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Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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CANADIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF CAD 100,000)                          
CFTC Code #090741                                                    Open Interest is   126,333
Positions
     9,899     29,351        683     17,908     34,785        362     47,603     41,374      1,492      9,061        861          0     39,325     17,425
 
Changes from:       March 27, 2012                                   Total Change is:     3,712
    -1,644      4,024        -57       -601        -40        199      4,447     -1,529       -382        270        647          0      1,480        850
 
Percent of Open Interest Represented by Each Category of Trader
       7.8       23.2        0.5       14.2       27.5        0.3       37.7       32.7        1.2        7.2        0.7        0.0       31.1       13.8
 
Number of Traders in Each Category                                    Total Traders:        77
         4          8          4          7          4          .         25         17          8         10          .          0
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Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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SWISS FRANC - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF CHF 125,000)                              
CFTC Code #092741                                                    Open Interest is    43,624
Positions
    14,514     14,705         40        766      1,497        215     14,122     13,969        229        993          0          0     12,745     12,969
 
Changes from:       March 27, 2012                                   Total Change is:       772
    -1,057      1,313          0       -102         -7         55        444       -201          8        456          0          0        968       -396
 
Percent of Open Interest Represented by Each Category of Trader
      33.3       33.7        0.1        1.8        3.4        0.5       32.4       32.0        0.5        2.3        0.0        0.0       29.2       29.7
 
Number of Traders in Each Category                                    Total Traders:        34
         4          6          .          .          .          .          8         10          .          .          0          0
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Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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BRITISH POUND STERLING - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF GBP 62,500)                    
CFTC Code #096742                                                    Open Interest is   142,660
Positions
    45,052     10,187        455      9,967     72,114      4,409     54,098     28,324        225      3,008      3,324          0     25,446     23,622
 
Changes from:       March 27, 2012                                   Total Change is:     7,513
    -1,489      7,418       -424        343       -547        666      6,560        -62         12        967       -726          0        878      1,176
 
Percent of Open Interest Represented by Each Category of Trader
      31.6        7.1        0.3        7.0       50.5        3.1       37.9       19.9        0.2        2.1        2.3        0.0       17.8       16.6
 
Number of Traders in Each Category                                    Total Traders:        87
         7          8          4          8         14          6         25         17          4          5          .          0
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Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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JAPANESE YEN - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF JPY 12,500,000)                          
CFTC Code #097741                                                    Open Interest is   150,382
Positions
    57,721     14,156        141     64,293      9,167        869     15,910     73,151        146        500      2,580          0     10,802     50,172
 
Changes from:       March 27, 2012                                   Total Change is:     4,885
       364      4,238          1        543       -621        173      4,738     -1,520         88       -410        242          0       -612      2,284
 
Percent of Open Interest Represented by Each Category of Trader
      38.4        9.4        0.1       42.8        6.1        0.6       10.6       48.6        0.1        0.3        1.7        0.0        7.2       33.4
 
Number of Traders in Each Category                                    Total Traders:        93
        10          7          .          8          8          .         16         39          .          .          4          0
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Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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EURO FX - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF EUR 125,000)                                  
CFTC Code #099741                                                    Open Interest is   241,006
Positions
   115,302     19,458        985     33,275     29,015     12,393     38,274    105,605        868      6,244     13,994        374     33,291     58,314
 
Changes from:       March 27, 2012                                   Total Change is:     1,560
    -3,356      3,675       -269     -6,341       -803      6,184      7,350     -6,800        341        698        678       -309     -2,738     -1,137
 
Percent of Open Interest Represented by Each Category of Trader
      47.8        8.1        0.4       13.8       12.0        5.1       15.9       43.8        0.4        2.6        5.8        0.2       13.8       24.2
 
Number of Traders in Each Category                                    Total Traders:       163
        24          6          6         17         15         10         24         55         11          6         16          .
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Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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AUSTRALIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF AUD 100,000)                        
CFTC Code #232741                                                    Open Interest is   151,825
Positions
    33,119     35,523        328      3,271     41,374        851     84,020     51,935      1,092      1,516        696         12     27,616     20,014
 
