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Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 2012                
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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CANADIAN DOLLAR - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF CAD 100,000)                          
CFTC Code #090741                                                    Open Interest is   126,443
Positions
    40,126      6,419      4,109     16,588     34,802        613     19,579     53,418      5,225      9,032        645        187     30,984     21,025
 
Changes from:       January 3, 2012                                  Total Change is:      -251
     4,697      3,413       -500       -152        -13         -7     -6,620        500        -65        317       -883       -309      2,387     -2,387
 
Percent of Open Interest Represented by Each Category of Trader
      31.7        5.1        3.2       13.1       27.5        0.5       15.5       42.2        4.1        7.1        0.5        0.1       24.5       16.6
 
Number of Traders in Each Category                                    Total Traders:        71
         7          9          8          6          4          .         11         21         10         11          .          .
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Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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    44,676
Positions
    14,629      2,466        803        999      1,321        275     19,192     16,554      1,476        537        648          0      6,765     21,133
 
Changes from:       January 3, 2012                                  Total Change is:     4,238
     2,916        -78         94        -61        462         10      3,065      1,431         95          0          0          0     -1,881      2,224
 
Percent of Open Interest Represented by Each Category of Trader
      32.7        5.5        1.8        2.2        3.0        0.6       43.0       37.1        3.3        1.2        1.5        0.0       15.1       47.3
 
Number of Traders in Each Category                                    Total Traders:        42
         8          5          6          .          .          .          7         16          4          .          .          0
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Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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   203,966
Positions
   146,700      1,374      1,512      7,955     78,453      3,242     25,564     79,302      3,032      2,382      3,622         97     13,483     33,333
 
Changes from:       January 3, 2012                                  Total Change is:     5,412
     8,815     -1,130       -620       -287      1,617        125     -2,740      2,087         89          0       -721       -123        153      4,088
 
Percent of Open Interest Represented by Each Category of Trader
      71.9        0.7        0.7        3.9       38.5        1.6       12.5       38.9        1.5        1.2        1.8        0.0        6.6       16.3
 
Number of Traders in Each Category                                    Total Traders:        87
        11          5          6          4         16          4         11         33         14          .          4          .
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Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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   169,167
Positions
       763     72,897      2,416     65,056     11,017      1,130     72,161     48,841      2,203        750      2,259          0     24,689     28,405
 
Changes from:       January 3, 2012                                  Total Change is:     2,507
       -27      1,842       -983     -1,020        104         20      4,139      2,886     -1,104       -480        -18         -0      1,961       -241
 
Percent of Open Interest Represented by Each Category of Trader
       0.5       43.1        1.4       38.5        6.5        0.7       42.7       28.9        1.3        0.4        1.3        0.0       14.6       16.8
 
Number of Traders in Each Category                                    Total Traders:        90
         .         17          8          8          9          5         28         21         13          .          4          0
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Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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   335,731
Positions
   131,730     26,743      8,133     50,547     33,669      5,058     69,172    153,291     26,398      6,454     15,305      3,233     35,003     63,898
 
Changes from:       January 3, 2012                                  Total Change is:     6,268
    11,585      1,895     -1,470      2,595        809        230      2,420      4,704     -2,894     -7,810      2,323     -1,453      3,065      2,123
 
Percent of Open Interest Represented by Each Category of Trader
      39.2        8.0        2.4       15.1       10.0        1.5       20.6       45.7        7.9        1.9        4.6        1.0       10.4       19.0
 
Number of Traders in Each Category                                    Total Traders:       195
        24         11         15         17         19         12         28         68         41          7         21         10
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Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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   131,997
Positions
    14,195     29,454      5,077      2,934     43,992      1,060     78,139     28,986      2,988      1,643        737        493     25,468     19,211
 
Changes from:       January 3, 2012                                  Total Change is:     4,381
    -5,115      7,088     -1,017       -156       -177          7     14,544      1,994     -2,710     -4,995       -649       -190      4,013         35
 
Percent of Open Interest Represented by Each Category of Trader
      10.8       22.3        3.8        2.2       33.3        0.8       59.2       22.0        2.3        1.2        0.6        0.4       19.3       14.6
 
