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Traders in Financial Futures - Futures Only Positions as of February 28, 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   136,553
Positions
    22,817     18,186      4,274     18,982     34,112        194     39,207     53,843      6,053      7,862      1,774         35     37,129     18,082
 
Changes from:       February 21, 2012                                Total Change is:     7,304
     1,872      3,263        651         91         -6         -4      3,460      1,072        914        -30      1,705       -220        570        -71
 
Percent of Open Interest Represented by Each Category of Trader
      16.7       13.3        3.1       13.9       25.0        0.1       28.7       39.4        4.4        5.8        1.3        0.0       27.2       13.2
 
Number of Traders in Each Category                                    Total Traders:        78
         8          9          6          7          4          .         23         16          9          8          .          .
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Traders in Financial Futures - Futures Only Positions as of February 28, 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    52,360
Positions
    12,771     16,264        661      1,033      1,924        160     22,736     19,708        213        601          0          0     14,185     13,430
 
Changes from:       February 21, 2012                                Total Change is:     1,163
      -563      2,563       -193          0        -11          0       -431        164         39          0          0          0      2,311     -1,399
 
Percent of Open Interest Represented by Each Category of Trader
      24.4       31.1        1.3        2.0        3.7        0.3       43.4       37.6        0.4        1.1        0.0        0.0       27.1       25.6
 
Number of Traders in Each Category                                    Total Traders:        49
         6         11          .          .          4          .         11         15          4          .          0          0
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Traders in Financial Futures - Futures Only Positions as of February 28, 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   176,885
Positions
   116,655     13,776        879     11,152     75,266      2,453     23,802     54,453      1,350      1,612      2,259          0     18,982     26,449
 
Changes from:       February 21, 2012                                Total Change is:    -9,783
    -6,988      3,602        -32        -21       -551         -3     -2,442    -13,991        135          0        666          0       -432        391
 
Percent of Open Interest Represented by Each Category of Trader
      65.9        7.8        0.5        6.3       42.6        1.4       13.5       30.8        0.8        0.9        1.3        0.0       10.7       15.0
 
Number of Traders in Each Category                                    Total Traders:        94
         9         11          5          7         14          5         19         29          8          .          .          0
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Traders in Financial Futures - Futures Only Positions as of February 28, 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   148,310
Positions
    18,353     30,246      1,818     63,850      8,117        564     47,777     59,593      1,584      1,676      3,876          2     12,686     42,510
 
Changes from:       February 21, 2012                                Total Change is:    -2,241
    10,280     -9,913        485       -860      1,673         28    -10,325      1,258        779        496        402          2     -3,126      3,045
 
Percent of Open Interest Represented by Each Category of Trader
      12.4       20.4        1.2       43.1        5.5        0.4       32.2       40.2        1.1        1.1        2.6        0.0        8.6       28.7
 
Number of Traders in Each Category                                    Total Traders:       108
         7         14          6          9          7          .         20         40          8          .          8          .
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Traders in Financial Futures - Futures Only Positions as of February 28, 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   271,282
Positions
   103,596     39,843        600     64,664     31,595      3,597     51,754    120,966      4,555      5,941     11,769      1,021     35,554     57,336
 
Changes from:       February 21, 2012                                Total Change is:   -16,243
   -23,192      4,396        151        486      1,136        166      1,780    -22,581      2,280        304      2,020          2      1,780     -3,813
 
Percent of Open Interest Represented by Each Category of Trader
      38.2       14.7        0.2       23.8       11.6        1.3       19.1       44.6        1.7        2.2        4.3        0.4       13.1       21.1
 
Number of Traders in Each Category                                    Total Traders:       179
        22         16          5         18         16         11         27         53         16          6         20          .
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Traders in Financial Futures - Futures Only Positions as of February 28, 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   161,219
Positions
    12,441     57,624      3,273      5,957     40,323        744    102,549     35,367        793        958      3,379          6     34,498     19,710
 
Changes from:       February 21, 2012                                Total Change is:    11,379
        58      6,505       -205        -10        -58          0     11,238      6,292         74         60        627          0        164     -1,856
 
Percent of Open Interest Represented by Each Category of Trader
       7.7       35.7        2.0        3.7       25.0        0.5       63.6       21.9        0.5        0.6        2.1        0.0       21.4       12.2
 