Changes from:       March 27, 2012                                   Total Change is:     4,452
    12,974     -2,456         74       -632        999        114     -9,002      4,217        210        470        -12          0        244      1,306
 
Percent of Open Interest Represented by Each Category of Trader
      21.8       23.4        0.2        2.2       27.3        0.6       55.3       34.2        0.7        1.0        0.5        0.0       18.2       13.2
 
Number of Traders in Each Category                                    Total Traders:        88
         6         10          4          .          9          .         28         26          4          4          .          .
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Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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RUSSIAN RUBLE - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF RUB 2,500,000)                          
CFTC Code #089741                                                    Open Interest is   123,769
Positions
    42,090     46,403     66,128          0          0          0      7,442      3,779      7,384        155          0          0        570         75
 
Changes from:       March 27, 2012                                   Total Change is:       207
        89        244          0          0          0          0       -129       -205        244        -10          0          0         13        -76
 
Percent of Open Interest Represented by Each Category of Trader
      34.0       37.5       53.4        0.0        0.0        0.0        6.0        3.1        6.0        0.1        0.0        0.0        0.5        0.1
 
Number of Traders in Each Category                                    Total Traders:        23
         7          9         12          0          0          0          .          4          .          .          0          0
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Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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MEXICAN PESO - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF MXN 500,000)                             
CFTC Code #095741                                                    Open Interest is   175,692
Positions
    46,774    134,806          0     19,408        302      3,293     95,284     32,000        425      3,704      2,222          0      6,804      2,644
 
Changes from:       March 27, 2012                                   Total Change is:    -2,859
         5       -945          0       -312        302        151     -1,351     -2,664         49       -354       -171          0     -1,047        419
 
Percent of Open Interest Represented by Each Category of Trader
      26.6       76.7        0.0       11.0        0.2        1.9       54.2       18.2        0.2        2.1        1.3        0.0        3.9        1.5
 
Number of Traders in Each Category                                    Total Traders:       110
         8          9          0         11          .          .         52         14          5          9          4          0
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Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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NEW ZEALAND DOLLAR - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF NZD 100,000)                       
CFTC Code #112741                                                    Open Interest is    20,753
Positions
     1,860     13,955          0        506        255          0     14,040      4,486        150        614        338          0      3,583      1,569
 
Changes from:       March 27, 2012                                   Total Change is:       506
       -74      1,999          0        -45        -50          0        312     -1,680         -2        187          0          0        128        239
 
Percent of Open Interest Represented by Each Category of Trader
       9.0       67.2        0.0        2.4        1.2        0.0       67.7       21.6        0.7        3.0        1.6        0.0       17.3        7.6
 
Number of Traders in Each Category                                    Total Traders:        47
         .          8          0          .          .          0         19          9          .          4          .          0
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Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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DJIA Consolidated - CHICAGO BOARD OF TRADE   ($10 X DJIA INDEX)                                     
CFTC Code #12460+                                                    Open Interest is    52,465
Positions
    11,839     32,685        977      4,479      1,210        537     23,707      9,188        277      3,148      2,354          0      7,503      5,238
 
Changes from:       March 27, 2012                                   Total Change is:      -904
        71       -837         20        -81       -241       -117     -1,022     -1,861       -113         51      1,496          0        287        749
 
Percent of Open Interest Represented by Each Category of Trader
      22.6       62.3        1.9        8.5        2.3        1.0       45.2       17.5        0.5        6.0        4.5        0.0       14.3       10.0
 
Number of Traders in Each Category                                    Total Traders:       101
        14         18          .          8          4          .         35         11          5          6          5          0
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Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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DOW JONES INDUSTRIAL AVG- x $5 - CHICAGO BOARD OF TRADE   ($5 X DJIA INDEX)                         
CFTC Code #124603                                                    Open Interest is   104,930
Positions
    23,678     65,370      1,953      8,958      2,420      1,073     47,414     18,376        554      6,295      4,708          0     15,005     10,476
 
