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Traders in Financial Futures - Futures Only Positions as of March 6, 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   146,771
Positions
    22,504     22,064      6,417     18,801     34,106        185     39,641     54,179     10,069     10,251          0          0     38,903     19,751
 
Changes from:       February 28, 2012                                Total Change is:    10,218
      -313      3,878      2,143       -181         -6         -9        434        336      4,016      2,389     -1,774        -35      1,774      1,669
 
Percent of Open Interest Represented by Each Category of Trader
      15.3       15.0        4.4       12.8       23.2        0.1       27.0       36.9        6.9        7.0        0.0        0.0       26.5       13.5
 
Number of Traders in Each Category                                    Total Traders:        82
         8          9          6          8          4          .         23         18         10         12          0          0
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Traders in Financial Futures - Futures Only Positions as of March 6, 2012                   
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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SWISS FRANC - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF CHF 125,000)                              
CFTC Code #092741                                                    Open Interest is    53,649
Positions
    17,880     16,023      1,181        877      1,489        160     21,017     18,900        621        601          0          0     11,312     15,275
 
Changes from:       February 28, 2012                                Total Change is:     1,289
     5,109       -241        520       -156       -435          0     -1,719       -808        408          0          0          0     -2,873      1,845
 
Percent of Open Interest Represented by Each Category of Trader
      33.3       29.9        2.2        1.6        2.8        0.3       39.2       35.2        1.2        1.1        0.0        0.0       21.1       28.5
 
Number of Traders in Each Category                                    Total Traders:        47
         6         10          4          .          .          .          9         17          5          .          0          0
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Traders in Financial Futures - Futures Only Positions as of March 6, 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   184,104
Positions
   118,527     11,778      2,192     10,838     74,604      2,639     21,484     60,491      5,407      3,844      1,593          0     19,173     25,400
 
Changes from:       February 28, 2012                                Total Change is:     7,219
     1,872     -1,998      1,313       -314       -662        186     -2,318      6,038      4,057      2,232       -666          0        191     -1,049
 
Percent of Open Interest Represented by Each Category of Trader
      64.4        6.4        1.2        5.9       40.5        1.4       11.7       32.9        2.9        2.1        0.9        0.0       10.4       13.8
 
Number of Traders in Each Category                                    Total Traders:        95
        10         10          8          8         14          6         18         29          8          4          .          0
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Traders in Financial Futures - Futures Only Positions as of March 6, 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   147,952
Positions
    30,005     26,417      8,671     63,344      9,757        670     29,578     53,323      3,217        750      2,421          4     11,713     43,472
 
Changes from:       February 28, 2012                                Total Change is:      -358
    11,652     -3,829      6,853       -506      1,640        106    -18,199     -6,270      1,633       -926     -1,455          2       -973        962
 
Percent of Open Interest Represented by Each Category of Trader
      20.3       17.9        5.9       42.8        6.6        0.5       20.0       36.0        2.2        0.5        1.6        0.0        7.9       29.4
 
Number of Traders in Each Category                                    Total Traders:       105
         8         13         10          8          8          .         17         44          9          .          6          .
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Traders in Financial Futures - Futures Only Positions as of March 6, 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   284,739
Positions
   118,595     45,962      4,714     55,484     28,864      3,660     57,022    122,654      5,182      5,956     13,762      1,014     33,112     58,927
 
Changes from:       February 28, 2012                                Total Change is:    13,457
    14,999      6,119      4,114     -9,180     -2,731         63      5,268      1,688        627         15      1,993         -7     -2,442      1,591
 
Percent of Open Interest Represented by Each Category of Trader
      41.7       16.1        1.7       19.5       10.1        1.3       20.0       43.1        1.8        2.1        4.8        0.4       11.6       20.7
 