Number of Traders in Each Category                                    Total Traders:        99
         5         14          5          6          9          .         38         19          8          .          5          .
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Traders in Financial Futures - Futures Only Positions as of February 28, 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   129,332
Positions
    41,384     46,198     72,244          0          0          0      7,894      3,542      7,140        102        120          0        568         88
 
Changes from:       February 21, 2012                                Total Change is:     4,058
       -93      5,143         85          0          0          0        128     -4,889      3,735        102          0          0        101        -16
 
Percent of Open Interest Represented by Each Category of Trader
      32.0       35.7       55.9        0.0        0.0        0.0        6.1        2.7        5.5        0.1        0.1        0.0        0.4        0.1
 
Number of Traders in Each Category                                    Total Traders:        24
         6         11         12          0          0          0          .          .          .          .          .          0
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Traders in Financial Futures - Futures Only Positions as of February 28, 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   189,778
Positions
    57,993     69,319      8,627     26,535        590          0     77,719     95,204     10,557      2,497      2,585          0      5,850      2,896
 
Changes from:       February 21, 2012                                Total Change is:    16,696
        22      6,413      5,053        994         -5          0     10,145      5,360       -314        561        281          0        235        -92
 
Percent of Open Interest Represented by Each Category of Trader
      30.6       36.5        4.5       14.0        0.3        0.0       41.0       50.2        5.6        1.3        1.4        0.0        3.1        1.5
 
Number of Traders in Each Category                                    Total Traders:       110
         5         15          .         11          .          0         42         18          6          9          5          0
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Traders in Financial Futures - Futures Only Positions as of February 28, 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    35,159
Positions
     1,648     22,324        230        541        399          0     26,994      9,861        213        908        342          0      4,625      1,790
 
Changes from:       February 21, 2012                                Total Change is:    -1,730
        57     -1,024        -15          1         49          0     -2,267       -847          0        206          0          0        288        107
 
Percent of Open Interest Represented by Each Category of Trader
       4.7       63.5        0.7        1.5        1.1        0.0       76.8       28.0        0.6        2.6        1.0        0.0       13.2        5.1
 
Number of Traders in Each Category                                    Total Traders:        53
         .         13          .          .          .          0         22          7          .          4          .          0
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Traders in Financial Futures - Futures Only Positions as of February 28, 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    55,949
Positions
    14,972     35,615         79      3,981      2,230        711     26,064     10,356        410      2,937      1,376          0      6,797      5,173
 
Changes from:       February 21, 2012                                Total Change is:     2,792
       237      1,837         10        355         64        144      1,693        102        336        -21        212          0         39         90
 
Percent of Open Interest Represented by Each Category of Trader
      26.8       63.7        0.1        7.1        4.0        1.3       46.6       18.5        0.7        5.2        2.5        0.0       12.1        9.2
 
Number of Traders in Each Category                                    Total Traders:       100
        18         16          .          5          5          .         30         17          7          4          5          0
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Traders in Financial Futures - Futures Only Positions as of February 28, 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   111,897
Positions
    29,943     71,230        157      7,962      4,460      1,421     52,127     20,712        820      5,874      2,751          0     13,593     10,346
 
Changes from:       February 21, 2012                                Total Change is:     5,584
       474      3,673         19        710        127        288      3,386        203        671        -41        424          0         77        179
 
Percent of Open Interest Represented by Each Category of Trader
      26.8       63.7        0.1        7.1        4.0        1.3       46.6       18.5        0.7        5.2        2.5        0.0       12.1        9.2
 
Number of Traders in Each Category                                    Total Traders:       100
        18         16          .          5          5          .         30         17          7          4          5          0
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Traders in Financial Futures - Futures Only Positions as of February 28, 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   811,993
Positions
    42,595    194,790     43,702    386,693    168,554     55,033     95,476    176,377     37,232     33,057     35,598      5,324    112,881     95,382
 
Changes from:       February 21, 2012                                Total Change is:     3,941
    -3,520     -4,814      1,744      4,318      2,146       -812      4,854      3,667     -3,034      1,862        -85       -308     -1,163      5,437
 
Percent of Open Interest Represented by Each Category of Trader
       5.2       24.0        5.4       47.6       20.8        6.8       11.8       21.7        4.6        4.1        4.4        0.7       13.9       11.7
 