Changes from:       March 27, 2012                                   Total Change is:    -1,807
       141     -1,673         40       -161       -482       -234     -2,043     -3,721       -225        101      2,991          0        574      1,497
 
Percent of Open Interest Represented by Each Category of Trader
      22.6       62.3        1.9        8.5        2.3        1.0       45.2       17.5        0.5        6.0        4.5        0.0       14.3       10.0
 
Number of Traders in Each Category                                    Total Traders:       101
        14         18          .          8          4          .         35         11          5          6          5          0
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Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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S&P 500 Consolidated - CHICAGO MERCANTILE EXCHANGE   (S&P 500 INDEX X $250.00)                      
CFTC Code #13874+                                                    Open Interest is   776,067
Positions
    40,682    220,039     16,782    380,452    159,573     45,178     92,376    174,273     20,602     39,939     30,301      4,908    135,148    104,412
 
Changes from:       March 27, 2012                                   Total Change is:     3,339
     2,620      7,205      3,125    -13,287        503        700      8,770     -7,082      2,588        715      1,161      1,529     -3,420     -6,390
 
Percent of Open Interest Represented by Each Category of Trader
       5.2       28.4        2.2       49.0       20.6        5.8       11.9       22.5        2.7        5.1        3.9        0.6       17.4       13.5
 
Number of Traders in Each Category                                    Total Traders:       555
        30         56         25        124         57         62         97        117         64         34         40         14
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Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (S&P 500 INDEX X $250.00)                       
CFTC Code #138741                                                    Open Interest is   225,382
Positions
    18,071     85,002        622    107,105     31,368      8,488     15,139     31,831        938     12,167      6,806        937     61,915     59,390
 
Changes from:       March 27, 2012                                   Total Change is:      -797
     1,481      4,290       -176     -2,530       -427       -179       -312        575       -430      1,198       -812        198        -47     -3,836
 
Percent of Open Interest Represented by Each Category of Trader
       8.0       37.7        0.3       47.5       13.9        3.8        6.7       14.1        0.4        5.4        3.0        0.4       27.5       26.4
 
Number of Traders in Each Category                                    Total Traders:       108
         8         15          .         27          9         12         14         26          9          6          .          .
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Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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E-MINI S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   ($50 X S&P 500 INDEX)                    
CFTC Code #13874A                                                    Open Interest is 2,753,427
Positions
   149,797    711,930     44,055  1,393,503    667,791    156,682    424,611    750,632     59,896    151,968    130,583      6,749    366,166    225,109
 
Changes from:       March 27, 2012                                   Total Change is:    20,681
    12,757     21,639      9,443    -55,660      2,774      6,272     50,676    -33,015      9,820      3,509     15,789        731    -16,867    -12,772
 
Percent of Open Interest Represented by Each Category of Trader
       5.4       25.9        1.6       50.6       24.3        5.7       15.4       27.3        2.2        5.5        4.7        0.2       13.3        8.2
 
Number of Traders in Each Category                                    Total Traders:       528
        29         54         17        109         55         55        102        107         53         32         40         12
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Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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E-MINI S&P 400 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (S&P 400 INDEX X $100)                   
CFTC Code #33874A                                                    Open Interest is   100,269
Positions
     8,740     19,728        408     56,450     58,177      5,576     14,490      9,909        190      4,739      3,079          0      9,676      3,202
 
Changes from:       March 27, 2012                                   Total Change is:      -371
      -620        160        321       -632     -1,726        223        574        171        140         98        -25          0       -475        365
 
Percent of Open Interest Represented by Each Category of Trader
       8.7       19.7        0.4       56.3       58.0        5.6       14.5        9.9        0.2        4.7        3.1        0.0        9.7        3.2
 
