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Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 2012                
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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CANADIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF CAD 100,000)                          
CFTC Code #090741                                                    Open Interest is   123,832
Positions
    32,508      6,190      5,512     17,967     34,670        603     19,785     50,148      5,684      8,568          7        227     32,977     20,790
 
Changes from:       January 17, 2012                                 Total Change is:    -5,279
    -9,147      1,730        647        -29         16        -10     -1,559     -5,438        180        192       -644          4      4,444     -1,763
 
Percent of Open Interest Represented by Each Category of Trader
      26.3        5.0        4.5       14.5       28.0        0.5       16.0       40.5        4.6        6.9        0.0        0.2       26.6       16.8
 
Number of Traders in Each Category                                    Total Traders:        76
         9          7          9          6          4          .         20         19         10         10          .          .
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Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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    42,039
Positions
    10,626      1,582      1,975        999      1,961        283     16,266     17,709      1,292        537          0          0     10,059     17,236
 
Changes from:       January 17, 2012                                 Total Change is:    -2,789
    -2,375       -324        334          0         -8          8     -2,427        291       -372          0          0          0      2,043     -2,718
 
Percent of Open Interest Represented by Each Category of Trader
      25.3        3.8        4.7        2.4        4.7        0.7       38.7       42.1        3.1        1.3        0.0        0.0       23.9       41.0
 
Number of Traders in Each Category                                    Total Traders:        43
        10          .          6          .          4          .          7         17          4          .          0          0
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Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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   196,314
Positions
   142,588      2,124      2,359      8,738     81,922      3,331     18,963     67,428      3,229      1,170      2,934         42     15,894     32,946
 
Changes from:       January 17, 2012                                 Total Change is:   -22,556
   -14,829        560        142        -21        283         89     -7,263    -15,959     -1,327       -403       -786       -241      1,297     -5,317
 
Percent of Open Interest Represented by Each Category of Trader
      72.6        1.1        1.2        4.5       41.7        1.7        9.7       34.3        1.6        0.6        1.5        0.0        8.1       16.8
 
Number of Traders in Each Category                                    Total Traders:        95
        14          5          9          5         17          5         13         35         15          .          4          .
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Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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   160,919
Positions
       625     60,748      3,775     65,802     10,588      1,437     61,285     47,836      2,715      1,845      1,125         78     23,357     32,616
 
Changes from:       January 17, 2012                                 Total Change is:   -13,331
      -123    -15,377      1,131        -31       -358        316    -12,578     -4,346        366      1,095     -1,087         78     -3,584      5,945
 
Percent of Open Interest Represented by Each Category of Trader
       0.4       37.8        2.3       40.9        6.6        0.9       38.1       29.7        1.7        1.1        0.7        0.0       14.5       20.3
 
Number of Traders in Each Category                                    Total Traders:        94
         .         16          9          8          9          4         22         28         13          4          4          .
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Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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   361,868
Positions
   144,528     31,454     11,741     53,623     33,070      5,341     70,211    171,938     29,059      5,955      8,028      3,804     37,607     67,433
 
Changes from:       January 17, 2012                                 Total Change is:    11,795
     8,591        517      1,352      1,362     -1,914        228      2,540     17,807     -2,799        -67     -4,531        296        292        837
 
Percent of Open Interest Represented by Each Category of Trader
      39.9        8.7        3.2       14.8        9.1        1.5       19.4       47.5        8.0        1.6        2.2        1.1       10.4       18.6
 
Number of Traders in Each Category                                    Total Traders:       193
        25         11         15         17         19         13         27         68         37          5         21         13
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Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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   149,927
Positions
    10,923     43,913      6,727      3,418     43,938      1,062     92,023     25,656      4,527        507      3,604        858     29,882     19,643
 
Changes from:       January 17, 2012                                 Total Change is:     8,043
    -5,862      7,583      1,425        487       -163         18      8,912     -6,832      1,679     -1,123      2,857        319      2,188      1,157
 