Number of Traders in Each Category                                    Total Traders:        81
         4         13          8          .          8          .         25         21         11          5          .          .
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Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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   127,704
Positions
    46,319     40,885     75,888          0          0          0      4,067      9,236      1,292          0          0          0        138        403
 
Changes from:       January 3, 2012                                  Total Change is:    -4,475
    -4,654     -3,958         98          0          0          0          0       -600          0          0          0          0         81        -15
 
Percent of Open Interest Represented by Each Category of Trader
      36.3       32.0       59.4        0.0        0.0        0.0        3.2        7.2        1.0        0.0        0.0        0.0        0.1        0.3
 
Number of Traders in Each Category                                    Total Traders:        21
         7          9         13          0          0          0          .          4          .          0          0          0
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Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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   123,845
Positions
    69,602     53,541        796     23,394      2,101      1,084     24,670     56,910        281        984      3,881          0      3,034      5,251
 
Changes from:       January 3, 2012                                  Total Change is:     2,223
      -716        828        106       -817       -352          5      3,360      2,376         34        -73       -458          0        324       -316
 
Percent of Open Interest Represented by Each Category of Trader
      56.2       43.2        0.6       18.9        1.7        0.9       19.9       46.0        0.2        0.8        3.1        0.0        2.4        4.2
 
Number of Traders in Each Category                                    Total Traders:        94
         7         12          .          7          4          .         17         33          .          4         10          0
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Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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    14,173
Positions
     1,788      5,865        225          0        430          0      9,247      5,047        141        165        675          0      2,607      1,790
 
Changes from:       January 3, 2012                                  Total Change is:     3,361
      -255      3,396          0          0        230          0      2,911       -347        141          0        333          0        564       -392
 
Percent of Open Interest Represented by Each Category of Trader
      12.6       41.4        1.6        0.0        3.0        0.0       65.2       35.6        1.0        1.2        4.8        0.0       18.4       12.6
 
Number of Traders in Each Category                                    Total Traders:        36
         4          7          .          0          .          0          9         11          .          .          .          0
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Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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    51,719
Positions
    14,880     33,336        434      3,343      2,769        520     20,084      8,607      1,253      3,435        209        179      7,592      4,413
 
Changes from:       January 3, 2012                                  Total Change is:     2,297
      -198      1,533        144        -99         71        149        589       -719        401        -99         90          8      1,402        619
 
Percent of Open Interest Represented by Each Category of Trader
      28.8       64.5        0.8        6.5        5.4        1.0       38.8       16.6        2.4        6.6        0.4        0.3       14.7        8.5
 
Number of Traders in Each Category                                    Total Traders:        89
        20         13          4          .          7          .         25         14         10          4          .          .
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Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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   103,439
Positions
    29,760     66,671        869      6,685      5,537      1,039     40,168     17,214      2,506      6,871        418        358     15,184      8,827
 
Changes from:       January 3, 2012                                  Total Change is:     4,594
      -397      3,066        288       -198        142        297      1,179     -1,438        803       -198        181         16      2,804      1,238
 
Percent of Open Interest Represented by Each Category of Trader
      28.8       64.5        0.8        6.5        5.4        1.0       38.8       16.6        2.4        6.6        0.4        0.3       14.7        8.5
 
Number of Traders in Each Category                                    Total Traders:        89
        20         13          4          .          7          .         25         14         10          4          .          .
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Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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   870,628
Positions
    41,773    155,296     42,973    357,674    210,280     64,078     86,759    137,578    102,603     24,944     31,663     24,467    125,357    101,691
 
Changes from:       January 3, 2012                                  Total Change is:   -14,486
      -273     -3,398      3,556      1,589       -828     -2,710        342     12,302    -12,179      2,619        -78      2,518     -9,948    -13,668
 
Percent of Open Interest Represented by Each Category of Trader
       4.8       17.8        4.9       41.1       24.2        7.4       10.0       15.8       11.8        2.9        3.6        2.8       14.4       11.7
 