Number of Traders in Each Category                                    Total Traders:       179
        24         15          9         18         15         12         26         57         17          5         18          .
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Traders in Financial Futures - Futures Only Positions as of March 6, 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   164,007
Positions
    15,603     40,615      9,702      5,150     40,565        741     95,007     43,298      3,202      1,829      3,249         12     32,761     22,623
 
Changes from:       February 28, 2012                                Total Change is:     2,788
     3,162    -17,009      6,429       -807        242         -3     -7,542      7,931      2,409        871       -130          6     -1,737      2,913
 
Percent of Open Interest Represented by Each Category of Trader
       9.5       24.8        5.9        3.1       24.7        0.5       57.9       26.4        2.0        1.1        2.0        0.0       20.0       13.8
 
Number of Traders in Each Category                                    Total Traders:       102
         6         15         11          6          9          .         32         24          9          4          6          .
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Traders in Financial Futures - Futures Only Positions as of March 6, 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   133,184
Positions
    41,384     46,294     76,055          0          0          0      7,894      3,606      7,140        155          0          0        556         89
 
Changes from:       February 28, 2012                                Total Change is:     3,852
         0         96      3,811          0          0          0          0         64          0         53       -120          0        -12          1
 
Percent of Open Interest Represented by Each Category of Trader
      31.1       34.8       57.1        0.0        0.0        0.0        5.9        2.7        5.4        0.1        0.0        0.0        0.4        0.1
 
Number of Traders in Each Category                                    Total Traders:        23
         6         11         13          0          0          0          .          .          .          .          0          0
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Traders in Financial Futures - Futures Only Positions as of March 6, 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   207,994
Positions
    58,246     72,670     15,030     21,938        761      3,142     86,912     95,621     14,370      2,722      2,286        114      5,520      4,000
 
Changes from:       February 28, 2012                                Total Change is:    18,216
       253      3,351      6,403     -4,597        171      3,142      9,193        417      3,813        225       -299        114       -330      1,104
 
Percent of Open Interest Represented by Each Category of Trader
      28.0       34.9        7.2       10.5        0.4        1.5       41.8       46.0        6.9        1.3        1.1        0.1        2.7        1.9
 
Number of Traders in Each Category                                    Total Traders:       111
         7         15          .         10          4          .         38         19         10          9          4          .
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Traders in Financial Futures - Futures Only Positions as of March 6, 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    29,950
Positions
     1,584     14,894        230        744        401          0     22,096     11,667        425        949        338          0      3,922      1,995
 
Changes from:       February 28, 2012                                Total Change is:    -5,209
       -64     -7,430          0        203          2          0     -4,898      1,806        212         41         -4          0       -703        205
 
Percent of Open Interest Represented by Each Category of Trader
       5.3       49.7        0.8        2.5        1.3        0.0       73.8       39.0        1.4        3.2        1.1        0.0       13.1        6.7
 
Number of Traders in Each Category                                    Total Traders:        53
         .         13          .          .          .          0         21          8          .          4          .          0
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Traders in Financial Futures - Futures Only Positions as of March 6, 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    54,004
Positions
    15,690     33,549        165      3,446      2,566        373     23,283      9,337      1,178      2,924        928        107      6,839      5,804
 
Changes from:       February 28, 2012                                Total Change is:    -1,945
       719     -2,067         87       -535        336       -338     -2,781     -1,020        768        -13       -448        107         43        631
 
Percent of Open Interest Represented by Each Category of Trader
      29.1       62.1        0.3        6.4        4.8        0.7       43.1       17.3        2.2        5.4        1.7        0.2       12.7       10.7
 
Number of Traders in Each Category                                    Total Traders:        99
        18         13          .          4          6          .         26         23         10          4          4          .
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Traders in Financial Futures - Futures Only Positions as of March 6, 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   108,007
Positions
    31,380     67,097        330      6,892      5,132        745     46,566     18,673      2,355      5,848      1,855        213     13,678     11,607
 
