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Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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CANADIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF CAD 100,000)                          
CFTC Code #090741                                                    Open Interest is   180,695
Positions
    16,519     21,817     39,661     15,856     35,581        478     33,093     47,158     11,283      9,647      1,507        479     53,678     22,731
 
Changes from:       December 13, 2011                                Total Change is:     1,309
   -26,647        -65      2,395     -2,341        676         28      2,150     -1,137        865        179         22         53     24,626     -1,528
 
Percent of Open Interest Represented by Each Category of Trader
       9.1       12.1       21.9        8.8       19.7        0.3       18.3       26.1        6.2        5.3        0.8        0.3       29.7       12.6
 
Number of Traders in Each Category                                    Total Traders:        75
         5         15         17          5          5          .         14         15         12         13          .          4
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Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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SWISS FRANC - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF CHF 125,000)                              
CFTC Code #092741                                                    Open Interest is    35,469
Positions
    10,226      1,077        822        999        846        203     13,350     13,847      1,411        537          0          0      7,920     17,263
 
Changes from:       December 13, 2011                                Total Change is:   -23,332
    -9,953     -4,949     -7,316          0        -66          0     -1,508     -1,020     -5,335        537       -424          0        244     -4,222
 
Percent of Open Interest Represented by Each Category of Trader
      28.8        3.0        2.3        2.8        2.4        0.6       37.6       39.0        4.0        1.5        0.0        0.0       22.3       48.7
 
Number of Traders in Each Category                                    Total Traders:        35
         7          4          5          .          .          .          5         15          6          .          0          0
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Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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BRITISH POUND STERLING - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF GBP 62,500)                    
CFTC Code #096742                                                    Open Interest is   188,380
Positions
   129,504      1,785      2,100      8,318     77,285      2,805     25,864     70,072      2,582      2,382      3,299        256     14,570     28,196
 
Changes from:       December 13, 2011                                Total Change is:   -33,840
   -20,625       -641    -11,240        666     -1,252       -557      2,992    -11,716     -6,328       -721        537         40      1,934     -2,682
 
Percent of Open Interest Represented by Each Category of Trader
      68.7        0.9        1.1        4.4       41.0        1.5       13.7       37.2        1.4        1.3        1.8        0.1        7.7       15.0
 
Number of Traders in Each Category                                    Total Traders:        85
        11          5         10          5         15          4         15         27         13          .          4          .
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Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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JAPANESE YEN - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF JPY 12,500,000)                          
CFTC Code #097741                                                    Open Interest is   138,818
Positions
       227     61,875      3,596     64,602     10,967      1,379     47,131     29,817      2,063      1,265      2,666          7     18,548     26,448
 
Changes from:       December 13, 2011                                Total Change is:   -73,134
   -17,768    -54,979    -24,368        777        224        502    -18,376     19,251    -12,076       -887        772          7       -945     -2,468
 
Percent of Open Interest Represented by Each Category of Trader
       0.2       44.6        2.6       46.5        7.9        1.0       34.0       21.5        1.5        0.9        1.9        0.0       13.4       19.1
 
Number of Traders in Each Category                                    Total Traders:        75
         .         12          6          7          9          6         17         21         13          .          6          .
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Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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EURO FX - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF EUR 125,000)                                  
CFTC Code #099741                                                    Open Interest is   308,858
Positions
   118,887     22,219      8,196     51,326     35,481      4,426     50,620    134,396     26,140     14,396     11,715      3,870     30,998     62,415
 
Changes from:       December 13, 2011                                Total Change is:   -57,889
     9,743    -32,988    -16,508        478         83     -1,648    -27,011     10,512    -15,341     -1,177      2,112     -1,036     -5,390     -3,075
 
Percent of Open Interest Represented by Each Category of Trader
      38.5        7.2        2.7       16.6       11.5        1.4       16.4       43.5        8.5        4.7        3.8        1.3       10.0       20.2
 