Number of Traders in Each Category                                    Total Traders:       555
        34         55         31        119         59         60         98        122         75         35         33         10
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Traders in Financial Futures - Futures Only Positions as of February 28, 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   246,409
Positions
    28,005    101,833      5,487    105,566     42,117     10,631     21,406     27,963      2,195      3,563     11,368      2,601     66,955     42,214
 
Changes from:       February 21, 2012                                Total Change is:    -1,108
    -2,084     -4,056        499       -789       -830       -149      1,388       -721        118      1,271       -153         50     -1,412      4,134
 
Percent of Open Interest Represented by Each Category of Trader
      11.4       41.3        2.2       42.8       17.1        4.3        8.7       11.3        0.9        1.4        4.6        1.1       27.2       17.1
 
Number of Traders in Each Category                                    Total Traders:       105
         9         18          7         27         12         13         13         19          8          .          4          .
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Traders in Financial Futures - Futures Only Positions as of February 28, 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 2,827,921
Positions
   171,246    563,081     92,782  1,463,577    690,130    164,069    460,665    832,386     84,868    154,446    128,126      6,638    229,630    265,841
 
Changes from:       February 21, 2012                                Total Change is:    25,245
    -7,832     -4,444      6,879     26,000     15,346     -3,783     13,216     17,828    -11,649      2,841        224     -1,673      1,246      6,517
 
Percent of Open Interest Represented by Each Category of Trader
       6.1       19.9        3.3       51.8       24.4        5.8       16.3       29.4        3.0        5.5        4.5        0.2        8.1        9.4
 
Number of Traders in Each Category                                    Total Traders:       530
        33         54         24        104         56         54         97        120         66         33         33          9
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Traders in Financial Futures - Futures Only Positions as of February 28, 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   112,250
Positions
    20,245     29,436         53     55,313     59,251      6,188     16,988      9,794          0      2,098      3,814          0     11,365      3,714
 
Changes from:       February 21, 2012                                Total Change is:     3,543
       319      2,102         53        423        555        762        918        163          0        133        -10          0        935        -82
 
Percent of Open Interest Represented by Each Category of Trader
      18.0       26.2        0.0       49.3       52.8        5.5       15.1        8.7        0.0        1.9        3.4        0.0       10.1        3.3
 
Number of Traders in Each Category                                    Total Traders:        95
        10          9          .         32         12         11         16          9          0          .          4          0
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Traders in Financial Futures - Futures Only Positions as of February 28, 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   114,795
Positions
     7,092     65,919      8,569     33,208      9,498      1,609     46,960     11,626      6,689      1,703      5,687        200      8,765      4,998
 
Changes from:       February 21, 2012                                Total Change is:     4,119
       776      3,970       -231      1,515        318         27      1,209       -610        110        288         45         -8        433        498
 
Percent of Open Interest Represented by Each Category of Trader
       6.2       57.4        7.5       28.9        8.3        1.4       40.9       10.1        5.8        1.5        5.0        0.2        7.6        4.4
 
Number of Traders in Each Category                                    Total Traders:       252
        20         31         12         38         23         12         69         38         18         15         17          .
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Traders in Financial Futures - Futures Only Positions as of February 28, 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    18,544
Positions
     9,313     13,606         20          0        300          0      5,943      2,824          0        200        979          0      3,068        815
 
Changes from:       February 21, 2012                                Total Change is:       351
      -225        493          0          0          0          0        360          0          0        200       -246          0         16        104
 
Percent of Open Interest Represented by Each Category of Trader
      50.2       73.4        0.1        0.0        1.6        0.0       32.0       15.2        0.0        1.1        5.3        0.0       16.5        4.4
 
Number of Traders in Each Category                                    Total Traders:        25
         9          8          .          0          .          0          4          .          0          .          .          0
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Traders in Financial Futures - Futures Only Positions as of February 28, 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   481,256
Positions
    30,323    302,993      1,317    166,042     45,989      8,046    233,415     72,340      5,115      7,513     23,542      1,001     28,484     20,913
 
Changes from:       February 21, 2012                                Total Change is:    18,841
     3,970     16,351       -121      7,575      1,588        137      4,798     -2,496         -4        441      1,457        -40      2,085      1,969
 
Percent of Open Interest Represented by Each Category of Trader
       6.3       63.0        0.3       34.5        9.6        1.7       48.5       15.0        1.1        1.6        4.9        0.2        5.9        4.3
 