Changes from:       February 28, 2012                                Total Change is:    -3,890
     1,437     -4,133        173     -1,070        672       -676     -5,561     -2,039      1,535        -26       -896        213         85      1,261
 
Percent of Open Interest Represented by Each Category of Trader
      29.1       62.1        0.3        6.4        4.8        0.7       43.1       17.3        2.2        5.4        1.7        0.2       12.7       10.7
 
Number of Traders in Each Category                                    Total Traders:        99
        18         13          .          4          6          .         26         23         10          4          4          .
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Traders in Financial Futures - Futures Only Positions as of March 6, 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   846,787
Positions
    44,347    176,555     55,182    377,959    172,175     56,461     91,677    188,615     49,620     36,120     28,584      7,118    128,301    112,477
 
Changes from:       February 28, 2012                                Total Change is:    34,794
     1,752    -18,236     11,480     -8,734      3,620      1,428     -3,799     12,238     12,388      3,063     -7,014      1,795     15,420     17,095
 
Percent of Open Interest Represented by Each Category of Trader
       5.2       20.8        6.5       44.6       20.3        6.7       10.8       22.3        5.9        4.3        3.4        0.8       15.2       13.3
 
Number of Traders in Each Category                                    Total Traders:       549
        32         54         38        117         62         62         93        124         75         34         32         12
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Traders in Financial Futures - Futures Only Positions as of March 6, 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   252,705
Positions
    28,907     88,675      5,889    102,913     40,795     10,417     21,905     36,068      3,815      3,569     11,015      3,140     72,150     52,891
 
Changes from:       February 28, 2012                                Total Change is:     6,296
       902    -13,158        402     -2,653     -1,322       -214        499      8,105      1,620          6       -353        539      5,195     10,677
 
Percent of Open Interest Represented by Each Category of Trader
      11.4       35.1        2.3       40.7       16.1        4.1        8.7       14.3        1.5        1.4        4.4        1.2       28.6       20.9
 
Number of Traders in Each Category                                    Total Traders:       106
         9         16          7         26         11         14         15         22         13          .          4          .
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Traders in Financial Futures - Futures Only Positions as of March 6, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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E-MINI S&P 500 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   ($50 X S&P 500 INDEX)                    
CFTC Code #13874A                                                    Open Interest is 2,970,409
Positions
   191,920    554,116    131,749  1,436,585    718,255    168,865    486,821    900,694     91,064    171,447     96,535     11,201    280,757    297,930
 
Changes from:       February 28, 2012                                Total Change is:   142,488
    20,674     -8,965     38,967    -26,992     28,125      4,796     26,156     68,308      6,196     17,001    -31,591      4,563     51,127     32,089
 
Percent of Open Interest Represented by Each Category of Trader
       6.5       18.7        4.4       48.4       24.2        5.7       16.4       30.3        3.1        5.8        3.2        0.4        9.5       10.0
 
Number of Traders in Each Category                                    Total Traders:       526
        32         53         31        104         59         55         93        121         61         33         31         11
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Traders in Financial Futures - Futures Only Positions as of March 6, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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E-MINI S&P 400 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (S&P 400 INDEX X $100)                   
CFTC Code #33874A                                                    Open Interest is   112,490
Positions
    18,351     26,290         59     55,594     61,049      5,404     19,376     11,789          0      4,165      3,582          0      9,541      4,317
 
Changes from:       February 28, 2012                                Total Change is:       240
    -1,894     -3,146          6        281      1,798       -784      2,388      1,995          0      2,067       -232          0     -1,824        603
 
Percent of Open Interest Represented by Each Category of Trader
      16.3       23.4        0.1       49.4       54.3        4.8       17.2       10.5        0.0        3.7        3.2        0.0        8.5        3.8
 
