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Traders in Financial Futures - Futures Only Positions as of January 17, 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   123,101
Positions
    42,312      5,079      1,416     17,996     34,654        613     21,482     55,422      4,219      8,397        643          0     26,666     21,055
 
Changes from:       January 10, 2012                                 Total Change is:     2,104
     1,499     -1,927        341      1,408       -148          0      1,797      2,140        192       -610         -2          0     -2,523      1,508
 
Percent of Open Interest Represented by Each Category of Trader
      34.4        4.1        1.2       14.6       28.2        0.5       17.5       45.0        3.4        6.8        0.5        0.0       21.7       17.1
 
Number of Traders in Each Category                                    Total Traders:        71
         9          7          6          6          4          .         16         18          .         10          .          0
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Traders in Financial Futures - Futures Only Positions as of January 17, 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    41,577
Positions
    12,704      1,475        597        999      1,969        275     19,171     17,957         16        537          0          0      7,278     19,288
 
Changes from:       January 10, 2012                                 Total Change is:      -292
    -1,620       -540        594          0        648          0       -506        798          4          0       -648          0      1,236     -1,148
 
Percent of Open Interest Represented by Each Category of Trader
      30.6        3.5        1.4        2.4        4.7        0.7       46.1       43.2        0.0        1.3        0.0        0.0       17.5       46.4
 
Number of Traders in Each Category                                    Total Traders:        44
        10          .          .          .          4          .          8         17          .          .          0          0
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Traders in Financial Futures - Futures Only Positions as of January 17, 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   211,418
Positions
   157,361      1,611        153      8,759     81,639      3,242     26,254     83,100      1,179      1,572      3,585          0     12,898     36,909
 
Changes from:       January 10, 2012                                 Total Change is:    11,563
    10,527        153        114        804      3,186          0        653      3,468       -181       -810        116          0        456      4,707
 
Percent of Open Interest Represented by Each Category of Trader
      74.4        0.8        0.1        4.1       38.6        1.5       12.4       39.3        0.6        0.7        1.7        0.0        6.1       17.5
 
Number of Traders in Each Category                                    Total Traders:        92
        14          4          4          5         16          4         10         36          5          .          5          0
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Traders in Financial Futures - Futures Only Positions as of January 17, 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   168,070
Positions
       597     76,658        150     65,833     10,776      1,089     74,036     52,602        176        750      2,203          0     25,439     24,416
 
Changes from:       January 10, 2012                                 Total Change is:     4,537
       -41      3,057         65        777        -66         -5      1,703      3,449          6          0        -49          0      2,032     -1,920
 
Percent of Open Interest Represented by Each Category of Trader
       0.4       45.6        0.1       39.2        6.4        0.6       44.1       31.3        0.1        0.4        1.3        0.0       15.1       14.5
 
Number of Traders in Each Category                                    Total Traders:        89
         .         19          4          8          8          4         26         23          .          .          .          0
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Traders in Financial Futures - Futures Only Positions as of January 17, 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   300,962
Positions
   135,279     32,277        409     52,274     33,087      4,905     67,707    157,917      1,106      6,019     10,843        312     32,951     60,106
 
Changes from:       January 10, 2012                                 Total Change is:     6,699
     4,219      4,281        -11      1,711      1,229         27       -395      1,928         74       -430     -3,021        150      1,354      2,042
 
Percent of Open Interest Represented by Each Category of Trader
      44.9       10.7        0.1       17.4       11.0        1.6       22.5       52.5        0.4        2.0        3.6        0.1       10.9       20.0
 
Number of Traders in Each Category                                    Total Traders:       182
        24         10          4         18         17         11         23         67         14          4         19          .
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Traders in Financial Futures - Futures Only Positions as of January 17, 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   135,321
Positions
    16,755     36,181      3,334      2,931     44,101      1,044     83,279     33,214         23      1,622        881         11     26,322     16,532
 
Changes from:       January 10, 2012                                 Total Change is:     9,407
     2,268      6,991         -6         -3        109        -16      4,852      3,212         23          0         -2         11      2,278       -915
 
Percent of Open Interest Represented by Each Category of Trader
      12.4       26.7        2.5        2.2       32.6        0.8       61.5       24.5        0.0        1.2        0.7        0.0       19.5       12.2
 