Number of Traders in Each Category                                    Total Traders:       251
        19         32          5         38         23         12         67         41         15         14         17          .
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Traders in Financial Futures - Futures Only Positions as of February 28, 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   409,135
Positions
   122,688     34,308     19,498    141,574    205,469     26,056     67,865     94,073      3,094      7,921     10,850        366     20,073     15,421
 
Changes from:       February 21, 2012                                Total Change is:       138
    -5,324      3,996     -3,148      2,506      2,177        -76      5,442     -4,502      1,376       -233      1,291        -38       -367       -938
 
Percent of Open Interest Represented by Each Category of Trader
      30.0        8.4        4.8       34.6       50.2        6.4       16.6       23.0        0.8        1.9        2.7        0.1        4.9        3.8
 
Number of Traders in Each Category                                    Total Traders:       252
        21         13          5         50         41         25         49         55         15          8         15          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of February 28, 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    36,664
Positions
     8,985      1,711        471     11,750        440        180      4,710      8,765        500      2,895      5,878          0      7,173     18,719
 
Changes from:       February 21, 2012                                Total Change is:     5,054
     3,519       -200        471        793          0         -2        663        878          0         66         16          0       -456      3,891
 
Percent of Open Interest Represented by Each Category of Trader
      24.5        4.7        1.3       32.0        1.2        0.5       12.8       23.9        1.4        7.9       16.0        0.0       19.6       51.1
 
Number of Traders in Each Category                                    Total Traders:        55
         9          4          .         13          .          .         11          8          .          6          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of February 28, 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    45,261
Positions
     7,257     13,789      1,699      9,958      4,238        702     10,795      7,209      2,898      2,910      3,857          0      9,042     10,869
 
Changes from:       February 21, 2012                                Total Change is:     1,507
    -1,803      2,350        129        571       -255          0        729      3,280        603          6      1,305          0      1,272     -5,905
 
Percent of Open Interest Represented by Each Category of Trader
      16.0       30.5        3.8       22.0        9.4        1.6       23.9       15.9        6.4        6.4        8.5        0.0       20.0       24.0
 
Number of Traders in Each Category                                    Total Traders:        67
        10         15          5          9          4          .         15          8          .          4          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of February 28, 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    48,007
Positions
     2,507      3,987         65     33,960     24,424      3,848      2,938     12,995        231          0          0          0      4,458      2,457
 
Changes from:       February 21, 2012                                Total Change is:      -534
       110       -434       -122       -770       -245       -145        113        246         66          0          0          0        214        100
 
Percent of Open Interest Represented by Each Category of Trader
       5.2        8.3        0.1       70.7       50.9        8.0        6.1       27.1        0.5        0.0        0.0        0.0        9.3        5.1
 
Number of Traders in Each Category                                    Total Traders:        58
         .          .          .         21         20         10          .          9          .          0          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of February 28, 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    81,302
Positions
    11,639     27,723        861     34,354     25,298      3,081     11,294     20,639        212      8,687          0        669     10,505      2,819
 
Changes from:       February 21, 2012                                Total Change is:       317
      -242      1,266        -37         14        480       -569       -490        -31       -396      1,674       -330         -1        364        -65
 
Percent of Open Interest Represented by Each Category of Trader
      14.3       34.1        1.1       42.3       31.1        3.8       13.9       25.4        0.3       10.7        0.0        0.8       12.9        3.5
 
Number of Traders in Each Category                                    Total Traders:        89
         8         13          .         21         11          8         16          7          .         13          0          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of February 28, 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   643,524
Positions
    10,548     79,344     13,354    253,915    158,775     95,076     79,743     71,051     13,226     10,143     53,684        192    167,327    158,822
 
Changes from:       February 21, 2012                                Total Change is:    45,351
       628      5,987      5,751      1,652     25,501      5,648      1,248     -9,647      5,939     -3,837        505     -2,435     30,757      8,102
 
Percent of Open Interest Represented by Each Category of Trader
       1.6       12.3        2.1       39.5       24.7       14.8       12.4       11.0        2.1        1.6        8.3        0.0       26.0       24.7
 