Number of Traders in Each Category                                    Total Traders:        91
         9          8          .         32         13         13         14          9          0          .          .          0
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Traders in Financial Futures - Futures Only Positions as of March 6, 2012                   
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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NASDAQ-100 Consolidated - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 INDEX X $100)                   
CFTC Code #20974+                                                    Open Interest is   115,730
Positions
     6,790     64,443      9,160     32,259      9,138      1,951     47,152     11,758      6,848      1,766      6,448        404      9,401      5,580
 
Changes from:       February 28, 2012                                Total Change is:       935
      -303     -1,476        591       -949       -360        342        191        132        159         64        761        203        636        582
 
Percent of Open Interest Represented by Each Category of Trader
       5.9       55.7        7.9       27.9        7.9        1.7       40.7       10.2        5.9        1.5        5.6        0.3        8.1        4.8
 
Number of Traders in Each Category                                    Total Traders:       247
        17         32         15         34         25         12         71         41         19         13         13          .
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Traders in Financial Futures - Futures Only Positions as of March 6, 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 - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 INDEX X $100)                    
CFTC Code #209741                                                    Open Interest is    19,618
Positions
     9,563     13,974         23          0        300        236      6,307      2,824          0        220        979        272      2,997      1,010
 
Changes from:       February 28, 2012                                Total Change is:     1,074
       250        368          3          0          0        236        364          0          0         20          0        272        -71        195
 
Percent of Open Interest Represented by Each Category of Trader
      48.7       71.2        0.1        0.0        1.5        1.2       32.1       14.4        0.0        1.1        5.0        1.4       15.3        5.1
 
Number of Traders in Each Category                                    Total Traders:        26
         9          8          .          0          .          .          4          .          0          .          .          .
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Traders in Financial Futures - Futures Only Positions as of March 6, 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   480,559
Positions
    28,414    294,625      3,404    161,295     44,189      8,574    234,812     75,261      3,652      7,731     27,346        658     32,019     22,850
 
Changes from:       February 28, 2012                                Total Change is:      -697
    -1,909     -8,368      2,087     -4,747     -1,800        528      1,397      2,921     -1,463        218      3,804       -343      3,535      1,937
 
Percent of Open Interest Represented by Each Category of Trader
       5.9       61.3        0.7       33.6        9.2        1.8       48.9       15.7        0.8        1.6        5.7        0.1        6.7        4.8
 
Number of Traders in Each Category                                    Total Traders:       246
        18         31          9         34         25         11         70         43         17         12         13          .
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Traders in Financial Futures - Futures Only Positions as of March 6, 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   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
RUSSELL 2000 MINI INDEX FUTURE - ICE FUTURES U.S.   (RUSSELL 2000 INDEX X $100.00)                  
CFTC Code #23977A                                                    Open Interest is   416,621
Positions
   130,768     31,672     25,964    133,604    206,237     24,236     70,708    101,557      1,918      7,895      9,452        376     21,152     15,209
 
Changes from:       February 28, 2012                                Total Change is:     7,486
     8,080     -2,636      6,466     -7,970        768     -1,820      2,843      7,484     -1,176        -26     -1,398         10      1,079       -212
 
Percent of Open Interest Represented by Each Category of Trader
      31.4        7.6        6.2       32.1       49.5        5.8       17.0       24.4        0.5        1.9        2.3        0.1        5.1        3.7
 
Number of Traders in Each Category                                    Total Traders:       248
        19         14          9         46         43         24         44         58         13         11         13          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of March 6, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
NIKKEI STOCK AVERAGE - CHICAGO MERCANTILE EXCHANGE   (NIKKEI INDEX X $5.00)                         
CFTC Code #240741                                                    Open Interest is    50,210
Positions
     8,925      1,221      9,906     11,986          0         90      3,995     10,586      4,095      3,089      5,890          0      8,124     18,422
 
Changes from:       February 28, 2012                                Total Change is:    13,546
       -60       -490      9,435        236       -440        -90       -715      1,821      3,595        194         12          0        951       -297
 
