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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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   129,603
Positions
    10,962     25,803      3,562     18,509     34,825        163     43,468     42,539      3,935      8,830          0        405     39,769     18,370
 
Changes from:       March 20, 2012                                   Total Change is:   -66,535
    -8,722     -4,620    -26,066         53         37         -3     -7,591    -10,456    -19,769         60         -1         17     -4,513     -5,674
 
Percent of Open Interest Represented by Each Category of Trader
       8.5       19.9        2.7       14.3       26.9        0.1       33.5       32.8        3.0        6.8        0.0        0.3       30.7       14.2
 
Number of Traders in Each Category                                    Total Traders:        78
         5          8          8          7          4          .         28         14         13         12          0          .
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 2012                  
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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SWISS FRANC - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF CHF 125,000)                              
CFTC Code #092741                                                    Open Interest is    43,808
Positions
    15,596     13,388        198        868      1,504        160     13,678     13,992        513        537          0          0     12,258     14,053
 
Changes from:       March 20, 2012                                   Total Change is:      -775
    -1,699      2,588        -84          0         -9          0     -1,310       -355         -1          0          0          0      2,320     -2,913
 
Percent of Open Interest Represented by Each Category of Trader
      35.6       30.6        0.5        2.0        3.4        0.4       31.2       31.9        1.2        1.2        0.0        0.0       28.0       32.1
 
Number of Traders in Each Category                                    Total Traders:        34
         5          6          .          .          .          .          7         11          4          .          0          0
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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   141,842
Positions
    47,400      2,040      3,488      9,024     72,661      4,416     47,205     28,409      2,384      2,041      4,050          0     25,885     24,394
 
Changes from:       March 20, 2012                                   Total Change is:    -5,473
   -15,887      1,169        287       -345       -516        792      4,155     -5,039        439        -28       -876          0      5,114     -1,730
 
Percent of Open Interest Represented by Each Category of Trader
      33.4        1.4        2.5        6.4       51.2        3.1       33.3       20.0        1.7        1.4        2.9        0.0       18.2       17.2
 
Number of Traders in Each Category                                    Total Traders:        86
        11          4          9          7         14          7         22         21          9          .          4          0
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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   164,786
Positions
    58,171      9,301      7,462     63,753     10,040        820     11,253     75,168      8,086        919      2,783        366     13,957     50,762
 
Changes from:       March 20, 2012                                   Total Change is:     5,809
    30,306     -7,943        300        259        754         -6    -24,149     10,633        280       -161        -23        206     -1,225      1,608
 
Percent of Open Interest Represented by Each Category of Trader
      35.3        5.6        4.5       38.7        6.1        0.5        6.8       45.6        4.9        0.6        1.7        0.2        8.5       30.8
 
Number of Traders in Each Category                                    Total Traders:       113
        11          6          9          9         10          6         18         48         23          4          7          .
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 2012                  
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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EURO FX - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF EUR 125,000)                                  
CFTC Code #099741                                                    Open Interest is   284,400
Positions
   121,821     13,541      9,719     39,065     30,917      7,931     30,053    110,630     28,839      5,432     14,342      2,736     38,803     65,744
 
Changes from:       March 20, 2012                                   Total Change is:   -16,880
    -2,601    -10,048        192     -5,740        -92      3,347    -17,894    -11,877      1,641       -866        708       -202      5,242       -550
 
Percent of Open Interest Represented by Each Category of Trader
      42.8        4.8        3.4       13.7       10.9        2.8       10.6       38.9       10.1        1.9        5.0        1.0       13.6       23.1
 
Number of Traders in Each Category                                    Total Traders:       182
        25          7         12         16         19         13         27         62         39          4         22         13
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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   157,558
Positions
    20,417     37,270      3,973      3,903     40,421        743     92,442     47,832      5,174      1,365        674        640     28,902     20,832
 
Changes from:       March 20, 2012                                   Total Change is:   -12,446
    -6,280     -4,362        -39       -112       -186        -14     -4,536     -8,078      1,563        -11        -22         49     -3,065     -1,354
 