Number of Traders in Each Category                                    Total Traders:       177
        23          7         13         15         21         12         27         60         41          7         17          8
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Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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AUSTRALIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF AUD 100,000)                        
CFTC Code #232741                                                    Open Interest is   112,021
Positions
    25,941     15,618      4,848      2,596     41,713        951     48,487     26,659      3,405      6,625        589        586     18,582     17,653
 
Changes from:       December 13, 2011                                Total Change is:   -48,564
   -20,279    -34,004    -11,891         24        -97       -177    -11,480        671     -2,281       -628        143       -113     -1,739       -816
 
Percent of Open Interest Represented by Each Category of Trader
      23.2       13.9        4.3        2.3       37.2        0.8       43.3       23.8        3.0        5.9        0.5        0.5       16.6       15.8
 
Number of Traders in Each Category                                    Total Traders:        72
         7         11          9          .          7          4         13         26         13          4          .          .
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Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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RUSSIAN RUBLE - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF RUB 2,500,000)                          
CFTC Code #089741                                                    Open Interest is   126,512
Positions
    44,581     38,355     76,034          0          0          0      4,208     10,173      1,151          0          0          0        538        799
 
Changes from:       December 13, 2011                                Total Change is:    -8,225
    -1,033       -283     -4,661          0          0          0        141       -892       -356          0          0          0     -2,316     -2,033
 
Percent of Open Interest Represented by Each Category of Trader
      35.2       30.3       60.1        0.0        0.0        0.0        3.3        8.0        0.9        0.0        0.0        0.0        0.4        0.6
 
Number of Traders in Each Category                                    Total Traders:        21
         8          9         13          0          0          0          .          .          .          0          0          0
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Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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MEXICAN PESO - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF MXN 500,000)                             
CFTC Code #095741                                                    Open Interest is   116,352
Positions
    69,522     53,725        692     21,820      2,294        833     20,174     48,713        214        688      3,728          0      2,409      6,153
 
Changes from:       December 13, 2011                                Total Change is:    -9,481
      -700      9,495     -7,619      2,980        226         21      3,114     -5,844     -6,699        -31        158       -127       -420        908
 
Percent of Open Interest Represented by Each Category of Trader
      59.8       46.2        0.6       18.8        2.0        0.7       17.3       41.9        0.2        0.6        3.2        0.0        2.1        5.3
 
Number of Traders in Each Category                                    Total Traders:        81
         7          9          .          6          5          .         18         26          4          .          7          0
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Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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NEW ZEALAND DOLLAR - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF NZD 100,000)                       
CFTC Code #112741                                                    Open Interest is     9,442
Positions
     3,289      1,296        225          0        274          0      4,115      4,855          0        165        509          0      1,648      2,283
 
Changes from:       December 13, 2011                                Total Change is:   -19,244
   -12,388    -17,261       -175          0         13          0     -6,011     -1,135       -495          0         -5          0       -175       -186
 
Percent of Open Interest Represented by Each Category of Trader
      34.8       13.7        2.4        0.0        2.9        0.0       43.6       51.4        0.0        1.7        5.4        0.0       17.5       24.2
 
Number of Traders in Each Category                                    Total Traders:        31
         8          .          .          0          .          0          5         11          0          .          .          0
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Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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DJIA Consolidated - CHICAGO BOARD OF TRADE   ($10 X DJIA INDEX)                                     
CFTC Code #12460+                                                    Open Interest is    46,735
Positions
    15,976     30,805        243      3,000      2,625        179     17,284      7,527        725      3,779        173        181      5,368      4,278
 
Changes from:       December 13, 2011                                Total Change is:   -61,263
    -8,867     -8,684    -35,768       -846       -196         95       -819      1,569     -9,398      1,700       -919     -3,614     -3,746     -4,348
 
Percent of Open Interest Represented by Each Category of Trader
      34.2       65.9        0.5        6.4        5.6        0.4       37.0       16.1        1.6        8.1        0.4        0.4       11.5        9.2
 