Number of Traders in Each Category                                    Total Traders:        99
        11         10          .         35         12         12         15          9          .          5          .          0
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Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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NASDAQ-100 Consolidated - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 INDEX X $100)                   
CFTC Code #20974+                                                    Open Interest is    89,424
Positions
     5,272     51,067        244     31,743      7,275      1,229     42,955     13,585        791      1,694      7,756         78      5,416      7,397
 
Changes from:       March 27, 2012                                   Total Change is:     2,289
     1,146      2,930         -7       -278        -17        156      1,858     -1,264       -397        111        553        -54       -246        389
 
Percent of Open Interest Represented by Each Category of Trader
       5.9       57.1        0.3       35.5        8.1        1.4       48.0       15.2        0.9        1.9        8.7        0.1        6.1        8.3
 
Number of Traders in Each Category                                    Total Traders:       260
        23         31          6         36         21          9         76         42          8         15         16          .
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Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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NASDAQ-100 STOCK INDEX (MINI) - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 STOCK INDEX X $20)        
CFTC Code #209742                                                    Open Interest is   447,118
Positions
    26,361    255,334      1,221    158,717     36,377      6,147    214,776     67,924      3,957      8,470     38,781        391     27,078     36,986
 
Changes from:       March 27, 2012                                   Total Change is:    11,444
     5,729     14,650        -36     -1,390        -86        781      9,288     -6,318     -1,984        555      2,763       -270     -1,229      1,944
 
Percent of Open Interest Represented by Each Category of Trader
       5.9       57.1        0.3       35.5        8.1        1.4       48.0       15.2        0.9        1.9        8.7        0.1        6.1        8.3
 
Number of Traders in Each Category                                    Total Traders:       260
        23         31          6         36         21          9         76         42          8         15         16          .
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Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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RUSSELL 2000 MINI INDEX FUTURE - ICE FUTURES U.S.   (RUSSELL 2000 INDEX X $100.00)                  
CFTC Code #23977A                                                    Open Interest is   379,294
Positions
   129,177     28,036      6,393    137,667    198,272     22,705     54,822     97,870      3,692      5,077      8,769         16     19,745     13,541
 
Changes from:       March 27, 2012                                   Total Change is:     7,090
     6,984       -696        248     -1,846      6,035      1,980       -186       -314      1,329       -871     -1,692         -8       -540        208
 
Percent of Open Interest Represented by Each Category of Trader
      34.1        7.4        1.7       36.3       52.3        6.0       14.5       25.8        1.0        1.3        2.3        0.0        5.2        3.6
 
Number of Traders in Each Category                                    Total Traders:       249
        18         13          4         54         43         20         48         53         12         10         10          .
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Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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NIKKEI STOCK AVERAGE - CHICAGO MERCANTILE EXCHANGE   (NIKKEI INDEX X $5.00)                         
CFTC Code #240741                                                    Open Interest is    49,658
Positions
    16,759        460        361     14,105        360        357      8,971     16,784          0      3,097      6,904          0      6,008     24,432
 
Changes from:       March 27, 2012                                   Total Change is:     3,999
       230       -220        346       -398         50          0      4,459      1,454          0       -222        109          0       -416      2,260
 
Percent of Open Interest Represented by Each Category of Trader
      33.7        0.9        0.7       28.4        0.7        0.7       18.1       33.8        0.0        6.2       13.9        0.0       12.1       49.2
 
Number of Traders in Each Category                                    Total Traders:        55
        11          .          .         14          .          .         10          7          0          6          4          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NIKKEI STOCK AVERAGE YEN DENOM - CHICAGO MERCANTILE EXCHANGE   (NIKKEI INDEX X JPY 500)             
CFTC Code #240743                                                    Open Interest is    49,439
Positions
     6,255      9,978      1,259      8,670      1,070        673     18,174      1,365      3,447      3,304      2,586          0      7,657     29,061
 
Changes from:       March 27, 2012                                   Total Change is:     2,564
       443      1,618        552         71     -1,325        -76      1,214       -102        335        140        310          0       -115      1,252
 
