0      5,097      3,888
 
Changes from:       December 20, 2011                                Total Change is:      -745
      -132     -1,338        -26        306       -163        108       -967        859        125         51         13          0       -209       -322
 
Percent of Open Interest Represented by Each Category of Trader
      35.4       65.8        0.5        7.4        5.5        0.6       36.3       17.8        0.6        7.8        0.4        0.0       11.4        8.7
 
Number of Traders in Each Category                                    Total Traders:        87
        21         11          .          5          6          .         22         16          6          5          .          0
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Traders in Financial Futures - Futures Only Positions as of December 27, 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    89,529
Positions
    31,687     58,935        422      6,611      4,924        573     32,522     15,959        570      6,951        370          0     10,193      7,776
 
Changes from:       December 20, 2011                                Total Change is:    -1,489
      -263     -2,675        -52        611       -325        215     -1,933      1,717        249        101         25          0       -417       -643
 
Percent of Open Interest Represented by Each Category of Trader
      35.4       65.8        0.5        7.4        5.5        0.6       36.3       17.8        0.6        7.8        0.4        0.0       11.4        8.7
 
Number of Traders in Each Category                                    Total Traders:        87
        21         11          .          5          6          .         22         16          6          5          .          0
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Traders in Financial Futures - Futures Only Positions as of December 27, 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   764,761
Positions
    41,891    145,608     30,356    359,822    211,754     63,294     77,711    135,407     38,053     28,229     30,392      2,538    122,868    107,360
 
Changes from:       December 20, 2011                                Total Change is:    19,370
     4,663     12,523      4,738      7,046     -7,843        349     -2,390        999     10,331      1,102        449         15     -6,483     -2,191
 
Percent of Open Interest Represented by Each Category of Trader
       5.5       19.0        4.0       47.1       27.7        8.3       10.2       17.7        5.0        3.7        4.0        0.3       16.1       14.0
 
Number of Traders in Each Category                                    Total Traders:       504
        31         49         26        110         66         59         80        106         55         26         36          8
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Traders in Financial Futures - Futures Only Positions as of December 27, 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   242,649
Positions
    15,779     82,653      1,492    105,994     49,577     11,914     35,865     22,943      1,489      4,015     13,441        611     65,490     58,529
 
Changes from:       December 20, 2011                                Total Change is:     9,520
     5,866      8,755         30       -735       -726         32     10,075      1,370        -30     -1,054        191        100     -4,764       -202
 
Percent of Open Interest Represented by Each Category of Trader
       6.5       34.1        0.6       43.7       20.4        4.9       14.8        9.5        0.6        1.7        5.5        0.3       27.0       24.1
 
Number of Traders in Each Category                                    Total Traders:        99
         8         15          5         23         14         11         15         18          8          .          4          .
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Traders in Financial Futures - Futures Only Positions as of December 27, 2011               
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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E-MINI S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   ($50 X S&P 500 INDEX)                    
CFTC Code #13874A                                                    Open Interest is 2,610,560
Positions
   228,118    412,334     46,760  1,298,131    839,875    227,908    352,216    705,306     39,832    121,167     84,849      9,539    286,889    244,157
 
Changes from:       December 20, 2011                                Total Change is:    49,252
    11,442     36,296      6,080     37,536    -36,954      2,955    -10,175     50,297       -345     10,807      1,317       -451     -8,597     -9,943
 
Percent of Open Interest Represented by Each Category of Trader
       8.7       15.8        1.8       49.7       32.2        8.7       13.5       27.0        1.5        4.6        3.3        0.4       11.0        9.4
 
Number of Traders in Each Category                                    Total Traders:       482
        36         43         18        101         60         54         80        103         48         25         34          7
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Traders in Financial Futures - Futures Only Positions as of December 27, 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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E-MINI S&P 400 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (S&P 400 INDEX X $100)                   
CFTC Code #33874A                                                    Open Interest is   105,902
Positions
    25,717     11,537          0     53,943     64,935      9,800      6,654     10,314          9      1,681      4,838          0      8,098      4,469
 
Changes from:       December 20, 2011                                Total Change is:    -1,007
    -3,477      1,858          0      2,340     -1,425       -123        908     -2,115        -23          0        371          0       -632        450
 
Percent of Open Interest Represented by Each Category of Trader
      24.3       10.9        0.0       50.9       61.3        9.3        6.3        9.7        0.0        1.6        4.6        0.0        7.6        4.2
 