Number of Traders in Each Category                                    Total Traders:        88
        20         12          .          5          6          .         28         11          8          5          .          .
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Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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DOW JONES INDUSTRIAL AVG- x $5 - CHICAGO BOARD OF TRADE   ($5 X DJIA INDEX)                         
CFTC Code #124603                                                    Open Interest is    93,470
Positions
    31,951     61,610        487      6,000      5,249        358     34,569     15,054      1,449      7,558        345        362     10,736      8,556
 
Changes from:       December 13, 2011                                Total Change is:   -68,840
    -8,089     -8,252    -46,018       -497        192        189     -5,424        752     -7,323      3,400     -4,525     -1,098     -3,980     -2,756
 
Percent of Open Interest Represented by Each Category of Trader
      34.2       65.9        0.5        6.4        5.6        0.4       37.0       16.1        1.6        8.1        0.4        0.4       11.5        9.2
 
Number of Traders in Each Category                                    Total Traders:        88
        20         12          .          5          6          .         28         11          8          5          .          .
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Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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S&P 500 Consolidated - CHICAGO MERCANTILE EXCHANGE   (S&P 500 INDEX X $250.00)                      
CFTC Code #13874+                                                    Open Interest is   835,921
Positions
    37,156    132,890     30,718    352,583    219,635     64,367     77,205    128,290     94,754     23,547     28,013     21,011    134,578    116,242
 
Changes from:       December 13, 2011                                Total Change is:  -333,004
   -56,119    -24,187   -126,877      3,303      3,853     -7,739    -18,319    -27,316   -102,956      3,996    -14,649    -11,540    -16,754    -21,594
 
Percent of Open Interest Represented by Each Category of Trader
       4.4       15.9        3.7       42.2       26.3        7.7        9.2       15.3       11.3        2.8        3.4        2.5       16.1       13.9
 
Number of Traders in Each Category                                    Total Traders:       535
        33         50         32        107         69         65         84        121         94         32         39         25
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Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (S&P 500 INDEX X $250.00)                       
CFTC Code #138741                                                    Open Interest is   280,058
Positions
    10,439     74,235      3,906    106,693     50,170     12,883     24,910     20,698     35,015      5,079     13,044      7,637     73,498     62,472
 
Changes from:       December 13, 2011                                Total Change is:  -143,350
   -56,667    -33,522    -28,892      5,071      3,403     -3,032    -13,168    -43,843    -25,430        899      1,074     -4,680    -17,452     -8,428
 
Percent of Open Interest Represented by Each Category of Trader
       3.7       26.5        1.4       38.1       17.9        4.6        8.9        7.4       12.5        1.8        4.7        2.7       26.2       22.3
 
Number of Traders in Each Category                                    Total Traders:       114
         5         15          7         23         14         13         15         31         38          5          6          7
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Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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E-MINI S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   ($50 X S&P 500 INDEX)                    
CFTC Code #13874A                                                    Open Interest is 2,779,314
Positions
   216,398    376,085     51,251  1,259,971    877,845    226,906    362,271    638,753    197,900     96,258     78,765     62,958    305,402    268,852
 
Changes from:       December 13, 2011                                Total Change is:  -948,270
  -242,175   -198,239   -245,008     -8,412      2,679    -23,963   -173,532    -65,144   -239,855     17,355    -76,741    -36,171      3,491    -65,828
 
Percent of Open Interest Represented by Each Category of Trader
       7.8       13.5        1.8       45.3       31.6        8.2       13.0       23.0        7.1        3.5        2.8        2.3       11.0        9.7
 
Number of Traders in Each Category                                    Total Traders:       500
        39         43         26         98         63         58         80        113         81         29         35         21
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Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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E-MINI S&P 400 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (S&P 400 INDEX X $100)                   
CFTC Code #33874A                                                    Open Interest is   106,914
Positions
    29,194      9,679          0     51,603     66,360      9,923      5,746     12,429         32      1,681      4,467          0      8,735      4,024
 
Changes from:       December 13, 2011                                Total Change is:   -25,349
    -1,047    -10,873     -7,100       -606      2,991       -257    -12,896     -3,422     -3,425        259     -2,264          0       -278     -1,000
 