Percent of Open Interest Represented by Each Category of Trader
       7.3       29.3        4.5        2.3       29.3        0.7       61.4       17.1        3.0        0.3        2.4        0.6       19.9       13.1
 
Number of Traders in Each Category                                    Total Traders:        92
         4         14          8          .          8          .         35         19         14          5          4          .
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Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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   125,884
Positions
    42,890     41,043     73,973          0          0          0      5,497      7,395      3,263          0          0          0        261        210
 
Changes from:       January 17, 2012                                 Total Change is:    -6,042
     6,173      9,173    -15,233          0          0          0      1,067     -1,854      1,971          0          0          0        -19        -98
 
Percent of Open Interest Represented by Each Category of Trader
      34.1       32.6       58.8        0.0        0.0        0.0        4.4        5.9        2.6        0.0        0.0        0.0        0.2        0.2
 
Number of Traders in Each Category                                    Total Traders:        22
         6         11         13          0          0          0          .          .          .          0          0          0
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Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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   142,514
Positions
    68,687     59,777        980     23,815        944        822     42,230     72,180        950      1,081      1,953          0      3,949      4,908
 
Changes from:       January 17, 2012                                 Total Change is:    12,121
      -957      6,675        237     -1,326       -643       -262     12,704      6,646        738          1     -1,375          0        986        105
 
Percent of Open Interest Represented by Each Category of Trader
      48.2       41.9        0.7       16.7        0.7        0.6       29.6       50.6        0.7        0.8        1.4        0.0        2.8        3.4
 
Number of Traders in Each Category                                    Total Traders:        96
         6         13          .          8          .          .         26         31          .          5          4          0
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Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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    25,569
Positions
     1,702     16,053        225        101        601          0     19,979      6,569        141        165        342          0      3,256      1,638
 
Changes from:       January 17, 2012                                 Total Change is:     4,614
       186      4,128          0        -82         54          0      4,170        536          0          0       -101          0        340         -3
 
Percent of Open Interest Represented by Each Category of Trader
       6.7       62.8        0.9        0.4        2.4        0.0       78.1       25.7        0.6        0.6        1.3        0.0       12.7        6.4
 
Number of Traders in Each Category                                    Total Traders:        42
         4          9          .          .          .          0         15          9          .          .          .          0
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Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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    53,226
Positions
    14,644     33,204        308      3,411      2,394        733     21,867      9,747        856      3,636        554        209      7,562      5,222
 
Changes from:       January 17, 2012                                 Total Change is:       845
      -306        332        -78        304       -359        150      1,506        717       -733        -36        136          9         29        670
 
Percent of Open Interest Represented by Each Category of Trader
      27.5       62.4        0.6        6.4        4.5        1.4       41.1       18.3        1.6        6.8        1.0        0.4       14.2        9.8
 
Number of Traders in Each Category                                    Total Traders:        96
        19         17          4          4          5          .         25         19          9          .          4          .
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Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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   106,452
Positions
    29,289     66,408        615      6,821      4,787      1,465     43,735     19,494      1,712      7,273      1,109        418     15,124     10,444
 
Changes from:       January 17, 2012                                 Total Change is:     1,689
      -612        665       -156        608       -717        300      3,012      1,434     -1,466        -73        271         18         59      1,340
 
Percent of Open Interest Represented by Each Category of Trader
      27.5       62.4        0.6        6.4        4.5        1.4       41.1       18.3        1.6        6.8        1.0        0.4       14.2        9.8
 
Number of Traders in Each Category                                    Total Traders:        96
        19         17          4          4          5          .         25         19          9          .          4          .
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Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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   900,960
Positions
    40,562    183,660     45,970    367,128    190,530     59,893     88,515    139,483    111,108     27,638     33,633     25,579    134,568    111,103
 
Changes from:       January 17, 2012                                 Total Change is:     7,994
       636     22,203      1,198      3,965    -12,081       -108      3,290        439     -8,740      2,058       -297        494      5,201      4,886
 
Percent of Open Interest Represented by Each Category of Trader
       4.5       20.4        5.1       40.7       21.1        6.6        9.8       15.5       12.3        3.1        3.7        2.8       14.9       12.3
 