Number of Traders in Each Category                                    Total Traders:       551
        34         51         35        113         65         72         82        125         95         34         47         30
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Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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   299,029
Positions
    23,933     92,284      3,491    109,822     48,801     13,975     21,209     21,272     43,910          4     12,054     10,814     71,872     52,428
 
Changes from:       January 3, 2012                                  Total Change is:    -5,368
     4,805     -1,043         68      1,507        231        547    -24,623       -752      8,063        -10     -1,528      2,538      1,737    -13,493
 
Percent of Open Interest Represented by Each Category of Trader
       8.0       30.9        1.2       36.7       16.3        4.7        7.1        7.1       14.7        0.0        4.0        3.6       24.0       17.5
 
Number of Traders in Each Category                                    Total Traders:       117
         8         15          7         24         14         14         16         27         37          .         10         11
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Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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 2,857,997
Positions
   220,670    446,526     65,941  1,269,471    837,603    220,310    396,625    650,405    224,588    124,840     98,182     68,126    267,425    246,316
 
Changes from:       January 3, 2012                                  Total Change is:   -45,592
   -11,317      2,296      3,365        723     -4,982    -16,600     -3,115    -62,670     26,731     13,149      7,251       -105    -58,423       -878
 
Percent of Open Interest Represented by Each Category of Trader
       7.7       15.6        2.3       44.4       29.3        7.7       13.9       22.8        7.9        4.4        3.4        2.4        9.4        8.6
 
Number of Traders in Each Category                                    Total Traders:       515
        37         47         28        102         59         64         82        115         83         32         41         23
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Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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   103,622
Positions
    23,744     12,823          0     51,558     65,565      8,249      9,034      8,756        158      1,717      3,987          0      9,162      4,083
 
Changes from:       January 3, 2012                                  Total Change is:      -118
    -1,403      1,584          0         98        140       -432      1,630       -726        150         59       -587          0       -221       -248
 
Percent of Open Interest Represented by Each Category of Trader
      22.9       12.4        0.0       49.8       63.3        8.0        8.7        8.5        0.2        1.7        3.8        0.0        8.8        3.9
 
Number of Traders in Each Category                                    Total Traders:        92
        11          8          0         32         13         15         12         10          .          .          4          0
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Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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    69,934
Positions
     6,274     31,501      5,583     23,634      9,756      1,738     17,604      8,165      3,508      1,861      3,934        137      9,595      5,613
 
Changes from:       January 3, 2012                                  Total Change is:    16,403
    -1,928      5,032      5,346      3,739        -96         81      3,579        288      2,729         86        402         77      2,695      2,546
 
Percent of Open Interest Represented by Each Category of Trader
       9.0       45.0        8.0       33.8       13.9        2.5       25.2       11.7        5.0        2.7        5.6        0.2       13.7        8.0
 
Number of Traders in Each Category                                    Total Traders:       210
        23         27         12         28         20         11         43         43         21         13         13          .
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Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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     9,501
Positions
     4,325      5,563         20          0        300          0      2,648        369          0          0        365          0      2,508      2,884
 
Changes from:       January 3, 2012                                  Total Change is:         .
         .          .          .          .          .          .          .          .          .          .          .          .          .          .
 
Percent of Open Interest Represented by Each Category of Trader
      45.5       58.6        0.2        0.0        3.2        0.0       27.9        3.9        0.0        0.0        3.8        0.0       26.4       30.4
 
Number of Traders in Each Category                                    Total Traders:        22
         9          6          .          0          .          0          4          .          0          0          .          0
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Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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 (MINI) - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 STOCK INDEX X $20)        
CFTC Code #209742                                                    Open Interest is   302,165
Positions
    36,089    156,033      1,471    118,172     47,279      8,689     89,128     53,329      3,191      9,307     17,844        686     35,434     13,645
 
Changes from:       January 3, 2012                                  Total Change is:    34,508
    -4,924     23,686        285     18,697     -1,978        403     19,006     13,944       -707        431        184        383        933     -1,693
 