Percent of Open Interest Represented by Each Category of Trader
      27.3        9.1        0.0       48.3       62.1        9.3        5.4       11.6        0.0        1.6        4.2        0.0        8.2        3.8
 
Number of Traders in Each Category                                    Total Traders:        87
        12          8          0         30         14         14          6         11          .          .          4          0
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Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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NASDAQ-100 Consolidated - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 INDEX X $100)                   
CFTC Code #20974+                                                    Open Interest is    51,735
Positions
     8,843     24,908        306     20,217      9,970      1,275     13,026      8,773        670      1,786      3,023         52      5,559      2,757
 
Changes from:       December 13, 2011                                Total Change is:   -63,584
   -11,263    -15,228    -19,588     -2,425       -855       -366     -5,523       -386     -9,689        297       -725     -1,104    -13,924    -15,643
 
Percent of Open Interest Represented by Each Category of Trader
      17.1       48.1        0.6       39.1       19.3        2.5       25.2       17.0        1.3        3.5        5.8        0.1       10.7        5.3
 
Number of Traders in Each Category                                    Total Traders:       194
        22         25          5         28         23         11         40         35         13         12          9          .
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Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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NASDAQ-100 STOCK INDEX (MINI) - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 STOCK INDEX X $20)        
CFTC Code #209742                                                    Open Interest is   258,673
Positions
    44,215    124,542      1,528    101,083     49,848      6,374     65,132     43,865      3,351      8,931     15,116        262     27,797     13,787
 
Changes from:       December 13, 2011                                Total Change is:  -158,560
   -54,984    -16,391    -39,533    -12,124     -2,777     -1,828    -37,039    -12,992    -14,279      1,487      6,937     -5,519      5,259    -72,177
 
Percent of Open Interest Represented by Each Category of Trader
      17.1       48.1        0.6       39.1       19.3        2.5       25.2       17.0        1.3        3.5        5.8        0.1       10.7        5.3
 
Number of Traders in Each Category                                    Total Traders:       194
        22         25          5         28         23         11         40         35         13         12          9          .
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Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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RUSSELL 2000 MINI INDEX FUTURE - ICE FUTURES U.S.   (RUSSELL 2000 INDEX X $100.00)                  
CFTC Code #23977A                                                    Open Interest is   418,197
Positions
   207,418     21,914     13,643    111,513    217,276     26,162     38,008    104,759      2,037      3,805     17,332        885     14,726     14,189
 
Changes from:       December 13, 2011                                Total Change is:   -49,463
    -5,897     -7,330    -23,190      2,846      3,316     -1,812     -9,988        290     -6,777        974     -7,605     -1,293     -4,325     -5,061
 
Percent of Open Interest Represented by Each Category of Trader
      49.6        5.2        3.3       26.7       52.0        6.3        9.1       25.1        0.5        0.9        4.1        0.2        3.5        3.4
 
Number of Traders in Each Category                                    Total Traders:       230
        22         10          .         43         48         24         30         58          9          6         13          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NIKKEI STOCK AVERAGE - CHICAGO MERCANTILE EXCHANGE   (NIKKEI INDEX X $5.00)                         
CFTC Code #240741                                                    Open Interest is    22,336
Positions
     5,623          0          0      7,003        734         82      3,555      7,910          3          0      4,231          0      6,070      9,376
 
Changes from:       December 13, 2011                                Total Change is:      -216
      -639          0          0       -256       -915          0         13       -385          3       -216        335          0        879        746
 
Percent of Open Interest Represented by Each Category of Trader
      25.2        0.0        0.0       31.4        3.3        0.4       15.9       35.4        0.0        0.0       18.9        0.0       27.2       42.0
 
Number of Traders in Each Category                                    Total Traders:        32
         6          0          0          9          .          .          6          7          .          0          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NIKKEI STOCK AVERAGE YEN DENOM - CHICAGO MERCANTILE EXCHANGE   (NIKKEI INDEX X JPY 500)             
CFTC Code #240743                                                    Open Interest is    32,500
Positions
    11,214      7,810        904      5,588      4,419        543      6,374      3,465      1,200      1,383        238          0      5,294     13,921
 