Number of Traders in Each Category                                    Total Traders:       543
        31         54         34        112         65         67         84        120         95         32         44         30
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Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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   321,243
Positions
    32,782    108,230      3,773    107,937     45,879     14,898     29,626     21,213     45,182      3,167     13,588     11,247     72,631     57,233
 
Changes from:       January 17, 2012                                 Total Change is:    12,315
     7,260     13,016          9     -1,100     -2,611        596      6,831        -70     -3,670      1,665      1,267        231        492      3,546
 
Percent of Open Interest Represented by Each Category of Trader
      10.2       33.7        1.2       33.6       14.3        4.6        9.2        6.6       14.1        1.0        4.2        3.5       22.6       17.8
 
Number of Traders in Each Category                                    Total Traders:       117
         8         17          8         24         14         13         16         23         32          5         10         11
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Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 2,898,586
Positions
   180,921    519,173     68,964  1,327,279    754,580    193,651    411,047    707,960    213,024    129,961    107,831     64,056    309,684    269,349
 
Changes from:       January 17, 2012                                 Total Change is:   -21,603
   -30,484     48,570      3,307     27,172    -45,503     -5,366     20,108     40,362    -63,165      9,228       -558     -5,948     23,546      6,699
 
Percent of Open Interest Represented by Each Category of Trader
       6.2       17.9        2.4       45.8       26.0        6.7       14.2       24.4        7.3        4.5        3.7        2.2       10.7        9.3
 
Number of Traders in Each Category                                    Total Traders:       512
        32         51         26        102         58         61         83        116         88         29         40         25
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Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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   109,146
Positions
    20,988     20,780          0     52,118     60,464      9,642     13,178      9,069        325      1,717      4,396          0     11,178      4,470
 
Changes from:       January 17, 2012                                 Total Change is:     3,513
    -1,561      6,085          0         49     -4,813      1,181      2,259        648         -4          0        353          0      1,588         62
 
Percent of Open Interest Represented by Each Category of Trader
      19.2       19.0        0.0       47.8       55.4        8.8       12.1        8.3        0.3        1.6        4.0        0.0       10.2        4.1
 
Number of Traders in Each Category                                    Total Traders:        90
        10          9          0         31         12         15         14          8          .          .          4          0
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Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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    91,953
Positions
     6,312     43,791      8,232     25,340      9,662      1,785     29,419     10,050      7,382      1,603      4,119         87     11,793      6,844
 
Changes from:       January 17, 2012                                 Total Change is:    13,696
       298      7,865      1,995        532        -91         17      6,469        826      2,607        503        -35       -108      1,385        621
 
Percent of Open Interest Represented by Each Category of Trader
       6.9       47.6        9.0       27.6       10.5        1.9       32.0       10.9        8.0        1.7        4.5        0.1       12.8        7.4
 
Number of Traders in Each Category                                    Total Traders:       236
        22         32         13         30         22         10         63         40         21         13         14          .
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Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 2012                
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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NASDAQ-100 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 INDEX X $100)                    
CFTC Code #209741                                                    Open Interest is    16,020
Positions
     6,633      9,794         20          0        300          0      6,680        982          0          0        856          0      2,687      4,068
 
Changes from:       January 17, 2012                                 Total Change is:     4,541
     1,348      2,681          0          0          0          0      2,949        613          0          0        491          0        244        756
 
Percent of Open Interest Represented by Each Category of Trader
      41.4       61.1        0.1        0.0        1.9        0.0       41.7        6.1        0.0        0.0        5.3        0.0       16.8       25.4
 
Number of Traders in Each Category                                    Total Traders:        24
         9          8          .          0          .          0          4          .          0          0          .          0
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Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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   379,665
Positions
    35,940    207,528      3,514    126,700     46,812      8,926    146,874     78,521      3,730      8,014     16,317        437     45,530     13,880
 