Percent of Open Interest Represented by Each Category of Trader
      11.9       51.6        0.5       39.1       15.6        2.9       29.5       17.6        1.1        3.1        5.9        0.2       11.7        4.5
 
Number of Traders in Each Category                                    Total Traders:       210
        23         27          4         28         20         11         43         43         16         13         13          .
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Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
RUSSELL 2000 MINI INDEX FUTURE - ICE FUTURES U.S.   (RUSSELL 2000 INDEX X $100.00)                  
CFTC Code #23977A                                                    Open Interest is   401,143
Positions
   181,706     22,989     13,071    115,217    209,111     26,480     43,383     96,499      1,349      3,831     16,433        222     15,884     14,989
 
Changes from:       January 3, 2012                                  Total Change is:    -3,269
   -11,160      1,155      3,684      5,033     -3,989     -1,183      1,769      1,462     -1,163         65     -3,313         15       -328         65
 
Percent of Open Interest Represented by Each Category of Trader
      45.3        5.7        3.3       28.7       52.1        6.6       10.8       24.1        0.3        1.0        4.1        0.1        4.0        3.7
 
Number of Traders in Each Category                                    Total Traders:       233
        22         10          4         46         43         26         35         55         14          5         17          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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    23,171
Positions
     5,248        322          0      6,874      1,227         54      4,358      7,850          2        817      4,231          0      5,818      9,485
 
Changes from:       January 3, 2012                                  Total Change is:      -383
      -375       -234          0       -336         66          0        401        594          2          0          0          0        -75       -811
 
Percent of Open Interest Represented by Each Category of Trader
      22.6        1.4        0.0       29.7        5.3        0.2       18.8       33.9        0.0        3.5       18.3        0.0       25.1       40.9
 
Number of Traders in Each Category                                    Total Traders:        38
         6          .          0          9          .          .          8          7          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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    38,723
Positions
    14,592      7,522        630      6,804      3,289        726      6,515      3,626      2,330      2,039          0          0      5,087     20,600
 
Changes from:       January 3, 2012                                  Total Change is:     1,368
      -588      1,734         57      1,078         50          1        408       -345        778        362          0          0       -728       -907
 
Percent of Open Interest Represented by Each Category of Trader
      37.7       19.4        1.6       17.6        8.5        1.9       16.8        9.4        6.0        5.3        0.0        0.0       13.1       53.2
 
Number of Traders in Each Category                                    Total Traders:        52
        13         10          .          5          .          .          9          9          .          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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    43,139
Positions
       795      3,815         65     31,349     23,045      4,170      2,679      9,811          4          0          0          0      4,077      2,229
 
Changes from:       January 3, 2012                                  Total Change is:     1,278
       185         89        -58      1,468        328         83       -572        611          1       -205          0          0        376        224
 
Percent of Open Interest Represented by Each Category of Trader
       1.8        8.8        0.2       72.7       53.4        9.7        6.2       22.7        0.0        0.0        0.0        0.0        9.5        5.2
 
Number of Traders in Each Category                                    Total Traders:        50
         .          .          .         17         20         10          .          6          .          0          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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    66,618
Positions
    14,972     23,213          0     32,107     24,288      2,170      6,940     12,809        570      3,588      1,043        546      5,725      1,979
 
Changes from:       January 3, 2012                                  Total Change is:       181
       112       -261          0        435      1,069        -87       -677       -125         81        358       -298       -220        179         22
 
Percent of Open Interest Represented by Each Category of Trader
      22.5       34.8        0.0       48.2       36.5        3.3       10.4       19.2        0.9        5.4        1.6        0.8        8.6        3.0
 
Number of Traders in Each Category                                    Total Traders:        71
         9         12          0         16          9          6         10          5          .          8          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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   680,572
Positions
    14,923    107,984     26,376    281,697    107,843     87,222     46,137     90,649     42,281     10,749     65,782      6,740    164,447    145,695
 
Changes from:       January 3, 2012                                  Total Change is:    23,575
     7,715     -8,390        356       -641     16,797     -7,067     -1,418       -192      7,057        170         75        180     17,222     14,759
 