Changes from:       December 13, 2011                                Total Change is:     1,658
     2,023        923        -12        -56        134        132       -631      1,711      1,146        283        -12          0     -1,227     -2,364
 
Percent of Open Interest Represented by Each Category of Trader
      34.5       24.0        2.8       17.2       13.6        1.7       19.6       10.7        3.7        4.3        0.7        0.0       16.3       42.8
 
Number of Traders in Each Category                                    Total Traders:        47
        10          8          .          5          .          .          8          9          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
MSCI EAFE MINI INDEX - NYSE LIFFE   (MSCI EAFE INDEX X $50)                                         
CFTC Code #244041                                                    Open Interest is    43,484
Positions
     2,077      3,273         65     28,574     25,826      4,266      4,652      8,334          3        205          0          0      3,642      1,717
 
Changes from:       December 13, 2011                                Total Change is:    -7,346
    -1,518       -838     -3,651      1,442      1,778       -131       -211     -1,668     -1,377          0          0          0     -1,900     -1,459
 
Percent of Open Interest Represented by Each Category of Trader
       4.8        7.5        0.1       65.7       59.4        9.8       10.7       19.2        0.0        0.5        0.0        0.0        8.4        3.9
 
Number of Traders in Each Category                                    Total Traders:        51
         .          .          .         15         21          9          6          4          .          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
MSCI EMERGING MKTS MINI INDEX - NYSE LIFFE   (MSCI EAFE INDEX X $50)                                
CFTC Code #244042                                                    Open Interest is    63,150
Positions
    14,753     21,571          9     28,732     24,163      2,263      8,654      9,046        582      2,190      3,144        321      5,646      2,051
 
Changes from:       December 13, 2011                                Total Change is:   -22,688
      -869     -2,491       -833        666       -531         70        368      1,573     -5,022         37        449     -1,456    -15,649    -14,447
 
Percent of Open Interest Represented by Each Category of Trader
      23.4       34.2        0.0       45.5       38.3        3.6       13.7       14.3        0.9        3.5        5.0        0.5        8.9        3.2
 
Number of Traders in Each Category                                    Total Traders:        68
        11         10          .         13          9          6         10          5          .          6          4          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY BONDS - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000 FACE VALUE)                   
CFTC Code #020601                                                    Open Interest is   703,470
Positions
    16,364    108,929     43,347    297,988    105,286     94,372     36,910     99,325     45,527     10,030     65,008     13,146    145,784    128,530
 
Changes from:       December 13, 2011                                Total Change is:    21,524
       -62      7,034     11,641      5,953     -4,330     -7,050        -49     11,063      9,291        138      2,082      2,726     -1,063    -10,934
 
Percent of Open Interest Represented by Each Category of Trader
       2.3       15.5        6.2       42.4       15.0       13.4        5.2       14.1        6.5        1.4        9.2        1.9       20.7       18.3
 
Number of Traders in Each Category                                    Total Traders:       154
        10         19         22         42         21         40         24         24         34          4         10          7
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM U.S. TREASURY BONDS - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000 FACE VALUE)         
CFTC Code #020604                                                    Open Interest is   367,791
Positions
     5,980    144,526      2,820    258,151     20,181     34,295      1,942    122,027      1,835          0          0          0     62,768     42,107
 
Changes from:       December 13, 2011                                Total Change is:   -13,909
       861     -9,558     -1,756     -8,674      2,812     -2,895        105        395     -1,385          0          0          0       -165     -1,522
 
Percent of Open Interest Represented by Each Category of Trader
       1.6       39.3        0.8       70.2        5.5        9.3        0.5       33.2        0.5        0.0        0.0        0.0       17.1       11.4
 
Number of Traders in Each Category                                    Total Traders:        68
         .         10          5         37          7         21          .         11          4          0          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
2-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE   (CONTRACTS OF $200,000 FACE VALUE)            
CFTC Code #042601                                                    Open Interest is   737,722
Positions
    71,592     83,280      7,904    135,942    166,312     75,922    254,052    227,027     44,267     36,538     34,055      2,322    109,183     96,632
 