Percent of Open Interest Represented by Each Category of Trader
      13.0       23.7        2.5        2.5       25.7        0.5       58.7       30.4        3.3        0.9        0.4        0.4       18.3       13.2
 
Number of Traders in Each Category                                    Total Traders:        94
         9         10         10          4          9          .         29         24         15          7          .          .
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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   126,136
Positions
    40,899     45,057     69,804          0          0          0      7,571      3,984      7,140        165          0          0        557        151
 
Changes from:       March 20, 2012                                   Total Change is:      -104
        50       -176        111          0          0          0       -297         -1          0          0          0          0         32        -38
 
Percent of Open Interest Represented by Each Category of Trader
      32.4       35.7       55.3        0.0        0.0        0.0        6.0        3.2        5.7        0.1        0.0        0.0        0.4        0.1
 
Number of Traders in Each Category                                    Total Traders:        22
         7          9         12          0          0          0          .          .          .          .          0          0
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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   178,551
Positions
    46,769    135,751          0     19,720          0      3,142     96,635     34,664        376      4,058      2,393          0      7,851      2,225
 
Changes from:       March 20, 2012                                   Total Change is:     3,860
      -548     60,332          0       -668       -201          0      4,075    -53,144         98        485       -340          0        418     -2,885
 
Percent of Open Interest Represented by Each Category of Trader
      26.2       76.0        0.0       11.0        0.0        1.8       54.1       19.4        0.2        2.3        1.3        0.0        4.4        1.2
 
Number of Traders in Each Category                                    Total Traders:       107
         7          9          0         13          0          .         50         13          .         10          5          0
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 2012                  
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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NEW ZEALAND DOLLAR - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF NZD 100,000)                       
CFTC Code #112741                                                    Open Interest is    20,247
Positions
     1,934     11,956          0        551        305          0     13,728      6,166        152        427        338          0      3,455      1,330
 
Changes from:       March 20, 2012                                   Total Change is:       -41
       108        898          0        -75        -83          0       -407       -283        -64         28          0          0        369       -509
 
Percent of Open Interest Represented by Each Category of Trader
       9.6       59.1        0.0        2.7        1.5        0.0       67.8       30.5        0.8        2.1        1.7        0.0       17.1        6.6
 
Number of Traders in Each Category                                    Total Traders:        47
         4          7          0          .          .          0         18         11          .          .          .          0
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 2012                  
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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DJIA Consolidated - CHICAGO BOARD OF TRADE   ($10 X DJIA INDEX)                                     
CFTC Code #12460+                                                    Open Interest is    54,660
Positions
    11,769     33,521        959      4,560      1,451        654     24,663     11,287      1,121      3,097        591        522      7,316      4,554
 
Changes from:       March 20, 2012                                   Total Change is:       163
      -106        -16        -23          9        102         87     -1,023        -17        391        289       -113         11        529       -259
 
Percent of Open Interest Represented by Each Category of Trader
      21.5       61.3        1.8        8.3        2.7        1.2       45.1       20.7        2.1        5.7        1.1        1.0       13.4        8.3
 
Number of Traders in Each Category                                    Total Traders:       101
        14         20          .          7          5          .         31         14         10          5          5          .
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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   109,319
Positions
    23,537     67,042      1,917      9,119      2,902      1,307     49,326     22,575      2,243      6,194      1,182      1,043     14,633      9,109
 
Changes from:       March 20, 2012                                   Total Change is:       326
      -212        -33        -46         17        204        173     -2,047        -33        782        577       -227         23      1,059       -517
 
Percent of Open Interest Represented by Each Category of Trader
      21.5       61.3        1.8        8.3        2.7        1.2       45.1       20.7        2.1        5.7        1.1        1.0       13.4        8.3
 
Number of Traders in Each Category                                    Total Traders:       101
        14         20          .          7          5          .         31         14         10          5          5          .
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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   918,825
Positions
    38,506    211,240     21,766    393,088    156,528     49,046     83,209    174,104    125,791     32,748     30,820     28,277    146,394    121,253
 
Changes from:       March 20, 2012                                   Total Change is:    22,256
       323      9,913      1,990      4,906     -4,519     -3,597     -1,492      2,655     11,660     -1,473        408      2,886      7,053        859
 