Percent of Open Interest Represented by Each Category of Trader
       2.2       15.9        3.9       41.4       15.8       12.8        6.8       13.3        6.2        1.6        9.7        1.0       24.2       21.4
 
Number of Traders in Each Category                                    Total Traders:       152
         7         15         17         45         21         40         27         23         33          5          9          7
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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   374,035
Positions
     4,824    151,476        428    281,577     30,412     26,490      1,872    117,239        391          0          0          0     58,454     47,599
 
Changes from:       January 3, 2012                                  Total Change is:    11,412
      -748      1,969         68     19,102     11,110     -7,087          0       -358         65          0     -1,501          0         12      7,145
 
Percent of Open Interest Represented by Each Category of Trader
       1.3       40.5        0.1       75.3        8.1        7.1        0.5       31.3        0.1        0.0        0.0        0.0       15.6       12.7
 
Number of Traders in Each Category                                    Total Traders:        69
         .         10          4         38          7         21          .         11          4          0          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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   698,581
Positions
    90,231     81,830      6,574    140,877    189,771     70,605    211,795    182,194     22,692     42,442     33,942      1,750    111,615    109,223
 
Changes from:       January 3, 2012                                  Total Change is:   -17,621
   -18,858      7,911        860      3,438     -8,066      4,751     -5,560    -25,354     -2,432      1,445       -241         63     -1,328      4,886
 
Percent of Open Interest Represented by Each Category of Trader
      12.9       11.7        0.9       20.2       27.2       10.1       30.3       26.1        3.2        6.1        4.9        0.3       16.0       15.6
 
Number of Traders in Each Category                                    Total Traders:       209
        15         24         11         34         43         41         36         35         24          8         14          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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 1,783,732
Positions
    67,014    149,779     78,994    692,018    664,464    153,757    305,462    153,979    127,127     32,579     92,619     34,085    292,695    328,927
 
Changes from:       January 3, 2012                                  Total Change is:    96,167
    16,074      7,426     -3,594     33,727     64,286    -19,210     50,577      1,932      8,354      2,099      8,413      3,428      4,714     25,133
 
Percent of Open Interest Represented by Each Category of Trader
       3.8        8.4        4.4       38.8       37.3        8.6       17.1        8.6        7.1        1.8        5.2        1.9       16.4       18.4
 
Number of Traders in Each Category                                    Total Traders:       256
        19         33         38         32         54         45         49         44         59          8         17         11
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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 1,446,314
Positions
    51,024    198,179     47,717    398,143    533,987    142,717    260,553    124,570     78,437    206,910     65,073     12,614    248,200    243,022
 
Changes from:       January 3, 2012                                  Total Change is:    56,300
     3,770    -31,920      1,425     42,267     95,026    -20,527     -6,856    -15,082     18,939      2,341     -1,118       -486     15,428     10,044
 
Percent of Open Interest Represented by Each Category of Trader
       3.5       13.7        3.3       27.5       36.9        9.9       18.0        8.6        5.4       14.3        4.5        0.9       17.2       16.8
 
Number of Traders in Each Category                                    Total Traders:       174
         7         27         17         22         37         38         36         25         29          6         14          5
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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   601,057
Positions
   159,695    227,113    172,969      2,916      1,040      1,963     84,290     31,862     98,671     16,596      4,908     25,578     38,378     36,952
 
Changes from:       January 3, 2012                                  Total Change is:     3,882
    -4,889      3,502     -2,599        -65       -626          0      3,941        165      1,859        521       -120        688      4,427      1,015
 
Percent of Open Interest Represented by Each Category of Trader
      26.6       37.8       28.8        0.5        0.2        0.3       14.0        5.3       16.4        2.8        0.8        4.3        6.4        6.1
 
Number of Traders in Each Category                                    Total Traders:        95
        19         28         38          .          .          .         18         16         26          .          5          6
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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 is12,153,109
Positions
 1,203,238  2,120,566  2,860,598  1,519,643     83,778    157,138    500,042    578,638  4,207,493     83,968    364,216    754,839    866,149  1,025,843
 