Percent of Open Interest Represented by Each Category of Trader
      12.7       20.2        2.5       17.5        2.2        1.4       36.8        2.8        7.0        6.7        5.2        0.0       15.5       58.8
 
Number of Traders in Each Category                                    Total Traders:        53
        11         13          6          6          .          .         13          .          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
MSCI EAFE MINI INDEX - NYSE LIFFE   (MSCI EAFE INDEX X $50)                                         
CFTC Code #244041                                                    Open Interest is    51,754
Positions
       220      8,981        947     35,160     22,183      3,412      6,877     13,790        251          0          0          0      4,887      2,190
 
Changes from:       March 27, 2012                                   Total Change is:     1,898
         0        309        -86        184       -267       -311      1,940      1,776        118          0          0          0         53        359
 
Percent of Open Interest Represented by Each Category of Trader
       0.4       17.4        1.8       67.9       42.9        6.6       13.3       26.6        0.5        0.0        0.0        0.0        9.4        4.2
 
Number of Traders in Each Category                                    Total Traders:        60
         .          4          .         20         21          9          7          7          .          0          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
MSCI EMERGING MKTS MINI INDEX - NYSE LIFFE   (MSCI EAFE INDEX X $50)                                
CFTC Code #244042                                                    Open Interest is    84,703
Positions
    12,374     29,105      1,538     36,865      7,936      2,958     11,366     38,321         26      8,199        647        236     11,141      3,936
 
Changes from:       March 27, 2012                                   Total Change is:       411
       -55        463        521      3,346     -4,830       -941        705      5,387          0        601        647          0     -3,766       -836
 
Percent of Open Interest Represented by Each Category of Trader
      14.6       34.4        1.8       43.5        9.4        3.5       13.4       45.2        0.0        9.7        0.8        0.3       13.2        4.6
 
Number of Traders in Each Category                                    Total Traders:        97
         9         13          5         24         12          9         13         14          .         11          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY BONDS - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000 FACE VALUE)                   
CFTC Code #020601                                                    Open Interest is   573,636
Positions
    20,341     64,243      3,431    220,143    149,663     94,244     78,985     61,897      6,688     15,484     52,741      2,305    132,015    138,424
 
Changes from:       March 27, 2012                                   Total Change is:     2,296
    -1,199      5,471     -1,087    -22,655     -1,914      3,741     10,270     -6,216       -134      6,408      7,465      2,305      4,647     -7,335
 
Percent of Open Interest Represented by Each Category of Trader
       3.5       11.2        0.6       38.4       26.1       16.4       13.8       10.8        1.2        2.7        9.2        0.4       23.0       24.1
 
Number of Traders in Each Category                                    Total Traders:       158
        10         14          6         39         26         31         27         27         11          5         10          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
LONG-TERM U.S. TREASURY BONDS - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000 FACE VALUE)         
CFTC Code #020604                                                    Open Interest is   344,322
Positions
     2,476    136,549        646    248,219     19,681     34,385      1,600     99,659         56      2,552      7,291          0     54,388     46,055
 
Changes from:       March 27, 2012                                   Total Change is:    -6,855
        -5    -10,535       -173     -4,014         99      1,920        -47       -882       -682       -448      3,600          0     -3,406       -202
 
Percent of Open Interest Represented by Each Category of Trader
       0.7       39.7        0.2       72.1        5.7       10.0        0.5       28.9        0.0        0.7        2.1        0.0       15.8       13.4
 
Number of Traders in Each Category                                    Total Traders:        70
         .         11          .         32          9         23          .         12          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
2-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE   (CONTRACTS OF $200,000 FACE VALUE)            
CFTC Code #042601                                                    Open Interest is   785,415
Positions
    92,288     49,089        598    128,415    277,479     80,971    233,362    188,847     22,980    128,914     47,166      6,765     91,122    111,520
 