Changes from:       December 13, 2011                                Total Change is:    -2,619
     1,851     -4,819     -9,910      1,096     -7,924      7,703    -10,059     11,317      7,223     -5,494       -885        176      4,795     -5,499
 
Percent of Open Interest Represented by Each Category of Trader
       9.7       11.3        1.1       18.4       22.5       10.3       34.4       30.8        6.0        5.0        4.6        0.3       14.8       13.1
 
Number of Traders in Each Category                                    Total Traders:       200
        13         24         11         33         42         39         29         34         26          9         15          4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000 FACE VALUE)           
CFTC Code #043602                                                    Open Interest is 1,734,484
Positions
    64,918    148,368     94,844    670,618    605,988    184,933    212,339    136,745    139,859     31,421     77,241     48,708    286,844    297,798
 
Changes from:       December 13, 2011                                Total Change is:    19,616
    -3,151     11,368     -1,080     83,875     -1,990     -9,488     -8,723     27,207    -10,748    -13,557      1,966      4,441    -21,952     -2,059
 
Percent of Open Interest Represented by Each Category of Trader
       3.7        8.6        5.5       38.7       34.9       10.7       12.2        7.9        8.1        1.8        4.5        2.8       16.5       17.2
 
Number of Traders in Each Category                                    Total Traders:       240
        19         32         40         32         56         53         51         31         57          8         11          8
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
5-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000 FACE VALUE)            
CFTC Code #044601                                                    Open Interest is 1,378,180
Positions
    52,898    187,877     85,159    326,522    435,350    162,327    211,667    115,405     90,949    212,707     60,222     16,554    219,395    224,336
 
Changes from:       December 13, 2011                                Total Change is:   -70,478
   -19,440     31,756      8,798    -55,173    -45,209      4,581     19,805    -47,807    -24,151     15,161     -7,693        475    -20,534      8,772
 
Percent of Open Interest Represented by Each Category of Trader
       3.8       13.6        6.2       23.7       31.6       11.8       15.4        8.4        6.6       15.4        4.4        1.2       15.9       16.3
 
Number of Traders in Each Category                                    Total Traders:       179
         6         31         24         24         37         41         33         28         31          9         11          6
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE   (CONTRACTS OF $5,000,000)                           
CFTC Code #045601                                                    Open Interest is   710,514
Positions
   195,579    252,952    190,285      3,266      3,667      3,093     82,671     36,288    145,722     27,873      7,417     30,636     31,389     40,455
 
Changes from:       December 13, 2011                                Total Change is:    -6,840
    -2,300      2,193     -7,029          0          0       -477      3,530       -292     -2,973      2,283      1,682        913       -787       -856
 
Percent of Open Interest Represented by Each Category of Trader
      27.5       35.6       26.8        0.5        0.5        0.4       11.6        5.1       20.5        3.9        1.0        4.3        4.4        5.7
 
Number of Traders in Each Category                                    Total Traders:       117
        24         30         42          .          .          .         24         18         35          4          8          6
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
3-MONTH EURODOLLARS - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF $1,000,000)                       
CFTC Code #132741                                                    Open Interest is11,569,617
Positions
 1,205,003  2,307,497  2,696,989  1,737,392     85,763    166,412    466,444    503,150  3,853,084     82,834    358,521    533,963    827,496  1,064,237
 
Changes from:       December 13, 2011                                Total Change is:-3,363,033
  -378,955   -469,210   -549,202   -190,204    -15,174     16,462    -27,151    -51,369 -1,923,662    -27,861    -90,782   -223,490    -58,969    -56,605
 
Percent of Open Interest Represented by Each Category of Trader
      10.4       19.9       23.3       15.0        0.7        1.4        4.0        4.3       33.3        0.7        3.1        4.6        7.2        9.2
 