Percent of Open Interest Represented by Each Category of Trader
       4.2       23.0        2.4       42.8       17.0        5.3        9.1       18.9       13.7        3.6        3.4        3.1       15.9       13.2
 
Number of Traders in Each Category                                    Total Traders:       575
        28         53         36        127         57         60         89        136        103         40         45         37
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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   306,008
Positions
    16,768     80,344      4,561    109,111     29,273     12,843     17,318     35,388     57,261     10,907      7,322     10,801     66,438     68,215
 
Changes from:       March 20, 2012                                   Total Change is:     9,744
     1,793      1,752       -428     -1,411       -903       -251      3,166      3,915      4,744     -1,261       -172      1,017      2,374         70
 
Percent of Open Interest Represented by Each Category of Trader
       5.5       26.3        1.5       35.7        9.6        4.2        5.7       11.6       18.7        3.6        2.4        3.5       21.7       22.3
 
Number of Traders in Each Category                                    Total Traders:       130
         9         14          5         28          9         14         19         34         44         10          7         14
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 3,064,087
Positions
   139,259    685,054     55,453  1,448,628    665,015    152,279    377,647    741,770    294,458    115,664    123,948     80,919    399,779    265,191
 
Changes from:       March 20, 2012                                   Total Change is:    62,560
    -5,173     42,984      9,908     27,173    -22,491    -12,315    -11,200      5,790     22,495      4,145      8,108      4,136     23,391      3,945
 
Percent of Open Interest Represented by Each Category of Trader
       4.5       22.4        1.8       47.3       21.7        5.0       12.3       24.2        9.6        3.8        4.0        2.6       13.0        8.7
 
Number of Traders in Each Category                                    Total Traders:       533
        27         51         31        113         54         53         91        122         94         34         41         28
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 2012                  
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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E-MINI S&P 400 STOCK INDEX - CHICAGO MERCANTILE EXCHANGE   (S&P 400 INDEX X $100)                   
CFTC Code #33874A                                                    Open Interest is   100,642
Positions
     9,360     19,568         87     57,082     59,903      5,353     13,916      9,740         50      4,641      3,104          0     10,153      2,837
 
Changes from:       March 20, 2012                                   Total Change is:     1,693
     1,890       -873          0        882      2,670       -145     -1,132        848         23        149        -15          0         26       -815
 
Percent of Open Interest Represented by Each Category of Trader
       9.3       19.4        0.1       56.7       59.5        5.3       13.8        9.7        0.0        4.6        3.1        0.0       10.1        2.8
 
Number of Traders in Each Category                                    Total Traders:        98
        12          9          .         36         12         12         14          9          .          4          .          0
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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    89,534
Positions
     4,152     47,774        797     32,021      7,293      1,073     41,122     15,469      2,172      1,594      6,830        824      5,778      7,303
 
Changes from:       March 20, 2012                                   Total Change is:      -782
       243     -2,523         19        -28       -916         12     -2,259       -272        712         54        802         67        399      1,317
 
Percent of Open Interest Represented by Each Category of Trader
       4.6       53.4        0.9       35.8        8.1        1.2       45.9       17.3        2.4        1.8        7.6        0.9        6.5        8.2
 
Number of Traders in Each Category                                    Total Traders:       259
        20         29          8         36         23         10         70         39         18         16         26          4
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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   447,672
Positions
    20,762    238,872      3,985    160,107     36,463      5,366    205,612     77,343     10,859      7,972     34,152      4,118     28,892     36,515
 
Changes from:       March 20, 2012                                   Total Change is:    -3,908
     1,213    -12,613         97       -139     -4,580         59    -11,295     -1,358      3,559        271      4,010        333      1,995      6,585
 
Percent of Open Interest Represented by Each Category of Trader
       4.6       53.4        0.9       35.8        8.1        1.2       45.9       17.3        2.4        1.8        7.6        0.9        6.5        8.2
 