Number of Traders in Each Category                                    Total Traders:        82
         4         14          .          .          8          .         27         22          .          .          .          .
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Traders in Financial Futures - Futures Only Positions as of January 17, 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   126,321
Positions
    33,127     28,280     87,192          0          0          0      4,430      9,249      1,292          0          0          0        280        308
 
Changes from:       January 10, 2012                                 Total Change is:     5,265
   -10,611    -10,024     15,371          0          0          0        363         13          0          0          0          0        142        -95
 
Percent of Open Interest Represented by Each Category of Trader
      26.2       22.4       69.0        0.0        0.0        0.0        3.5        7.3        1.0        0.0        0.0        0.0        0.2        0.2
 
Number of Traders in Each Category                                    Total Traders:        22
         8          9         12          0          0          0          .          .          .          0          0          0
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Traders in Financial Futures - Futures Only Positions as of January 17, 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   130,393
Positions
    69,644     53,102        743     25,141      1,587      1,084     29,526     65,534        212      1,080      3,328          0      2,963      4,803
 
Changes from:       January 10, 2012                                 Total Change is:     6,548
        42       -439        -53      1,747       -514          0      4,856      8,624        -69         96       -553          0        -71       -448
 
Percent of Open Interest Represented by Each Category of Trader
      53.4       40.7        0.6       19.3        1.2        0.8       22.6       50.3        0.2        0.8        2.6        0.0        2.3        3.7
 
Number of Traders in Each Category                                    Total Traders:       100
         6         15          .          7          .          .         21         34          .          5          9          0
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Traders in Financial Futures - Futures Only Positions as of January 17, 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    20,955
Positions
     1,516     11,925        225        183        547          0     15,809      6,033        141        165        443          0      2,916      1,641
 
Changes from:       January 10, 2012                                 Total Change is:     6,782
      -272      6,060          0        183        117          0      6,562        986          0          0       -232          0        309       -149
 
Percent of Open Interest Represented by Each Category of Trader
       7.2       56.9        1.1        0.9        2.6        0.0       75.4       28.8        0.7        0.8        2.1        0.0       13.9        7.8
 
Number of Traders in Each Category                                    Total Traders:        36
         .          8          .          .          .          0          9         10          .          .          .          0
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Traders in Financial Futures - Futures Only Positions as of January 17, 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    50,886
Positions
    14,943     32,860        383      3,107      2,752        583     20,314      8,521        926      3,188        429          0      7,444      4,434
 
Changes from:       January 10, 2012                                 Total Change is:       637
        70       -474        -41       -236        -17         63        273        421        327        245        223          0        -64        134
 
Percent of Open Interest Represented by Each Category of Trader
      29.4       64.6        0.8        6.1        5.4        1.1       39.9       16.7        1.8        6.3        0.8        0.0       14.6        8.7
 
Number of Traders in Each Category                                    Total Traders:        89
        20         14          .          .          6          .         23         16          6          5          .          0
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Traders in Financial Futures - Futures Only Positions as of January 17, 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   101,771
Positions
    29,886     65,720        765      6,213      5,504      1,165     40,627     17,041      1,852      6,376        857          0     14,887      8,867
 
Changes from:       January 10, 2012                                 Total Change is:     1,273
       139       -947        -82       -472        -33        126        546        842        653        490        446          0       -127        268
 
Percent of Open Interest Represented by Each Category of Trader
      29.4       64.6        0.8        6.1        5.4        1.1       39.9       16.7        1.8        6.3        0.8        0.0       14.6        8.7
 
Number of Traders in Each Category                                    Total Traders:        89
        20         14          .          .          6          .         23         16          6          5          .          0
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Traders in Financial Futures - Futures Only Positions as of January 17, 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   766,599
Positions
    39,662    162,479     38,279    363,877    203,560     56,880     86,564    146,268     27,664     29,635     33,232      1,490    122,549     96,747
 
Changes from:       January 10, 2012                                 Total Change is:    10,758
    -1,871      6,313      1,199      5,687     -7,591     -4,651      1,317      4,794      5,489        778      1,765       -423      3,233      3,863
 