Number of Traders in Each Category                                    Total Traders:       155
         9         14         10         41         22         34         31         23         15          .         13          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of February 28, 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   405,258
Positions
     4,644    133,704     41,110    247,394     23,223     33,351      3,762    112,242     10,007      1,545      2,635      1,108     62,337     47,878
 
Changes from:       February 21, 2012                                Total Change is:    29,520
        67     -2,027     39,043    -18,101     -5,537     -3,549      1,957     -1,559      5,833        170        535       -837      4,937     -2,382
 
Percent of Open Interest Represented by Each Category of Trader
       1.1       33.0       10.1       61.0        5.7        8.2        0.9       27.7        2.5        0.4        0.7        0.3       15.4       11.8
 
Number of Traders in Each Category                                    Total Traders:        67
         .         10          7         33          6         18          .         10          4          .          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of February 28, 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   928,498
Positions
    86,634     79,638     29,680    149,567    286,442     67,753    291,754    225,673     82,199     86,673     31,268      6,803    127,435    119,042
 
Changes from:       February 21, 2012                                Total Change is:    67,695
     3,298     -8,640     22,088    -14,362     -2,767     -9,419    -11,725     -3,070     63,740      2,680     -5,157     -2,121     13,516     13,041
 
Percent of Open Interest Represented by Each Category of Trader
       9.3        8.6        3.2       16.1       30.9        7.3       31.4       24.3        8.9        9.3        3.4        0.7       13.7       12.8
 
Number of Traders in Each Category                                    Total Traders:       205
        17         17         15         33         33         41         42         34         23         13         15          4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of February 28, 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 1,901,149
Positions
    98,726    153,516     73,621    733,794    840,802    161,358    395,786    160,181     46,735     44,706     78,241     33,937    312,486    352,758
 
Changes from:       February 21, 2012                                Total Change is:    18,549
   -79,135     31,187     26,682    -12,145    -72,252     22,336     16,105     -8,173     -9,828     -6,799    -28,059     23,595     37,738     33,061
 
Percent of Open Interest Represented by Each Category of Trader
       5.2        8.1        3.9       38.6       44.2        8.5       20.8        8.4        2.5        2.4        4.1        1.8       16.4       18.6
 
Number of Traders in Each Category                                    Total Traders:       259
        23         29         27         25         61         49         45         52         38          7         17          8
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of February 28, 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 1,437,506
Positions
   105,209    157,653     52,783    382,978    667,324    158,192    291,261     60,805     26,403    171,344     64,420     12,214    237,122    237,712
 
Changes from:       February 21, 2012                                Total Change is:    32,962
     1,620     -4,748     33,639    -24,198     -8,356      7,215    -20,008    -15,121     12,421     -9,470      1,669     10,993     20,750     -4,750
 
Percent of Open Interest Represented by Each Category of Trader
       7.3       11.0        3.7       26.6       46.4       11.0       20.3        4.2        1.8       11.9        4.5        0.8       16.5       16.5
 
Number of Traders in Each Category                                    Total Traders:       177
        13         24         16         22         40         40         37         18         19         10         13          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of February 28, 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   566,181
Positions
   166,060    200,290    212,541      1,109      1,105      2,014     91,569     49,400     54,128      4,713      4,350      2,522     31,525     39,831
 
Changes from:       February 21, 2012                                Total Change is:    19,661
     5,114      6,829      6,759        569         12       -569      4,640      2,910      1,683         35          0        687        743      1,350
 
Percent of Open Interest Represented by Each Category of Trader
      29.3       35.4       37.5        0.2        0.2        0.4       16.2        8.7        9.6        0.8        0.8        0.4        5.6        7.0
 
Number of Traders in Each Category                                    Total Traders:        91
        23         25         42          .          .          .         18         15         21          .          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of February 28, 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 8,567,848
Positions
 1,825,495  1,951,601  2,031,030    806,653    670,071     85,245    906,061    567,321  1,831,573     74,918    316,110    168,322    838,551    946,575
 
Changes from:       February 21, 2012                                Total Change is:   122,842
   202,738    -73,419     11,606   -168,292     25,737     11,608    -36,610       -839    114,185     -5,360     17,077    -20,883     13,850     37,770
 
Percent of Open Interest Represented by Each Category of Trader
      21.3       22.8       23.7        9.4        7.8        1.0       10.6        6.6       21.4        0.9        3.7        2.0        9.8       11.0
 