Number of Traders in Each Category                                    Total Traders:       259
        20         29          8         36         23         10         70         39         18         16         26          4
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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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RUSSELL 2000 MINI INDEX FUTURE - ICE FUTURES U.S.   (RUSSELL 2000 INDEX X $100.00)                  
CFTC Code #23977A                                                    Open Interest is   374,511
Positions
   122,193     28,731      6,148    139,513    192,237     20,725     56,407     98,710      2,846      5,948     11,138        100     20,631     13,876
 
Changes from:       March 20, 2012                                   Total Change is:    -3,741
    -6,916      3,298     -1,462      3,264     -2,197          4         19       -683        799       -120     -3,830       -122        792        451
 
Percent of Open Interest Represented by Each Category of Trader
      32.6        7.7        1.6       37.3       51.3        5.5       15.1       26.4        0.8        1.6        3.0        0.0        5.5        3.7
 
Number of Traders in Each Category                                    Total Traders:       246
        18         14          4         53         46         23         42         57         16          6         10          .
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Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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    45,659
Positions
    16,529        680         15     14,503        310        357      4,512     15,330          0      3,319      6,795          0      6,424     22,172
 
Changes from:       March 20, 2012                                   Total Change is:       749
        86        220          8        -57          0        141        676       -464          0        292      1,010          0       -397       -166
 
Percent of Open Interest Represented by Each Category of Trader
      36.2        1.5        0.0       31.8        0.7        0.8        9.9       33.6        0.0        7.3       14.9        0.0       14.1       48.6
 
Number of Traders in Each Category                                    Total Traders:        53
        11          .          .         13          .          .         11          5          0          6          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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    46,875
Positions
     5,812      8,360        707      8,599      2,395        749     16,960      1,467      3,112      3,164      2,276          0      7,772     27,809
 
Changes from:       March 20, 2012                                   Total Change is:     1,703
    -2,446      3,173        -51        196        -55        -93         65         57      2,495        306      1,010          0      1,231     -4,833
 
Percent of Open Interest Represented by Each Category of Trader
      12.4       17.8        1.5       18.3        5.1        1.6       36.2        3.1        6.6        6.7        4.9        0.0       16.6       59.3
 
Number of Traders in Each Category                                    Total Traders:        51
         9         14          6          6          .          .         12          .          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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    49,856
Positions
       220      8,672      1,033     34,976     22,450      3,723      4,937     12,014        133          0          0          0      4,834      1,831
 
Changes from:       March 20, 2012                                   Total Change is:       596
         0        773          3       -898     -1,135       -131      1,493      1,310         18          0          0          0        111       -242
 
Percent of Open Interest Represented by Each Category of Trader
       0.4       17.4        2.1       70.2       45.0        7.5        9.9       24.1        0.3        0.0        0.0        0.0        9.7        3.7
 
Number of Traders in Each Category                                    Total Traders:        59
         .          4          .         20         21          9          7          6          .          0          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 2012                  
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
MSCI EMERGING MKTS MINI INDEX - NYSE LIFFE   (MSCI EAFE INDEX X $50)                                
CFTC Code #244042                                                    Open Interest is    84,292
Positions
    12,429     28,642      1,017     33,519     12,766      3,899     10,661     32,934         26      7,598          0        236     14,907      4,772
 
Changes from:       March 20, 2012                                   Total Change is:     2,757
      -222      1,623         96        823    -11,378         -9       -801     11,189          0     -1,577       -330          0      4,447      1,566
 
Percent of Open Interest Represented by Each Category of Trader
      14.7       34.0        1.2       39.8       15.1        4.6       12.6       39.1        0.0        9.0        0.0        0.3       17.7        5.7
 
Number of Traders in Each Category                                    Total Traders:        90
         9         12          .         21         12          9         14         12          .         10          0          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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   685,997
Positions
    20,496     54,027     39,118    245,429    151,552     95,300     63,005     65,824     66,390      9,416     44,821      5,659    141,183    163,306
 
Changes from:       March 20, 2012                                   Total Change is:   -90,034
    -6,734     -2,426    -20,021     10,649      7,295     -6,717      7,406    -15,134    -55,745     -3,274      4,678     -8,268     -7,330      6,304
 
Percent of Open Interest Represented by Each Category of Trader
       3.0        7.9        5.7       35.8       22.1       13.9        9.2        9.6        9.7        1.4        6.5        0.8       20.6       23.8
 