Percent of Open Interest Represented by Each Category of Trader
       5.2       21.2        5.0       47.5       26.6        7.4       11.3       19.1        3.6        3.9        4.3        0.2       16.0       12.6
 
Number of Traders in Each Category                                    Total Traders:       513
        31         55         28        114         64         65         77        108         62         28         36         11
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Traders in Financial Futures - Futures Only Positions as of January 17, 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   241,768
Positions
    24,547     94,880      1,495    109,547     49,164     11,762     22,336     22,258      1,578      1,569     10,578        611     68,323     49,442
 
Changes from:       January 10, 2012                                 Total Change is:     4,366
     1,431      2,931          0       -565       -374       -136      1,886        347        132      1,507        -40          0        111      1,506
 
Percent of Open Interest Represented by Each Category of Trader
      10.2       39.2        0.6       45.3       20.3        4.9        9.2        9.2        0.7        0.6        4.4        0.3       28.3       20.5
 
Number of Traders in Each Category                                    Total Traders:       102
         8         16          5         24         14         11         16         17         10          .          5          .
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Traders in Financial Futures - Futures Only Positions as of January 17, 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 2,624,154
Positions
   208,761    471,182     50,731  1,300,681    801,012    196,556    392,926    691,835     58,646    140,742    113,685      3,983    271,128    236,524
 
Changes from:       January 10, 2012                                 Total Change is:    31,959
   -10,341     23,079       -170     30,472    -36,875    -21,789      7,081     32,161     16,861     -3,652      9,020     -2,111     15,608     11,783
 
Percent of Open Interest Represented by Each Category of Trader
       8.0       18.0        1.9       49.6       30.5        7.5       15.0       26.4        2.2        5.4        4.3        0.2       10.3        9.0
 
Number of Traders in Each Category                                    Total Traders:       490
        35         49         19        103         59         60         77        106         51         27         34          9
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Traders in Financial Futures - Futures Only Positions as of January 17, 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 400 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (S&P 400 INDEX X $100)                   
CFTC Code #33874A                                                    Open Interest is   105,621
Positions
    22,549     14,695          0     52,069     65,277      8,461     10,919      8,430        318      1,717      4,043          0      9,588      4,397
 
Changes from:       January 10, 2012                                 Total Change is:     2,006
    -1,195      1,872          0        511       -288        212      1,885       -330        165          0         56          0        428        319
 
Percent of Open Interest Represented by Each Category of Trader
      21.3       13.9        0.0       49.3       61.8        8.0       10.3        8.0        0.3        1.6        3.8        0.0        9.1        4.2
 
Number of Traders in Each Category                                    Total Traders:        91
        11          8          0         31         14         16         13          8          .          .          4          0
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Traders in Financial Futures - Futures Only Positions as of January 17, 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    77,129
Positions
     5,963     35,967      6,101     24,818      9,753      1,758     22,977      9,200      4,043      1,096      4,165         73     10,299      6,068
 
Changes from:       January 10, 2012                                 Total Change is:     7,971
      -277      4,429        630      1,177         -2         28      5,375      1,100        962       -761        229         20        817        574
 
Percent of Open Interest Represented by Each Category of Trader
       7.7       46.6        7.9       32.2       12.6        2.3       29.8       11.9        5.2        1.4        5.4        0.1       13.4        7.9
 
Number of Traders in Each Category                                    Total Traders:       222
        21         30         10         28         21         10         56         41         15          9         16          .
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Traders in Financial Futures - Futures Only Positions as of January 17, 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 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 INDEX X $100)                    
CFTC Code #209741                                                    Open Interest is    11,477
Positions
     5,285      7,113         20          0        300          0      3,731        369          0          0        365          0      2,441      3,310
 
Changes from:       January 10, 2012                                 Total Change is:     1,977
       960      1,550          0          0          0          0      1,083          0          0          0          0          0        -66        427
 
Percent of Open Interest Represented by Each Category of Trader
      46.0       62.0        0.2        0.0        2.6        0.0       32.5        3.2        0.0        0.0        3.2        0.0       21.3       28.8
 