Number of Traders in Each Category                                    Total Traders:       267
        35         55         83         12          8         14         62         54         99          9         15         20
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of February 28, 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    10,650
Positions
     5,005      3,626          0      1,393        877          6      2,442      5,829        110      1,410        100          0        284        102
 
Changes from:       February 21, 2012                                Total Change is:        96
      -218         63          0          2        -29          0        210         25        100         -5        -60          0          7         -3
 
Percent of Open Interest Represented by Each Category of Trader
      47.0       34.0        0.0       13.1        8.2        0.1       22.9       54.7        1.0       13.2        0.9        0.0        2.7        1.0
 
Number of Traders in Each Category                                    Total Traders:        29
         .          .          0          .          4          .          7          6          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of February 28, 2012               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
INTEREST RATE SWAPS 5YR - CHICAGO BOARD OF TRADE   (CONTRACTS OF $100,000)                          
CFTC Code #247602                                                    Open Interest is    12,017
Positions
     7,813      7,900          0        943      1,800          0      2,957      2,069         12         40        140          0        252         96
 
Changes from:       February 21, 2012                                Total Change is:      -918
    -1,239       -551          0          0       -147          0        323       -117         12          0       -165          0        -14         50
 
Percent of Open Interest Represented by Each Category of Trader
      65.0       65.7        0.0        7.8       15.0        0.0       24.6       17.2        0.1        0.3        1.2        0.0        2.1        0.8
 
Number of Traders in Each Category                                    Total Traders:        31
         .          6          0          .          4          0          5          9          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of February 28, 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    48,598
Positions
    15,592     29,988         53      1,797        137        458     19,233     13,750        903      4,026      1,043         39      6,497      2,227
 
Changes from:       February 21, 2012                                Total Change is:    -2,050
    -2,446        -74         52       -293          0        -83      2,588     -2,683        118        272        520         15     -2,273         85
 
Percent of Open Interest Represented by Each Category of Trader
      32.1       61.7        0.1        3.7        0.3        0.9       39.6       28.3        1.9        8.3        2.1        0.1       13.4        4.6
 
Number of Traders in Each Category                                    Total Traders:        95
         5          4          .          8          .          .         28         22          5         20          6          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of February 28, 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   236,528
Positions
   124,908     57,423     19,938     27,283      4,724      2,648     10,482     85,847      5,321      1,113     15,350     23,584     21,251     21,693
 
Changes from:       February 21, 2012                                Total Change is:    31,950
    19,728      6,164       -519     11,197      2,741        335     -1,409     14,626      1,637       -245      2,535        755        471      3,676
 
Percent of Open Interest Represented by Each Category of Trader
      52.8       24.3        8.4       11.5        2.0        1.1        4.4       36.3        2.2        0.5        6.5       10.0        9.0        9.2
 
Number of Traders in Each Category                                    Total Traders:       106
        12         12         17          8          9          7         20         29         19          4          6          6
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of February 28, 2012               
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
DOW JONES UBS EXCESS RETURN - CHICAGO BOARD OF TRADE   ($100 X INDEX)                               
CFTC Code #221602                                                    Open Interest is    16,968
Positions
    10,556        652          0      3,143      1,039          0      1,848     13,175        641        290      1,021        437         53          3
 
Changes from:       February 21, 2012                                Total Change is:       449
         0       -183          0        412         30          0         31        712         13          0          0          0         -7       -123
 
Percent of Open Interest Represented by Each Category of Trader
      62.2        3.8        0.0       18.5        6.1        0.0       10.9       77.6        3.8        1.7        6.0        2.6        0.3        0.0
 
Number of Traders in Each Category                                    Total Traders:        26
         .          .          0          5          .          0          4          7          .          .          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of February 28, 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     9,528
Positions
     1,025      8,242          0      5,700          0          0      1,382      1,145          0          0          0          0      1,421        141
 
Changes from:       February 21, 2012                                Total Change is:      -183
        54       -155          0     -1,196          0          0        779        -14          0          0          0          0        180        -14
 
Percent of Open Interest Represented by Each Category of Trader
      10.8       86.5        0.0       59.8        0.0        0.0       14.5       12.0        0.0        0.0        0.0        0.0       14.9        1.5
 
Number of Traders in Each Category                                    Total Traders:        22
         .          .          0         11          0          0          4          .          0          0          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
```

----

Updated March 2, 2012