Number of Traders in Each Category                                    Total Traders:        89
        12          8          0         30         14         14          9         10          .          .          4          0
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Traders in Financial Futures - Futures Only Positions as of December 27, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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NASDAQ-100 Consolidated - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 INDEX X $100)                   
CFTC Code #20974+                                                    Open Interest is    51,197
Positions
     8,063     24,905        156     20,320      9,552      1,495     12,481      8,222        987      1,990      3,290          0      5,704      2,588
 
Changes from:       December 20, 2011                                Total Change is:        32
      -738        -61        -28        104       -417        223       -581       -522        592        217        315          0        243        -70
 
Percent of Open Interest Represented by Each Category of Trader
      15.7       48.6        0.3       39.7       18.7        2.9       24.4       16.1        1.9        3.9        6.4        0.0       11.1        5.1
 
Number of Traders in Each Category                                    Total Traders:       192
        20         25          .         28         20          9         36         38          6         12         13          0
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Traders in Financial Futures - Futures Only Positions as of December 27, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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NASDAQ-100 STOCK INDEX (MINI) - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 STOCK INDEX X $20)        
CFTC Code #209742                                                    Open Interest is   255,983
Positions
    40,313    124,526        781    101,602     47,762      7,477     62,405     41,110      4,935      9,952     16,450          0     28,518     12,942
 
Changes from:       December 20, 2011                                Total Change is:       158
    -3,692       -304       -139        519     -2,086      1,113     -2,905     -2,611      2,961      1,084      1,574          0      1,217       -350
 
Percent of Open Interest Represented by Each Category of Trader
      15.7       48.6        0.3       39.7       18.7        2.9       24.4       16.1        1.9        3.9        6.4        0.0       11.1        5.1
 
Number of Traders in Each Category                                    Total Traders:       192
        20         25          .         28         20          9         36         38          6         12         13          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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RUSSELL 2000 MINI INDEX FUTURE - ICE FUTURES U.S.   (RUSSELL 2000 INDEX X $100.00)                  
CFTC Code #23977A                                                    Open Interest is   408,746
Positions
   196,812     24,217     12,100    115,763    214,590     26,707     37,338     97,439      1,185      3,272     17,514        113     15,456     14,881
 
Changes from:       December 20, 2011                                Total Change is:    -7,861
   -10,606      2,303     -1,543      4,250     -2,686        545        -76     -7,157        -84       -816        182       -400        869        979
 
Percent of Open Interest Represented by Each Category of Trader
      48.2        5.9        3.0       28.3       52.5        6.5        9.1       23.8        0.3        0.8        4.3        0.0        3.8        3.6
 
Number of Traders in Each Category                                    Total Traders:       221
        21         11          .         45         46         25         25         54          5          4         15          .
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Traders in Financial Futures - Futures Only Positions as of December 27, 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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NIKKEI STOCK AVERAGE - CHICAGO MERCANTILE EXCHANGE   (NIKKEI INDEX X $5.00)                         
CFTC Code #240741                                                    Open Interest is    23,104
Positions
     5,624          0          0      7,057        734         32      3,716      7,937          3        817      4,231          0      5,855     10,167
 
Changes from:       December 20, 2011                                Total Change is:       768
         1          0          0         54          0        -50        161         27          0        817          0          0       -215        791
 
Percent of Open Interest Represented by Each Category of Trader
      24.3        0.0        0.0       30.5        3.2        0.1       16.1       34.4        0.0        3.5       18.3        0.0       25.3       44.0
 
Number of Traders in Each Category                                    Total Traders:        35
         6          0          0          9          .          .          6          8          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 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    35,756
Positions
    13,250      6,949        732      5,997      4,324        719      6,282      2,914      1,616      1,626          0          0      5,534     18,502
 
Changes from:       December 20, 2011                                Total Change is:     3,256
     2,036       -861       -172        409        -95        176        -92       -551        416        243       -238          0        240      4,581
 
Percent of Open Interest Represented by Each Category of Trader
      37.1       19.4        2.0       16.8       12.1        2.0       17.6        8.1        4.5        4.5        0.0        0.0       15.5       51.7
 
Number of Traders in Each Category                                    Total Traders:        46
        11          8          .          5          .          .          9          7          .          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
MSCI EAFE MINI INDEX - NYSE LIFFE   (MSCI EAFE INDEX X $50)                                         
CFTC Code #244041                                                    Open Interest is    42,764
Positions
     2,280      3,922         39     28,472     22,355      4,975      3,468      9,307          3        205          0          0      3,322      2,163
 
Changes from:       December 20, 2011                                Total Change is:      -720
       203        649        -26       -102     -3,471        709     -1,184        973          0          0          0          0       -320        446
 