Number of Traders in Each Category                                    Total Traders:       252
        25         56         78         10         13         21         38         70        104          6         21         21
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
INTEREST RATE SWAPS 10YR - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000)                         
CFTC Code #246602                                                    Open Interest is    10,464
Positions
     6,492      3,033          0      1,499        781         11        997      6,375         25      1,198        160          0        242         79
 
Changes from:       December 13, 2011                                Total Change is:    -1,320
      -110         46          0        -48         -1          0        -37       -255       -311         24          0          0       -838       -799
 
Percent of Open Interest Represented by Each Category of Trader
      62.0       29.0        0.0       14.3        7.5        0.1        9.5       60.9        0.2       11.4        1.5        0.0        2.3        0.8
 
Number of Traders in Each Category                                    Total Traders:        29
         .          .          0          .          4          .          4         10          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
INTEREST RATE SWAPS 5YR - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000)                          
CFTC Code #247602                                                    Open Interest is    12,415
Positions
     9,351      6,691          0      1,367      1,886          0      1,217      3,307          0         70        305          0        410        226
 
Changes from:       December 13, 2011                                Total Change is:    -1,885
    -1,073        -12       -190          0       -301          0        291       -430       -969         30          0          0         26         17
 
Percent of Open Interest Represented by Each Category of Trader
      75.3       53.9        0.0       11.0       15.2        0.0        9.8       26.6        0.0        0.6        2.5        0.0        3.3        1.8
 
Number of Traders in Each Category                                    Total Traders:        32
         5          4          0          .          5          0          7          6          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
U.S. DOLLAR INDEX - ICE FUTURES U.S.   (U.S. DOLLAR INDEX X $1000)                                  
CFTC Code #098662                                                    Open Interest is    68,148
Positions
    23,573     31,170         33      6,064        285        298     22,060     32,827      1,795      4,969        148         11      9,345      1,581
 
Changes from:       December 13, 2011                                Total Change is:       799
     5,086    -15,111          5        815        -23         -6     -4,266     18,958     -1,125         67       -224       -125        348     -1,551
 
Percent of Open Interest Represented by Each Category of Trader
      34.6       45.7        0.0        8.9        0.4        0.4       32.4       48.2        2.6        7.3        0.2        0.0       13.7        2.3
 
Number of Traders in Each Category                                    Total Traders:       106
         5          5          .          8          .          .         44         15          5         24          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
VIX FUTURES - CBOE FUTURES EXCHANGE   ($1000 X INDEX)                                               
CFTC Code #1170E1                                                    Open Interest is   156,992
Positions
    38,801     37,633     44,046      9,138      1,238      1,512     15,715     24,770     16,054        461      1,869     15,508     15,757     14,362
 
Changes from:       December 13, 2011                                Total Change is:     6,562
      -350     -5,221      3,277     -1,288        378         58      4,457      5,697       -153        -68        421      2,199     -1,570        -94
 
Percent of Open Interest Represented by Each Category of Trader
      24.7       24.0       28.1        5.8        0.8        1.0       10.0       15.8       10.2        0.3        1.2        9.9       10.0        9.1
 
Number of Traders in Each Category                                    Total Traders:        79
         9          9         16         11          .          5         21         15         23          .          7          6
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of December 20, 2011               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
DOW JONES UBS EXCESS RETURN - CHICAGO BOARD OF TRADE   ($100 X INDEX)                               
CFTC Code #221602                                                    Open Interest is    16,214
Positions
     3,181         27         83      1,493      1,400         90     10,750      2,779        220          0     11,415        177        220         23
 
Changes from:       December 13, 2011                                Total Change is:      -730
       239          1         -7       -364       -144          0         86        -36        149          0        211       -917         84         13
 
Percent of Open Interest Represented by Each Category of Trader
      19.6        0.2        0.5        9.2        8.6        0.6       66.3       17.1        1.4        0.0       70.4        1.1        1.4        0.1
 
Number of Traders in Each Category                                    Total Traders:        24
         .          .          .          .          4          .          5          5          .          0          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
```

----

Updated December 23, 2011