Number of Traders in Each Category                                    Total Traders:       159
         9         13         19         42         25         37         28         29         43          5          8          4
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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   351,737
Positions
     2,481    147,084        819    252,233     19,582     32,465      1,647    100,541        738      3,000      3,691          0     58,354     46,817
 
Changes from:       March 20, 2012                                   Total Change is:    -7,408
         0     -1,916     -4,271     -3,133     -4,581      3,700          0      5,672          0          0      2,191          0     -3,704     -8,203
 
Percent of Open Interest Represented by Each Category of Trader
       0.7       41.8        0.2       71.7        5.6        9.2        0.5       28.6        0.2        0.9        1.0        0.0       16.6       13.3
 
Number of Traders in Each Category                                    Total Traders:        69
         .         11          .         32          9         24          .         12          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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   881,608
Positions
   113,402     58,926     18,839    137,292    336,144     75,514    212,849    135,791     80,692    145,259     46,552     14,428     83,333    114,722
 
Changes from:       March 20, 2012                                   Total Change is:   -39,267
   -19,153     11,096    -10,237     14,275      3,245     -4,824     19,141     -8,800    -27,218      4,731      6,630     -1,865    -14,117     -7,295
 
Percent of Open Interest Represented by Each Category of Trader
      12.9        6.7        2.1       15.6       38.1        8.6       24.1       15.4        9.2       16.5        5.3        1.6        9.5       13.0
 
Number of Traders in Each Category                                    Total Traders:       203
        19         17         14         35         31         42         32         33         33         15         21          6
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 2,148,547
Positions
   111,136    152,090    135,825    657,025    705,570    224,745    401,780    211,112    221,771     80,030     71,633     46,019    270,216    379,782
 
Changes from:       March 20, 2012                                   Total Change is:  -310,899
    -6,142     28,168    -76,870      4,965    -46,101    -17,998    -41,253     -8,587   -111,877      8,266    -13,572    -64,715     -5,275        652
 
Percent of Open Interest Represented by Each Category of Trader
       5.2        7.1        6.3       30.6       32.8       10.5       18.7        9.8       10.3        3.7        3.3        2.1       12.6       17.7
 
Number of Traders in Each Category                                    Total Traders:       291
        20         39         50         30         68         56         45         63         70         13         13         13
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 1,554,213
Positions
   124,073    153,841     59,643    353,933    619,117    147,932    381,763    122,487    114,971    193,640     66,651     13,345    164,913    256,227
 
Changes from:       March 20, 2012                                   Total Change is:   -82,171
    -9,717     10,915    -12,221     -1,540    -28,375      1,166    -16,778    -13,889    -17,523     -2,984      1,808     -3,390    -19,184    -20,662
 
Percent of Open Interest Represented by Each Category of Trader
       8.0        9.9        3.8       22.8       39.8        9.5       24.6        7.9        7.4       12.5        4.3        0.9       10.6       16.5
 
Number of Traders in Each Category                                    Total Traders:       200
        15         23         20         26         41         39         30         39         39         11         15          6
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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   661,626
Positions
   185,867    191,533    232,028      1,700      4,546      1,423     80,677     52,001    111,834      5,646      6,127     16,356     26,096     45,778
 
Changes from:       March 20, 2012                                   Total Change is:    13,998
     3,882       -672      9,870          5        500         -5     -2,329        430      2,913        615       -168     -1,311        358      2,441
 
Percent of Open Interest Represented by Each Category of Trader
      28.1       28.9       35.1        0.3        0.7        0.2       12.2        7.9       16.9        0.9        0.9        2.5        3.9        6.9
 
Number of Traders in Each Category                                    Total Traders:        94
        23         27         44          .          .          .         14         16         24          4          5          6
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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 is13,399,133
Positions
 2,142,070  1,835,707  3,271,349    481,830    836,374    257,522    715,503    333,996  4,887,404     71,908    284,918    715,704    855,845    976,161
 
Changes from:       March 20, 2012                                   Total Change is:    20,121
   -27,535     59,629     21,006    -24,768     46,076     22,168     79,934     -2,482    -71,123      6,846    -20,422    -40,079     53,673      5,348
 