Percent of Open Interest Represented by Each Category of Trader
       5.3        9.2        0.1       66.6       52.3       11.6        8.1       21.8        0.0        0.5        0.0        0.0        7.8        5.1
 
Number of Traders in Each Category                                    Total Traders:        50
         .          .          .         14         21         10          5          4          .          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 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    63,820
Positions
    14,183     22,094          9     30,418     23,630      2,479      7,448      9,755        616      2,222      2,771        750      5,695      1,716
 
Changes from:       December 20, 2011                                Total Change is:       670
      -570        523          0      1,686       -533        216     -1,206        709         34         32       -373        429         49       -335
 
Percent of Open Interest Represented by Each Category of Trader
      22.2       34.6        0.0       47.7       37.0        3.9       11.7       15.3        1.0        3.5        4.3        1.2        8.9        2.7
 
Number of Traders in Each Category                                    Total Traders:        67
        10         10          .         14          8          6         10          5          .          6          4          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 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   581,902
Positions
    12,810    114,098      1,903    289,091     91,887     91,029     37,649     93,620      2,613     11,561     66,823          4    135,242    119,925
 
Changes from:       December 20, 2011                                Total Change is:   -17,151
    -8,622       -759        189     -8,444    -12,311        484     -1,826     -4,314       -265      2,049     -1,714          4       -720      1,535
 
Percent of Open Interest Represented by Each Category of Trader
       2.2       19.6        0.3       49.7       15.8       15.6        6.5       16.1        0.4        2.0       11.5        0.0       23.2       20.6
 
Number of Traders in Each Category                                    Total Traders:       139
         7         18          5         43         18         33         20         18          7          6          9          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 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   368,614
Positions
     4,875    147,559      2,631    262,414     20,451     34,217      1,912    121,696      1,784          0      1,501          0     60,781     38,775
 
Changes from:       December 20, 2011                                Total Change is:     1,329
    -1,105      3,033       -189      4,263        270        -78        -30       -410         43          0      1,501          0     -1,575     -2,841
 
Percent of Open Interest Represented by Each Category of Trader
       1.3       40.0        0.7       71.2        5.5        9.3        0.5       33.0        0.5        0.0        0.4        0.0       16.5       10.5
 
Number of Traders in Each Category                                    Total Traders:        71
         .         11          4         38          7         22          .         11          4          0          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 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   691,704
Positions
    92,609     68,881      5,031    132,704    194,613     66,062    237,322    202,829     17,836     32,363     33,818        587    107,190    102,047
 
Changes from:       December 20, 2011                                Total Change is:   -25,494
    21,100    -13,903       -286     -3,238     28,301     -9,860    -19,504    -28,863     -8,711     -3,862        476          0     -1,133      7,352
 
Percent of Open Interest Represented by Each Category of Trader
      13.4       10.0        0.7       19.2       28.1        9.6       34.3       29.3        2.6        4.7        4.9        0.1       15.5       14.8
 
Number of Traders in Each Category                                    Total Traders:       193
        11         22          7         32         43         40         30         34         17          7         14          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 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 1,475,878
Positions
    67,569    141,330     15,406    676,432    568,143    168,396    217,792    184,185     26,276     40,873     84,391      1,535    261,599    286,216
 
Changes from:       December 20, 2011                                Total Change is:    11,117
    -3,761     12,700      1,211      5,098    -33,974     -2,440      3,335     31,482       -370     18,742       -267     -4,038     -6,660      6,813
 
Percent of Open Interest Represented by Each Category of Trader
       4.6        9.6        1.0       45.8       38.5       11.4       14.8       12.5        1.8        2.8        5.7        0.1       17.7       19.4
 
Number of Traders in Each Category                                    Total Traders:       214
        16         25         12         31         51         44         37         35         19          5         14          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 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 1,223,689
Positions
    58,728    194,791     10,314    343,275    415,186    162,498    225,265    144,140     14,937    211,565     63,343          0    197,107    218,480
 
Changes from:       December 20, 2011                                Total Change is:    -4,639
    -1,268      2,306      4,410     16,732    -19,701        212      5,861     21,892    -14,119     -2,081     -1,960          0    -14,386      2,321
 
Percent of Open Interest Represented by Each Category of Trader
       4.8       15.9        0.8       28.1       33.9       13.3       18.4       11.8        1.2       17.3        5.2        0.0       16.1       17.9
 
Number of Traders in Each Category                                    Total Traders:       170
         8         29          8         24         36         38         27         27         12          8         11          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 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   575,653
Positions
   201,802    265,864    169,805      3,482      3,667      2,877    103,883     35,837     45,530     12,778      6,808      8,883     26,613     36,382
 