Changes from:       January 17, 2012                                 Total Change is:    45,776
     3,207     34,377      1,515      2,658       -455         83     32,329     15,793     -1,696      2,513     -2,628       -539      5,707       -673
 
Percent of Open Interest Represented by Each Category of Trader
       9.5       54.7        0.9       33.4       12.3        2.4       38.7       20.7        1.0        2.1        4.3        0.1       12.0        3.7
 
Number of Traders in Each Category                                    Total Traders:       236
        25         29          6         30         22         10         62         41         17         13         14          .
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Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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   410,502
Positions
   159,619     28,139     20,686    118,751    201,264     29,089     52,592     95,532      3,520      8,285     15,381        493     17,466     16,398
 
Changes from:       January 17, 2012                                 Total Change is:     4,967
   -16,422      2,120      6,603      4,329     -5,340        663      6,018      1,770        474      4,349       -696        230     -1,277       -858
 
Percent of Open Interest Represented by Each Category of Trader
      38.9        6.9        5.0       28.9       49.0        7.1       12.8       23.3        0.9        2.0        3.7        0.1        4.3        4.0
 
Number of Traders in Each Category                                    Total Traders:       249
        23         11          4         47         42         26         40         58         14          9         19          4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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    22,907
Positions
     5,090        695          0      8,079      1,595         54      3,543      5,369          0        600      4,586          0      5,541     10,608
 
Changes from:       January 17, 2012                                 Total Change is:      -465
      -109        408          0        994        358          0       -995     -1,590         -3       -217        555          0       -135       -193
 
Percent of Open Interest Represented by Each Category of Trader
      22.2        3.0        0.0       35.3        7.0        0.2       15.5       23.4        0.0        2.6       20.0        0.0       24.2       46.3
 
Number of Traders in Each Category                                    Total Traders:        36
         5          .          0          9          .          .          8          7          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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    43,607
Positions
    14,543      7,246        822      6,473      2,964        951      8,504      2,179      3,193      2,009          0          0      7,112     26,252
 
Changes from:       January 17, 2012                                 Total Change is:     4,898
      -933        692         97       -732       -270        247      3,329       -513        923        132          0          0      1,835      3,722
 
Percent of Open Interest Represented by Each Category of Trader
      33.4       16.6        1.9       14.8        6.8        2.2       19.5        5.0        7.3        4.6        0.0        0.0       16.3       60.2
 
Number of Traders in Each Category                                    Total Traders:        51
        12         10          .          6          .          4         12          5          .          4          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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    46,314
Positions
       428      4,306         89     33,542     23,819      4,713      2,800     11,221        165          0          0          0      4,577      2,001
 
Changes from:       January 17, 2012                                 Total Change is:       722
      -250         -1         24       -210        363        503        291         -1        161          0          0          0        203       -327
 
Percent of Open Interest Represented by Each Category of Trader
       0.9        9.3        0.2       72.4       51.4       10.2        6.0       24.2        0.4        0.0        0.0        0.0        9.9        4.3
 
Number of Traders in Each Category                                    Total Traders:        51
         .          .          .         17         20         10          .          7          .          0          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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    68,109
Positions
    10,148     21,610         22     35,782     25,240      2,342      8,066     15,591        595      4,135        562        598      6,421      1,549
 
Changes from:       January 17, 2012                                 Total Change is:    -1,655
    -4,146     -1,685         22      1,891      1,551       -274        941        334         26        802       -247        -22       -895     -1,360
 
Percent of Open Interest Represented by Each Category of Trader
      14.9       31.7        0.0       52.5       37.1        3.4       11.8       22.9        0.9        6.1        0.8        0.9        9.4        2.3
 
Number of Traders in Each Category                                    Total Traders:        82
         9         13          .         17          9          7         14          9          .          9          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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   741,870
Positions
    24,041     94,954     37,900    294,197    111,819    102,464     48,296    113,583     64,555     11,310     63,900      7,508    151,600    145,187
 
Changes from:       January 17, 2012                                 Total Change is:    -4,694
     9,504    -31,610      2,724     -3,972      4,061      3,500     -7,125      3,610      6,408    -10,451     -3,426      2,190     -7,471      7,850
 