Number of Traders in Each Category                                    Total Traders:        22
         8          7          .          0          .          0          4          .          0          0          .          0
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Traders in Financial Futures - Futures Only Positions as of January 17, 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 STOCK INDEX (MINI) - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 STOCK INDEX X $20)        
CFTC Code #209742                                                    Open Interest is   328,260
Positions
    32,477    173,356      1,320    124,092     47,267      8,791    114,678     62,605      1,766      5,480     19,000        364     39,292     13,791
 
Changes from:       January 10, 2012                                 Total Change is:    29,970
    -3,444     17,139        408      5,884        -12        142     25,557      9,601        710     -3,803      1,144        102      4,414        736
 
Percent of Open Interest Represented by Each Category of Trader
       9.9       52.8        0.4       37.8       14.4        2.7       34.9       19.1        0.5        1.7        5.8        0.1       12.0        4.2
 
Number of Traders in Each Category                                    Total Traders:       221
        22         28          .         28         21         10         54         43         11          9         16          .
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Traders in Financial Futures - Futures Only Positions as of January 17, 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   403,614
Positions
   176,041     26,019     14,083    114,422    206,604     28,426     46,048     93,712      2,015      3,940     15,747        153     18,486     16,855
 
Changes from:       January 10, 2012                                 Total Change is:     4,288
    -5,665      3,030      1,012       -795     -2,507      1,946      3,181     -2,762      1,653        103       -366         40      2,813      2,242
 
Percent of Open Interest Represented by Each Category of Trader
      43.6        6.4        3.5       28.3       51.2        7.0       11.4       23.2        0.5        1.0        3.9        0.0        4.6        4.2
 
Number of Traders in Each Category                                    Total Traders:       239
        23         11          4         45         44         27         34         58          8          6         18          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 17, 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    23,372
Positions
     5,199        287          0      7,085      1,237         54      4,538      6,959          3        817      4,031          0      5,676     10,801
 
Changes from:       January 10, 2012                                 Total Change is:       201
       -49        -35          0        211         10          0        180       -891          1          0       -200          0       -142      1,316
 
Percent of Open Interest Represented by Each Category of Trader
      22.2        1.2        0.0       30.3        5.3        0.2       19.4       29.8        0.0        3.5       17.2        0.0       24.3       46.2
 
Number of Traders in Each Category                                    Total Traders:        36
         5          .          0          9          .          .          8          7          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 17, 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    38,709
Positions
    15,476      6,554        725      7,205      3,234        704      5,175      2,692      2,270      1,877          0          0      5,277     22,530
 
Changes from:       January 10, 2012                                 Total Change is:       -14
       884       -968         95        401        -55        -22     -1,340       -934        -60       -162          0          0        190      1,930
 
Percent of Open Interest Represented by Each Category of Trader
      40.0       16.9        1.9       18.6        8.4        1.8       13.4        7.0        5.9        4.8        0.0        0.0       13.6       58.2
 
Number of Traders in Each Category                                    Total Traders:        49
        12         10          .          5          .          .          8          8          .          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 17, 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 EAFE MINI INDEX - NYSE LIFFE   (MSCI EAFE INDEX X $50)                                         
CFTC Code #244041                                                    Open Interest is    45,592
Positions
       678      4,307         65     33,752     23,456      4,210      2,509     11,222          4          0          0          0      4,374      2,328
 
Changes from:       January 10, 2012                                 Total Change is:     2,453
      -117        492          0      2,403        411         40       -170      1,411          0          0          0          0        297         99
 
Percent of Open Interest Represented by Each Category of Trader
       1.5        9.4        0.1       74.0       51.4        9.2        5.5       24.6        0.0        0.0        0.0        0.0        9.6        5.1
 
Number of Traders in Each Category                                    Total Traders:        51
         .          .          .         17         20         10          .          7          .          0          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 17, 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    69,764
Positions
    14,294     23,295          0     33,891     23,689      2,616      7,125     15,257        569      3,333        809        620      7,316      2,909
 
Changes from:       January 10, 2012                                 Total Change is:     3,146
      -678         82          0      1,784       -599        446        185      2,448         -1       -255       -234         74      1,591        930
 
Percent of Open Interest Represented by Each Category of Trader
      20.5       33.4        0.0       48.6       34.0        3.7       10.2       21.9        0.8        4.8        1.2        0.9       10.5        4.2
 