Percent of Open Interest Represented by Each Category of Trader
      17.8        2.4       19.7       23.9        0.0        0.2        8.0       21.1        8.2        6.2       11.7        0.0       16.2       36.7
 
Number of Traders in Each Category                                    Total Traders:        52
         9          .          6         12          0          .          9          9          7          5          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of March 6, 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    68,640
Positions
     8,073     16,286      2,401      9,670      4,278        844     12,427      7,338      8,575      2,414      2,777      1,720     22,516     24,421
 
Changes from:       February 28, 2012                                Total Change is:    23,379
       816      2,497        702       -288         40        142      1,632        129      5,677       -496     -1,080      1,720     13,474     13,552
 
Percent of Open Interest Represented by Each Category of Trader
      11.8       23.7        3.5       14.1        6.2        1.2       18.1       10.7       12.5        3.5        4.0        2.5       32.8       35.6
 
Number of Traders in Each Category                                    Total Traders:        70
        11         16          7          8          4          .         13         12          7          .          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of March 6, 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    47,384
Positions
     2,397      4,183         65     32,242     25,805      3,961      3,675     10,568        174          0          0          0      4,870      2,628
 
Changes from:       February 28, 2012                                Total Change is:      -623
      -110        196          0     -1,718      1,381        113        737     -2,427        -57          0          0          0        412        171
 
Percent of Open Interest Represented by Each Category of Trader
       5.1        8.8        0.1       68.0       54.5        8.4        7.8       22.3        0.4        0.0        0.0        0.0       10.3        5.5
 
Number of Traders in Each Category                                    Total Traders:        55
         .          .          .         20         20          9          5          6          .          0          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of March 6, 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    82,327
Positions
    11,460     28,263      1,044     33,042     25,215      3,702     12,042     19,313        740      8,907        240        689     10,701      3,121
 
Changes from:       February 28, 2012                                Total Change is:     1,025
      -179        540        183     -1,312        -83        621        748     -1,326        528        220        240         20        196        302
 
Percent of Open Interest Represented by Each Category of Trader
      13.9       34.3        1.3       40.1       30.6        4.5       14.6       23.5        0.9       10.8        0.3        0.8       13.0        3.8
 
Number of Traders in Each Category                                    Total Traders:        91
         8         14          .         22         11          8         17          6          4         12          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of March 6, 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   605,174
Positions
     8,322     81,836      3,706    266,339    162,280     89,721     79,904     63,885      5,859     10,003     50,351          0    141,320    147,536
 
Changes from:       February 28, 2012                                Total Change is:   -38,350
    -2,226      2,492     -9,648     12,424      3,505     -5,355        161     -7,166     -7,367       -140     -3,333       -192    -26,007    -11,286
 
Percent of Open Interest Represented by Each Category of Trader
       1.4       13.5        0.6       44.0       26.8       14.8       13.2       10.6        1.0        1.7        8.3        0.0       23.4       24.4
 
Number of Traders in Each Category                                    Total Traders:       166
         8         17         12         47         23         35         30         27         11          .         12          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of March 6, 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   355,708
Positions
     4,514    137,877     16,067    245,179     25,412     28,818      1,671     92,756      2,084          0          0          0     57,375     52,694
 
Changes from:       February 28, 2012                                Total Change is:   -49,550
      -130      4,173    -25,043     -2,215      2,189     -4,533     -2,091    -19,486     -7,923     -1,545     -2,635     -1,108     -4,962      4,816
 
Percent of Open Interest Represented by Each Category of Trader
       1.3       38.8        4.5       68.9        7.1        8.1        0.5       26.1        0.6        0.0        0.0        0.0       16.1       14.8
 
Number of Traders in Each Category                                    Total Traders:        63
         .         11          7         33          7         19          .          9          .          0          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of March 6, 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   851,489
Positions
    71,590     58,408     22,901    128,939    279,990     73,351    287,621    208,539     62,038     90,324     31,062      6,730    107,995    108,470
 