Percent of Open Interest Represented by Each Category of Trader
       3.2       12.8        5.1       39.7       15.1       13.8        6.5       15.3        8.7        1.5        8.6        1.0       20.4       19.6
 
Number of Traders in Each Category                                    Total Traders:       167
        13         16         22         44         20         39         27         34         42          5          8          5
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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   373,110
Positions
     4,825    148,027        675    275,259     27,287     29,271      1,872    117,759        331          0      1,611          0     60,877     48,149
 
Changes from:       January 17, 2012                                 Total Change is:    -2,027
         0     -4,061       -130       -886        -46          5          0     -1,155         65          0      1,611          0     -1,081      1,684
 
Percent of Open Interest Represented by Each Category of Trader
       1.3       39.7        0.2       73.8        7.3        7.8        0.5       31.6        0.1        0.0        0.4        0.0       16.3       12.9
 
Number of Traders in Each Category                                    Total Traders:        66
         .          9          5         36          6         19          .         11          4          0          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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   866,947
Positions
    77,962    151,183      5,887    157,845    166,825     75,015    332,465    283,390     29,500     61,985     49,485      1,793    124,494    103,869
 
Changes from:       January 17, 2012                                 Total Change is:    61,621
     4,644     21,535        852      8,961    -13,237        884     78,220     38,197      2,929    -37,103     11,370       -393      2,627       -516
 
Percent of Open Interest Represented by Each Category of Trader
       9.0       17.4        0.7       18.2       19.2        8.7       38.3       32.7        3.4        7.1        5.7        0.2       14.4       12.0
 
Number of Traders in Each Category                                    Total Traders:       219
        13         28         13         33         39         40         42         37         27          9         18          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 1,989,575
Positions
   132,594    109,468    110,721    706,949    812,113    161,086    339,241    141,946    160,047     77,127     90,965     26,839    274,972    376,390
 
Changes from:       January 17, 2012                                 Total Change is:    62,077
    65,808    -62,368     23,551    -17,382     92,114     -1,715     51,293    -29,232     10,634    -33,410      8,989     -4,373    -32,328     24,477
 
Percent of Open Interest Represented by Each Category of Trader
       6.7        5.5        5.6       35.5       40.8        8.1       17.1        7.1        8.0        3.9        4.6        1.3       13.8       18.9
 
Number of Traders in Each Category                                    Total Traders:       256
        26         25         40         30         55         47         49         44         64          9         18         13
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 1,571,457
Positions
    69,863    190,568     54,499    503,124    623,626    150,596    248,460    119,355     93,388    197,264     78,459     22,643    231,620    238,323
 
Changes from:       January 17, 2012                                 Total Change is:     2,754
    10,739    -29,800     -6,991     60,966     30,707     -4,808    -19,057        486      4,441    -33,206     -9,939      7,360    -16,691     11,298
 
Percent of Open Interest Represented by Each Category of Trader
       4.4       12.1        3.5       32.0       39.7        9.6       15.8        7.6        5.9       12.6        5.0        1.4       14.7       15.2
 
Number of Traders in Each Category                                    Total Traders:       184
        10         27         18         23         41         43         32         28         32          7         16          5
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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   615,391
Positions
   155,076    222,621    188,119        905      1,040      3,974     76,243     24,213    105,373     18,199      4,915     23,770     43,732     41,367
 
Changes from:       January 17, 2012                                 Total Change is:    10,902
    -1,340     -4,943     10,047     -2,000          0      2,000     -5,776     -3,565      3,936      1,183          2       -712      3,563      4,137
 
Percent of Open Interest Represented by Each Category of Trader
      25.2       36.2       30.6        0.1        0.2        0.6       12.4        3.9       17.1        3.0        0.8        3.9        7.1        6.7
 