Changes from:       March 27, 2012                                   Total Change is:   -31,309
   -16,651     -9,111     -2,648     -8,877    -58,173      6,077     13,711     44,190    -11,723    -20,757      1,205         85      9,474     -1,211
 
Percent of Open Interest Represented by Each Category of Trader
      11.8        6.3        0.1       16.3       35.3       10.3       29.7       24.0        2.9       16.4        6.0        0.9       11.6       14.2
 
Number of Traders in Each Category                                    Total Traders:       213
        20         13          4         36         30         37         38         37         21         17         21          4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
10-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000 FACE VALUE)           
CFTC Code #043602                                                    Open Interest is 1,735,420
Positions
   112,309    153,987     21,186    611,900    628,022    238,258    346,652    214,010     39,044    105,464     79,543     14,528    246,079    346,842
 
Changes from:       March 27, 2012                                   Total Change is:   -22,125
    -1,772     14,400     -1,304    -47,939    -84,266     50,644    -56,363     -9,826        571     24,324      4,110      7,114      2,600     -3,568
 
Percent of Open Interest Represented by Each Category of Trader
       6.5        8.9        1.2       35.3       36.2       13.7       20.0       12.3        2.2        6.1        4.6        0.8       14.2       20.0
 
Number of Traders in Each Category                                    Total Traders:       284
        24         35         15         29         63         49         34         68         34         13         18          8
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
5-YEAR U.S. TREASURY NOTES - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000 FACE VALUE)            
CFTC Code #044601                                                    Open Interest is 1,274,872
Positions
   109,554    107,231     22,962    369,047    574,365    141,606    247,605     91,176     14,722    198,395     77,454        185    170,796    245,171
 
Changes from:       March 27, 2012                                   Total Change is:  -105,813
   -16,309    -45,657     -1,238     20,418    -41,373        823   -120,055    -22,420     -5,349      2,249     11,385        135     13,513     -2,119
 
Percent of Open Interest Represented by Each Category of Trader
       8.6        8.4        1.8       28.9       45.1       11.1       19.4        7.2        1.2       15.6        6.1        0.0       13.4       19.2
 
Number of Traders in Each Category                                    Total Traders:       188
        15         21          6         28         35         34         28         32         18         13         16          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
30-DAY FEDERAL FUNDS - CHICAGO BOARD OF TRADE   (CONTRACTS OF $5,000,000)                           
CFTC Code #045601                                                    Open Interest is   519,960
Positions
   170,059    169,609    184,717          0      4,616      1,200     75,141     51,962     54,835      3,251      3,228      5,408     25,349     44,385
 
Changes from:       March 27, 2012                                   Total Change is:   -51,479
    -9,738    -19,065    -30,447     -1,700         70       -223     -9,648     -1,249        506     -1,779     -2,076        950        600         55
 
Percent of Open Interest Represented by Each Category of Trader
      32.7       32.6       35.5        0.0        0.9        0.2       14.5       10.0       10.5        0.6        0.6        1.0        4.9        8.5
 
Number of Traders in Each Category                                    Total Traders:        80
        17         27         40          0          .          .         11         15         21          .          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
3-MONTH EURODOLLARS - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF $1,000,000)                       
CFTC Code #132741                                                    Open Interest is 8,438,012
Positions
 2,294,100  1,914,341  1,847,431    459,104    808,372    153,607    871,657    538,356  1,762,567     79,316    345,669    182,369    787,861    885,300
 
Changes from:       March 27, 2012                                   Total Change is:   178,796
    93,272     94,609     22,997     -7,273     26,788     -5,953     73,262     30,268     19,759      7,436     18,527    -13,261    -11,443    -14,938
 
Percent of Open Interest Represented by Each Category of Trader
      27.2       22.7       21.9        5.4        9.6        1.8       10.3        6.4       20.9        0.9        4.1        2.2        9.3       10.5
 