Number of Traders in Each Category                                    Total Traders:        71
         9         12          0         15          9          6         10          7          .          7          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 17, 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   641,385
Positions
    17,231    128,260      2,158    298,778    109,701     92,491     54,191    110,025      7,295     21,428     68,952          0    147,813    122,503
 
Changes from:       January 10, 2012                                 Total Change is:    42,182
     1,915     22,100        583     17,845      3,071      7,224      7,932     18,003        980     11,786      1,317         -8     -6,075    -11,088
 
Percent of Open Interest Represented by Each Category of Trader
       2.7       20.0        0.3       46.6       17.1       14.4        8.4       17.2        1.1        3.3       10.8        0.0       23.0       19.1
 
Number of Traders in Each Category                                    Total Traders:       168
         9         21          8         45         21         34         25         32         17          4         11          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 17, 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   374,518
Positions
     4,825    152,088        805    276,145     27,333     29,266      1,872    118,918        216          0          0          0     61,389     45,892
 
Changes from:       January 10, 2012                                 Total Change is:       912
         1        612        377     -5,432     -3,079      2,776          0      1,674       -146          0          0          0      3,336     -1,302
 
Percent of Open Interest Represented by Each Category of Trader
       1.3       40.6        0.2       73.7        7.3        7.8        0.5       31.8        0.1        0.0        0.0        0.0       16.4       12.3
 
Number of Traders in Each Category                                    Total Traders:        68
         .         11          5         36          7         20          .         11          .          0          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 17, 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   787,412
Positions
    73,217    128,964      1,913    148,884    180,062     74,131    256,054    248,569     13,464     99,088     37,731        874    119,787    101,704
 
Changes from:       January 10, 2012                                 Total Change is:   108,475
   -16,624     47,410     -1,736      8,007     -9,709      3,526     42,080     62,873      5,691     56,646      4,275        287     10,598     -4,142
 
Percent of Open Interest Represented by Each Category of Trader
       9.3       16.4        0.2       18.9       22.9        9.4       32.5       31.6        1.7       12.6        4.8        0.1       15.2       12.9
 
Number of Traders in Each Category                                    Total Traders:       213
        10         26          6         33         42         40         38         37         13         12         15          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 17, 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 1,688,393
Positions
    79,366    151,478     17,752    717,743    719,494    153,202    293,264    179,099     46,194     88,408     85,957      4,437    288,027    330,780
 
Changes from:       January 10, 2012                                 Total Change is:   109,414
     3,893     19,334      3,590     31,559     57,042      7,194    -10,538     17,430      2,888     60,030    -15,678       -123     10,921     17,737
 
Percent of Open Interest Represented by Each Category of Trader
       4.7        9.0        1.1       42.5       42.6        9.1       17.4       10.6        2.7        5.2        5.1        0.3       17.1       19.6
 
Number of Traders in Each Category                                    Total Traders:       245
        20         29         17         30         54         43         47         41         29         11         13          6
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 17, 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 1,425,200
Positions
    53,984    220,703      6,866    441,178    592,769    154,819    280,454    126,013     18,714    231,453     91,017          0    237,732    214,299
 
Changes from:       January 10, 2012                                 Total Change is:    94,670
     6,486     16,990      2,295     43,155     58,825     12,374      4,726     -4,718      2,644     24,147     23,733          0     -1,157    -17,473
 
Percent of Open Interest Represented by Each Category of Trader
       3.8       15.5        0.5       31.0       41.6       10.9       19.7        8.8        1.3       16.2        6.4        0.0       16.7       15.0
 
Number of Traders in Each Category                                    Total Traders:       181
         6         33          6         21         42         41         34         22         14          8         15          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 17, 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   520,680
Positions
   157,018    225,377    167,134      2,905      1,040      1,974     89,844     29,316     47,355      8,056      4,855      8,343     38,051     35,286
 
Changes from:       January 10, 2012                                 Total Change is:     4,364
    -3,178        361      5,203        -11          0         11     -2,024     -4,053      3,104        165          5       -621      1,715        354
 
Percent of Open Interest Represented by Each Category of Trader
      30.2       43.3       32.1        0.6        0.2        0.4       17.3        5.6        9.1        1.5        0.9        1.6        7.3        6.8
 