Changes from:       December 20, 2011                                Total Change is:     9,737
     7,862     14,552     -3,954        216          0       -216      7,825        416     -1,024        -22          0        493     -1,443       -530
 
Percent of Open Interest Represented by Each Category of Trader
      35.1       46.2       29.5        0.6        0.6        0.5       18.0        6.2        7.9        2.2        1.2        1.5        4.6        6.3
 
Number of Traders in Each Category                                    Total Traders:       106
        23         27         39          .          .          .         24         14         20          .          5          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 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 7,467,044
Positions
 1,210,374  2,114,388  1,713,134  1,583,425     57,195    128,689    507,833    538,058  1,377,435     89,428    412,073    158,000    698,726    968,072
 
Changes from:       December 20, 2011                                Total Change is:   -93,222
   -13,315    -97,532     52,052    -78,730     -1,635      7,086     -2,866    -56,219       -806        619     11,951        912    -58,174     -9,031
 
Percent of Open Interest Represented by Each Category of Trader
      16.2       28.3       22.9       21.2        0.8        1.7        6.8        7.2       18.4        1.2        5.5        2.1        9.4       13.0
 
Number of Traders in Each Category                                    Total Traders:       230
        25         56         76          9          5         12         40         55         75          7         15         16
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 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    10,483
Positions
     6,492      3,164          0      1,503        783         11        996      6,246         25      1,208        160          0        248         94
 
Changes from:       December 20, 2011                                Total Change is:        19
         0        131          0          4          2          0         -1       -129          0         10          0          0          6         15
 
Percent of Open Interest Represented by Each Category of Trader
      61.9       30.2        0.0       14.3        7.5        0.1        9.5       59.6        0.2       11.5        1.5        0.0        2.4        0.9
 
Number of Traders in Each Category                                    Total Traders:        28
         .          .          0          .          4          .          4         10          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 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    11,939
Positions
     9,151      6,605          0      1,363      1,793          0      1,026      3,047          0         40        305          0        359        189
 
Changes from:       December 20, 2011                                Total Change is:      -476
      -200        -86          0         -4        -93          0       -191       -260          0        -30          0          0        -51        -37
 
Percent of Open Interest Represented by Each Category of Trader
      76.6       55.3        0.0       11.4       15.0        0.0        8.6       25.5        0.0        0.3        2.6        0.0        3.0        1.6
 
Number of Traders in Each Category                                    Total Traders:        31
         4          5          0          .          4          0          8          6          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 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    64,646
Positions
    22,417     31,605          0      6,166        285        296     23,262     30,050        501      5,640        210          0      6,364      1,699
 
Changes from:       December 20, 2011                                Total Change is:    -2,416
    -1,156        409          0        102          0         -2        803     -3,071          1        700         62         -7     -2,857        192
 
Percent of Open Interest Represented by Each Category of Trader
      34.7       48.9        0.0        9.5        0.4        0.5       36.0       46.5        0.8        8.7        0.3        0.0        9.8        2.6
 
Number of Traders in Each Category                                    Total Traders:       108
         4          7          0          8          .          .         48         11          .         26          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 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   127,438
Positions
    32,402     25,648     34,904      8,428      1,419      1,202      9,521     22,442     11,958      1,406      1,451     15,016     12,601     13,398
 
Changes from:       December 20, 2011                                Total Change is:   -29,554
    -6,399    -11,985     -9,142       -710        181       -310     -6,194     -2,328     -4,096        945       -418       -492     -3,156       -964
 
Percent of Open Interest Represented by Each Category of Trader
      25.4       20.1       27.4        6.6        1.1        0.9        7.5       17.6        9.4        1.1        1.1       11.8        9.9       10.5
 
Number of Traders in Each Category                                    Total Traders:        70
         9          8         12          9          .          4         15         14         15          4          4          5
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of December 27, 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    16,062
Positions
    11,793          0          0      1,463      1,456         90      1,913      2,748        168          0     11,165        427        208          8
 
Changes from:       December 20, 2011                                Total Change is:      -152
     8,612        -27        -83        -30         56          0     -8,837        -31        -52          0       -250        250        -12        -15
 
Percent of Open Interest Represented by Each Category of Trader
      73.4        0.0        0.0        9.1        9.1        0.6       11.9       17.1        1.0        0.0       69.5        2.7        1.3        0.0
 
Number of Traders in Each Category                                    Total Traders:        24
         4          0          0          .          4          .          5          5          .          0          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
```

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Updated December 30, 2011