Changes from:       February 28, 2012                                Total Change is:   -77,009
   -15,044    -21,230     -6,779    -20,628     -6,452      5,598     -4,133    -17,134    -20,161      3,651       -206        -73    -19,440    -10,572
 
Percent of Open Interest Represented by Each Category of Trader
       8.4        6.9        2.7       15.1       32.9        8.6       33.8       24.5        7.3       10.6        3.6        0.8       12.7       12.7
 
Number of Traders in Each Category                                    Total Traders:       206
        14         20         13         35         31         42         41         36         21         14         15          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of March 6, 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 1,858,467
Positions
    94,007    157,024     45,867    726,652    841,411    144,302    470,543    174,493     35,154     50,965    101,786     10,998    279,979    347,432
 
Changes from:       February 28, 2012                                Total Change is:   -42,682
    -4,719      3,508    -27,754     -7,142        609    -17,056     74,757     14,312    -11,581      6,259     23,545    -22,939    -32,507     -5,326
 
Percent of Open Interest Represented by Each Category of Trader
       5.1        8.4        2.5       39.1       45.3        7.8       25.3        9.4        1.9        2.7        5.5        0.6       15.1       18.7
 
Number of Traders in Each Category                                    Total Traders:       271
        23         28         21         28         65         47         45         56         30          7         19          4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of March 6, 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 1,377,653
Positions
   106,786    149,815     37,879    411,396    669,995    129,576    296,387     77,497     10,676    171,566     67,112         86    213,301    235,017
 
Changes from:       February 28, 2012                                Total Change is:   -59,853
     1,577     -7,838    -14,904     28,418      2,671    -28,616      5,126     16,692    -15,727        222      2,692    -12,128    -23,821     -2,695
 
Percent of Open Interest Represented by Each Category of Trader
       7.8       10.9        2.7       29.9       48.6        9.4       21.5        5.6        0.8       12.5        4.9        0.0       15.5       17.1
 
Number of Traders in Each Category                                    Total Traders:       186
        11         25         13         25         39         34         35         29         15          8         14          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of March 6, 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   512,829
Positions
   161,310    175,574    186,775      1,118      1,105      2,005     74,359     49,888     49,299      1,818      3,750      3,433     32,712     41,000
 
Changes from:       February 28, 2012                                Total Change is:   -53,352
    -4,750    -24,716    -25,766          9          0         -9    -17,210        488     -4,829     -2,895       -600        911      1,187      1,169
 
Percent of Open Interest Represented by Each Category of Trader
      31.5       34.2       36.4        0.2        0.2        0.4       14.5        9.7        9.6        0.4        0.7        0.7        6.4        8.0
 
Number of Traders in Each Category                                    Total Traders:        82
        19         25         42          .          .          .         15         12         20          .          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of March 6, 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 8,722,939
Positions
 2,084,618  2,123,542  1,948,593    675,036    651,435     91,491    971,818    602,935  1,885,011     78,312    340,752    164,702    823,358    914,478
 
Changes from:       February 28, 2012                                Total Change is:   155,091
   259,123    171,941    -82,437   -131,617    -18,636      6,246     65,757     35,614     53,438      3,394     24,642     -3,620    -15,193    -32,097
 
Percent of Open Interest Represented by Each Category of Trader
      23.9       24.3       22.3        7.7        7.5        1.0       11.1        6.9       21.6        0.9        3.9        1.9        9.4       10.5
 
Number of Traders in Each Category                                    Total Traders:       269
        27         63         83         12          8         14         62         54         95         11         15         19
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of March 6, 2012                   
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
INTEREST RATE SWAPS 10YR - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000)                         
CFTC Code #246602                                                    Open Interest is     9,674
Positions
     4,570      4,001          0      1,390        852         31      1,683      4,289        315      1,410        100          0        275         86
 