Changes from:       January 3, 2012                                  Total Change is:   367,198
  -150,213    -89,627    106,932    -42,344     -1,472    -39,074     47,034     51,559    228,597      2,007      8,824    117,377     96,882    -15,918
 
Percent of Open Interest Represented by Each Category of Trader
       9.9       17.4       23.5       12.5        0.7        1.3        4.1        4.8       34.6        0.7        3.0        6.2        7.1        8.4
 
Number of Traders in Each Category                                    Total Traders:       260
        28         58         81         10         11         18         49         71        110          6         18         19
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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    10,313
Positions
     6,215      2,616          0      1,521        784         11      1,031      6,650         27      1,238        160          0        270         65
 
Changes from:       January 3, 2012                                  Total Change is:      -262
      -239         -7          0        -83          0          0         30       -230          2         30          0          0         -2        -27
 
Percent of Open Interest Represented by Each Category of Trader
      60.3       25.4        0.0       14.7        7.6        0.1       10.0       64.5        0.3       12.0        1.6        0.0        2.6        0.6
 
Number of Traders in Each Category                                    Total Traders:        30
         .          .          0          .          4          .          4         10          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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    12,283
Positions
     9,457      6,774          0      1,239      1,738          0      1,133      3,273          0         40        305          0        414        193
 
Changes from:       January 3, 2012                                  Total Change is:       -39
       157        186          0          0       -240          0       -139         11          0        -30          0          0        -27          4
 
Percent of Open Interest Represented by Each Category of Trader
      77.0       55.1        0.0       10.1       14.1        0.0        9.2       26.6        0.0        0.3        2.5        0.0        3.4        1.6
 
Number of Traders in Each Category                                    Total Traders:        32
         4          5          0          .          4          0          7          7          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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    69,570
Positions
    20,958     33,733         24      6,640        360        478     25,210     32,010        882      5,449        630          5      9,925      1,449
 
Changes from:       January 3, 2012                                  Total Change is:     2,452
      -511      1,223         -8        253         25        171      2,942      1,522       -896       -493        350         -4        998         69
 
Percent of Open Interest Represented by Each Category of Trader
      30.1       48.5        0.0        9.5        0.5        0.7       36.2       46.0        1.3        7.8        0.9        0.0       14.3        2.1
 
Number of Traders in Each Category                                    Total Traders:       116
         4          5          .          8          .          .         51          9          6         31          6          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 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   144,035
Positions
    49,544     36,604     27,959      9,229      1,712        709     11,868     33,669     11,791      1,800      3,089     15,214     15,921     13,288
 
Changes from:       January 3, 2012                                  Total Change is:    15,767
    15,386     12,415     -4,801        757        204       -251      2,089      8,708        626        105      1,046        253      1,603     -2,433
 
Percent of Open Interest Represented by Each Category of Trader
      34.4       25.4       19.4        6.4        1.2        0.5        8.2       23.4        8.2        1.2        2.1       10.6       11.1        9.2
 
Number of Traders in Each Category                                    Total Traders:        76
        10          9         18          9          .          .         16         14         19          8          5          6
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of January 10, 2012                
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
DOW JONES UBS EXCESS RETURN - CHICAGO BOARD OF TRADE   ($100 X INDEX)                               
CFTC Code #221602                                                    Open Interest is    17,641
Positions
    11,727      1,718          0      1,545      1,259         90      1,658      8,824        168          0      3,328        239      2,214      2,015
 
Changes from:       January 3, 2012                                  Total Change is:     2,010
         0      1,417          0          0       -198          0          0      4,728          0          0     -5,945          7      2,003      2,001
 
Percent of Open Interest Represented by Each Category of Trader
      66.5        9.7        0.0        8.8        7.1        0.5        9.4       50.0        1.0        0.0       18.9        1.4       12.6       11.4
 
Number of Traders in Each Category                                    Total Traders:        25
         .          .          0          .          .          .          .          8          .          0          4          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
```

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Updated January 13, 2012