Number of Traders in Each Category                                    Total Traders:        87
        18         24         32          .          .          .         20         12         21          .          4          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 17, 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 7,833,803
Positions
 1,117,497  2,322,966  1,826,844  1,451,434    112,143     91,087    769,168    534,036  1,456,602    100,618    350,551    168,044    852,509    971,530
 
Changes from:       January 10, 2012                                 Total Change is:   171,089
  -107,310    220,440     64,080    -17,006     54,872    -13,436    248,527    -76,056    -79,558      9,799    -38,051     21,438     44,555     17,360
 
Percent of Open Interest Represented by Each Category of Trader
      14.3       29.7       23.3       18.5        1.4        1.2        9.8        6.8       18.6        1.3        4.5        2.1       10.9       12.4
 
Number of Traders in Each Category                                    Total Traders:       242
        26         58         80         11          7         12         56         49         77          8         11         13
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 17, 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     9,465
Positions
     5,304      2,698          0      1,614        784         11      1,019      5,695         30      1,247        160          0        240         87
 
Changes from:       January 10, 2012                                 Total Change is:      -848
      -911         82          0         93          0          0        -12       -955          3          9          0          0        -30         22
 
Percent of Open Interest Represented by Each Category of Trader
      56.0       28.5        0.0       17.1        8.3        0.1       10.8       60.2        0.3       13.2        1.7        0.0        2.5        0.9
 
Number of Traders in Each Category                                    Total Traders:        28
         .          .          0          .          4          .          4          8          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 17, 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    12,428
Positions
     9,040      7,395          0      1,238      1,798          0      1,689      2,735          0         70        305          0        391        195
 
Changes from:       January 10, 2012                                 Total Change is:       145
      -417        621          0         -1         60          0        556       -538          0         30          0          0        -23          2
 
Percent of Open Interest Represented by Each Category of Trader
      72.7       59.5        0.0       10.0       14.5        0.0       13.6       22.0        0.0        0.6        2.5        0.0        3.1        1.6
 
Number of Traders in Each Category                                    Total Traders:        33
         4          5          0          .          4          0          8          6          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 17, 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    68,483
Positions
    20,576     33,561          0      6,843        360        479     24,776     30,720        530      5,483        330          1      9,795      2,502
 
Changes from:       January 10, 2012                                 Total Change is:      -541
      -382       -186          0        203          0          1       -434     -1,145        -24         64       -300          1         30      1,112
 
Percent of Open Interest Represented by Each Category of Trader
      30.0       49.0        0.0       10.0        0.5        0.7       36.2       44.9        0.8        8.0        0.5        0.0       14.3        3.7
 
Number of Traders in Each Category                                    Total Traders:       119
         6          5          0          8          .          .         50         12          .         33          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 17, 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   154,301
Positions
    50,658     32,503     30,370      8,643      2,128        650      8,660     34,586     15,493      1,259      4,042     15,507     23,061     19,022
 
Changes from:       January 10, 2012                                 Total Change is:    10,266
     1,114     -4,101      2,411       -586        416        -59     -3,208        917      3,702       -541        953        293      7,140      5,734
 
Percent of Open Interest Represented by Each Category of Trader
      32.8       21.1       19.7        5.6        1.4        0.4        5.6       22.4       10.0        0.8        2.6       10.0       14.9       12.3
 
Number of Traders in Each Category                                    Total Traders:        78
        13          9         20          8          .          .         12         16         18          6          7          7
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 17, 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    16,148
Positions
    11,727      1,913          0      1,655        924        430      1,658     11,240        168          0      1,216        242        268         15
 
Changes from:       January 10, 2012                                 Total Change is:    -1,493
         0        195          0        110       -335        340          0      2,416          0          0     -2,112          3     -1,946     -2,000
 
Percent of Open Interest Represented by Each Category of Trader
      72.6       11.8        0.0       10.2        5.7        2.7       10.3       69.6        1.0        0.0        7.5        1.5        1.7        0.1
 
Number of Traders in Each Category                                    Total Traders:        24
         .          .          0          4          .          .          .          8          .          0          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
```

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Updated January 20, 2012