Number of Traders in Each Category                                    Total Traders:       256
        36         48         82         14         10         17         56         54         87         11         11         17
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
INTEREST RATE SWAPS 10YR - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000)                         
CFTC Code #246602                                                    Open Interest is    10,621
Positions
     3,847      2,405          0        646        867          6      4,644      6,847         24      1,320        330          0        134        142
 
Changes from:       March 27, 2012                                   Total Change is:       461
      -568       -255          0         50          0          0        990        557          0          0        155          0        -11          4
 
Percent of Open Interest Represented by Each Category of Trader
      36.2       22.6        0.0        6.1        8.2        0.1       43.7       64.5        0.2       12.4        3.1        0.0        1.3        1.3
 
Number of Traders in Each Category                                    Total Traders:        29
         .          .          0          .          4          .          6          6          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
INTEREST RATE SWAPS 5YR - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000)                          
CFTC Code #247602                                                    Open Interest is     8,144
Positions
     5,995      3,538          0      1,170      2,037         45        715      2,341          0         66        100          0        153         83
 
Changes from:       March 27, 2012                                   Total Change is:       585
     1,335         87          0        191        331          0       -972        181          0          1          0          0         30        -14
 
Percent of Open Interest Represented by Each Category of Trader
      73.6       43.4        0.0       14.4       25.0        0.6        8.8       28.7        0.0        0.8        1.2        0.0        1.9        1.0
 
Number of Traders in Each Category                                    Total Traders:        30
         .          5          0          .          5          .          .         11          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
U.S. DOLLAR INDEX - ICE FUTURES U.S.   (U.S. DOLLAR INDEX X $1000)                                  
CFTC Code #098662                                                    Open Interest is    44,594
Positions
    15,637     20,504          0      1,913         56        394     13,910     20,012        819      3,996        394          6      7,919      2,409
 
Changes from:       March 27, 2012                                   Total Change is:    -7,332
      -616       -506          0       -757         56       -152     -5,654     -7,441        296        171         15          6       -626        394
 
Percent of Open Interest Represented by Each Category of Trader
      35.1       46.0        0.0        4.3        0.1        0.9       31.2       44.9        1.8        9.0        0.9        0.0       17.8        5.4
 
Number of Traders in Each Category                                    Total Traders:        96
         6          4          0          8          .          .         29         18          5         23          6          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
VIX FUTURES - CBOE FUTURES EXCHANGE   ($1000 X INDEX)                                               
CFTC Code #1170E1                                                    Open Interest is   310,512
Positions
   143,526     61,232     33,742     35,388      5,899      8,486      6,368     96,683     18,773      1,255     17,417     38,438     24,536     29,842
 
Changes from:       March 27, 2012                                   Total Change is:     6,173
   -10,896     -2,809      6,953      4,056       -442      4,339       -623     -4,647      4,883       -653     -1,346     -3,583      1,697      2,825
 
Percent of Open Interest Represented by Each Category of Trader
      46.2       19.7       10.9       11.4        1.9        2.7        2.1       31.1        6.0        0.4        5.6       12.4        7.9        9.6
 
Number of Traders in Each Category                                    Total Traders:       125
        14         13         24         10          9          7         13         44         38          7          9         10
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of April 3, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
DOW JONES UBS EXCESS RETURN - CHICAGO BOARD OF TRADE   ($100 X INDEX)                               
CFTC Code #221602                                                    Open Interest is     7,345
Positions
       844        935          0      3,306        992          0      1,968      3,567        594        290        913        284         59         60
 
Changes from:       March 27, 2012                                   Total Change is:      -190
      -162        -29          0        -41        -40          0        338        189       -330          0          0          0          5         20
 
Percent of Open Interest Represented by Each Category of Trader
      11.5       12.7        0.0       45.0       13.5        0.0       26.8       48.6        8.1        3.9       12.4        3.9        0.8        0.8
 
Number of Traders in Each Category                                    Total Traders:        22
         .          .          0          5          .          0          .          5          .          .          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
```

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Updated April 6, 2012