Changes from:       February 28, 2012                                Total Change is:      -976
      -435        375          0         -3        -25         25       -759     -1,540        205          0          0          0         -9        -16
 
Percent of Open Interest Represented by Each Category of Trader
      47.2       41.4        0.0       14.4        8.8        0.3       17.4       44.3        3.3       14.6        1.0        0.0        2.8        0.9
 
Number of Traders in Each Category                                    Total Traders:        29
         .          .          0          .          4          .          6          7          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of March 6, 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    11,456
Positions
     6,300      6,564          0        991      1,570          0      3,072      1,944        814         40        140          0        239        424
 
Changes from:       February 28, 2012                                Total Change is:      -561
    -1,513     -1,336          0         48       -230          0        115       -125        802          0          0          0        -13        328
 
Percent of Open Interest Represented by Each Category of Trader
      55.0       57.3        0.0        8.7       13.7        0.0       26.8       17.0        7.1        0.3        1.2        0.0        2.1        3.7
 
Number of Traders in Each Category                                    Total Traders:        32
         .          6          0          .          4          0          5         10          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of March 6, 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    52,985
Positions
    15,808     29,998        209      2,364        204        415     20,071     18,392      2,040      4,399        362          0      7,679      1,365
 
Changes from:       February 28, 2012                                Total Change is:     4,387
       216         10        156        567         67        -43        838      4,642      1,137        373       -681        -39      1,182       -862
 
Percent of Open Interest Represented by Each Category of Trader
      29.8       56.6        0.4        4.5        0.4        0.8       37.9       34.7        3.9        8.3        0.7        0.0       14.5        2.6
 
Number of Traders in Each Category                                    Total Traders:       101
         6          4          .          8          .          .         33         14          4         29          4          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of March 6, 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   271,074
Positions
   144,462     63,189     27,462     31,158      5,002      3,382      6,466     96,768      9,060      1,407     17,019     26,316     21,361     22,876
 
Changes from:       February 28, 2012                                Total Change is:    34,546
    19,554      5,766      7,524      3,875        278        734     -4,016     10,921      3,739        294      1,669      2,732        110      1,183
 
Percent of Open Interest Represented by Each Category of Trader
      53.3       23.3       10.1       11.5        1.8        1.2        2.4       35.7        3.3        0.5        6.3        9.7        7.9        8.4
 
Number of Traders in Each Category                                    Total Traders:       122
        11         14         18         10          9          9         17         38         30          8          7         12
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of March 6, 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    17,174
Positions
    10,549        615          0      2,726      1,078          0      1,972     13,307        594        290        984        474        569        122
 
Changes from:       February 28, 2012                                Total Change is:       206
        -7        -37          0       -417         39          0        124        132        -47          0        -37         37        516        119
 
Percent of Open Interest Represented by Each Category of Trader
      61.4        3.6        0.0       15.9        6.3        0.0       11.5       77.5        3.5        1.7        5.7        2.8        3.3        0.7
 
Number of Traders in Each Category                                    Total Traders:        26
         .          .          0          5          .          0          4          7          .          .          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of March 6, 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   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
S&P GSCI COMMODITY INDEX - CHICAGO MERCANTILE EXCHANGE   (GSCI X $250)                              
CFTC Code #256741                                                    Open Interest is    10,350
Positions
       995      8,284          0      6,910          0          0      1,030      1,799          0          0          0          0      1,415        267
 
Changes from:       February 28, 2012                                Total Change is:       822
       -30         42          0      1,210          0          0       -352        654          0          0          0          0         -6        126
 
Percent of Open Interest Represented by Each Category of Trader
       9.6       80.0        0.0       66.8        0.0        0.0       10.0       17.4        0.0        0.0        0.0        0.0       13.7        2.6
 
Number of Traders in Each Category                                    Total Traders:        22
         .          .          0         11          0          0          4          .          0          0          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
```

----

Updated March 9, 2012