Number of Traders in Each Category                                    Total Traders:        93
        19         25         35          .          .          .         20         13         27          4          5          6
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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 is12,744,817
Positions
 1,075,405  2,341,913  2,979,110  1,409,576    251,129    145,153    878,080    446,575  4,349,632     85,504    350,391    868,637    953,719  1,012,276
 
Changes from:       January 17, 2012                                 Total Change is:   -42,855
   -26,770     41,373    -12,104    -76,169    110,422     -5,488    132,963    -22,001     -4,807     -8,773    -34,408    -80,894     39,186    -34,949
 
Percent of Open Interest Represented by Each Category of Trader
       8.4       18.4       23.4       11.1        2.0        1.1        6.9        3.5       34.1        0.7        2.7        6.8        7.5        7.9
 
Number of Traders in Each Category                                    Total Traders:       274
        25         62         83         12         13         18         64         62        109         11         17         18
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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     9,664
Positions
     5,329      3,147          0      1,553        780         11      1,212      5,471         30      1,302        160          0        227         65
 
Changes from:       January 17, 2012                                 Total Change is:       199
        25        449          0        -61         -4          0        193       -224          0         55          0          0        -13        -22
 
Percent of Open Interest Represented by Each Category of Trader
      55.1       32.6        0.0       16.1        8.1        0.1       12.5       56.6        0.3       13.5        1.7        0.0        2.3        0.7
 
Number of Traders in Each Category                                    Total Traders:        29
         .          .          0          .          4          .          5          8          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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    12,575
Positions
     9,017      7,881          0      1,236      1,666          0      1,926      2,606          0         80        305          0        316        117
 
Changes from:       January 17, 2012                                 Total Change is:       147
       -23        486          0         -2       -132          0        237       -129          0         10          0          0        -75        -78
 
Percent of Open Interest Represented by Each Category of Trader
      71.7       62.7        0.0        9.8       13.2        0.0       15.3       20.7        0.0        0.6        2.4        0.0        2.5        0.9
 
Number of Traders in Each Category                                    Total Traders:        34
         4          5          0          .          4          0          8          7          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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    64,667
Positions
    21,236     31,643          4      5,103        360        514     22,692     28,084      1,868      5,361        452          5      7,884      1,737
 
Changes from:       January 17, 2012                                 Total Change is:    -4,363
       660     -1,903        -21     -1,740          0         35     -2,084     -2,765        992       -156        122         -2     -2,048       -821
 
Percent of Open Interest Represented by Each Category of Trader
      32.8       48.9        0.0        7.9        0.6        0.8       35.1       43.4        2.9        8.3        0.7        0.0       12.2        2.7
 
Number of Traders in Each Category                                    Total Traders:       111
         4          5          .          8          .          .         47         11          7         28          6          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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   151,622
Positions
    60,049     33,697     25,455      9,515      1,991      1,340     12,006     45,143      9,372      1,129      6,274     24,959      7,797      3,391
 
Changes from:       January 17, 2012                                 Total Change is:    -2,679
     9,391      1,194     -4,915        872       -137        690      3,346     10,557     -6,121       -130      2,232      9,452    -15,264    -15,631
 
Percent of Open Interest Represented by Each Category of Trader
      39.6       22.2       16.8        6.3        1.3        0.9        7.9       29.8        6.2        0.7        4.1       16.5        5.1        2.2
 
Number of Traders in Each Category                                    Total Traders:        78
        13          9         16          7          4          .         16         16         19          7          4          6
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 24, 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    16,354
Positions
    11,618      1,525          0      1,649        950        430      1,823     11,810        168          0      1,149        309        357         13
 
Changes from:       January 17, 2012                                 Total Change is:       206
      -109       -388          0         -6         26          0        165        570          0          0        -67         67         89         -2
 
Percent of Open Interest Represented by Each Category of Trader
      71.0        9.3        0.0       10.1        5.8        2.6       11.1       72.2        1.0        0.0        7.0        1.9        2.2        0.1
 
Number of Traders in Each Category                                    Total Traders:        24
         .          .          0          4          .          .          .          8          .          0          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
```

----

Updated January 27, 2012