Percent of Open Interest Represented by Each Category of Trader
      16.0       13.7       24.4        3.6        6.2        1.9        5.3        2.5       36.5        0.5        2.1        5.3        6.4        7.3
 
Number of Traders in Each Category                                    Total Traders:       272
        36         49         84         10         18         22         60         62        108         10         17         21
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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    10,160
Positions
     4,415      2,660          0        596        867          6      3,654      6,290         24      1,320        175          0        145        138
 
Changes from:       March 20, 2012                                   Total Change is:     1,517
       147        132          0          2          0          0      1,420      1,420        -17        -20         -5          0        -15        -13
 
Percent of Open Interest Represented by Each Category of Trader
      43.5       26.2        0.0        5.9        8.5        0.1       36.0       61.9        0.2       13.0        1.7        0.0        1.4        1.4
 
Number of Traders in Each Category                                    Total Traders:        29
         .          4          0          .          4          .          5          6          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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     7,559
Positions
     4,660      3,451          0        979      1,706         45      1,687      2,160          0         65        100          0        123         97
 
Changes from:       March 20, 2012                                   Total Change is:       512
       743        151          0         -5       -226         45       -223        545          0          0          0          0        -48         -3
 
Percent of Open Interest Represented by Each Category of Trader
      61.6       45.7        0.0       13.0       22.6        0.6       22.3       28.6        0.0        0.9        1.3        0.0        1.6        1.3
 
Number of Traders in Each Category                                    Total Traders:        29
         4          4          0          .          5          .          .         10          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 2012                  
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
U.S. DOLLAR INDEX - ICE FUTURES U.S.   (U.S. DOLLAR INDEX X $1000)                                  
CFTC Code #098662                                                    Open Interest is    52,459
Positions
    16,253     21,031          2      2,670          0        546     19,409     27,299      1,122      3,801        379         24      8,633      2,056
 
Changes from:       March 20, 2012                                   Total Change is:    -8,516
      -753       -213         -0       -963        -22         70     -6,203     -9,230        199       -319        145         -7       -539        543
 
Percent of Open Interest Represented by Each Category of Trader
      31.0       40.1        0.0        5.1        0.0        1.0       37.0       52.0        2.1        7.2        0.7        0.0       16.5        3.9
 
Number of Traders in Each Category                                    Total Traders:        92
         4          5          .          9          0          .         31         16          6         21          5          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 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   304,339
Positions
   154,422     64,041     26,789     31,332      6,341      4,147      6,991    101,330     13,890      1,908     18,763     42,021     22,839     27,017
 
Changes from:       March 20, 2012                                   Total Change is:   -59,544
   -21,243    -10,726     -3,948    -12,963     -1,981       -934       -334    -17,354     -8,806       -709     -7,336     -2,291     -8,316     -6,168
 
Percent of Open Interest Represented by Each Category of Trader
      50.7       21.0        8.8       10.3        2.1        1.4        2.3       33.3        4.6        0.6        6.2       13.8        7.5        8.9
 
Number of Traders in Each Category                                    Total Traders:       119
        12         13         18          7         10          7          9         40         30          9         11         13
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Options and Futures Combined Positions as of March 27, 2012                  
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
DOW JONES UBS EXCESS RETURN - CHICAGO BOARD OF TRADE   ($100 X INDEX)                               
CFTC Code #221602                                                    Open Interest is     7,535
Positions
     1,006        964          0      3,347      1,032          0      1,630      3,378        924        290        913        284         54         40
 
Changes from:       March 20, 2012                                   Total Change is:   -11,296
    -9,535        497     -1,698        144        -61          0          0     -9,787        -20          0        -36       -188          1         -3
 
Percent of Open Interest Represented by Each Category of Trader
      13.4       12.8        0.0       44.4       13.7        0.0       21.6       44.8       12.3        3.8       12.1        3.8        0.7        0.5
 
Number of Traders in Each Category                                    Total Traders:        23
         .          .          0          5          .          0          .          5          .          .          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
```

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Updated March 30, 2012