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Traders in Financial Futures - Futures Only Positions as of January 3, 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   119,763
Positions
    35,326      3,165      1,470     16,740     34,815        620     26,234     52,447      3,824      8,786      1,530          1     26,762     21,891
 
Changes from:       December 27, 2011                                Total Change is:     1,028
    -1,141        546        172        628       -450         -5        821      1,525         92       -942          5          0      1,403       -857
 
Percent of Open Interest Represented by Each Category of Trader
      29.5        2.6        1.2       14.0       29.1        0.5       21.9       43.8        3.2        7.3        1.3        0.0       22.3       18.3
 
Number of Traders in Each Category                                    Total Traders:        66
         8          5          4          6          4          .         15         15          4         10          .          .
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Traders in Financial Futures - Futures Only Positions as of January 3, 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    37,999
Positions
    11,367      2,217          0      1,060        859        265     16,597     15,472         65        537        648          0      8,108     18,473
 
Changes from:       December 27, 2011                                Total Change is:     2,258
       332      1,496          0          1          3          0        927         67         21          0        648          0        977         23
 
Percent of Open Interest Represented by Each Category of Trader
      29.9        5.8        0.0        2.8        2.3        0.7       43.7       40.7        0.2        1.4        1.7        0.0       21.3       48.6
 
Number of Traders in Each Category                                    Total Traders:        38
         7          6          0          .          .          .          6         14          .          .          .          0
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Traders in Financial Futures - Futures Only Positions as of January 3, 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   193,595
Positions
   138,025      2,707         95      8,242     76,836      3,117     28,227     77,358        903      2,438      4,179          0     12,548     28,400
 
Changes from:       December 27, 2011                                Total Change is:    10,476
     9,682        569       -107       -402      1,506          9      3,347      5,116        270       -801        949          0     -1,522      2,164
 
Percent of Open Interest Represented by Each Category of Trader
      71.3        1.4        0.0        4.3       39.7        1.6       14.6       40.0        0.5        1.3        2.2        0.0        6.5       14.7
 
Number of Traders in Each Category                                    Total Traders:        92
        12          6          .          4         16          4         14         31          4          4          5          0
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Traders in Financial Futures - Futures Only Positions as of January 3, 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   158,719
Positions
       637     72,126         84     66,076     10,700      1,041     68,131     46,202        125      1,230      2,222          0     21,395     26,219
 
Changes from:       December 27, 2011                                Total Change is:    26,162
       470     13,427       -255        519       -337       -450     19,792     13,519        -11        -80       -330          0      6,177        599
 
Percent of Open Interest Represented by Each Category of Trader
       0.4       45.4        0.1       41.6        6.7        0.7       42.9       29.1        0.1        0.8        1.4        0.0       13.5       16.5
 
Number of Traders in Each Category                                    Total Traders:        84
         .         15          .          9          7          4         24         22          .          .          .          0
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Traders in Financial Futures - Futures Only Positions as of January 3, 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   282,790
Positions
   119,171     26,718        719     47,953     30,666      4,652     66,673    149,926        808     14,220     13,547        162     28,432     55,592
 
Changes from:       December 27, 2011                                Total Change is:     6,768
    -3,304       -311        564     -1,724     -1,891        -72      8,675      5,918       -177       -110      1,409          0      2,916      1,328
 
Percent of Open Interest Represented by Each Category of Trader
      42.1        9.4        0.3       17.0       10.8        1.6       23.6       53.0        0.3        5.0        4.8        0.1       10.1       19.7
 
Number of Traders in Each Category                                    Total Traders:       182
        23         10          6         16         17         10         30         63         11          6         17          .
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Traders in Financial Futures - Futures Only Positions as of January 3, 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   117,247
Positions
    19,706     22,635      2,790      3,090     44,168      1,049     64,348     28,079          0      6,635      1,521          0     19,629     17,005
 
Changes from:       December 27, 2011                                Total Change is:     6,037
    -2,868      4,601        -77        371         80         -1      7,193       -491          0         -7        726          0      1,426      1,199
 
Percent of Open Interest Represented by Each Category of Trader
      16.8       19.3        2.4        2.6       37.7        0.9       54.9       23.9        0.0        5.7        1.3        0.0       16.7       14.5
 
Number of Traders in Each Category                                    Total Traders:        84
         7         12          .          .          8          .         22         25          0          .          5          0
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Traders in Financial Futures - Futures Only Positions as of January 3, 2012                 
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              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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RUSSIAN RUBLE - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF RUB 2,500,000)                          
CFTC Code #089741                                                    Open Interest is   125,605
Positions
    48,305     42,175     71,884          0          0          0      4,067      9,836      1,292          0          0          0         57        418
 
Changes from:       December 27, 2011                                Total Change is:     6,311
     7,286      7,311       -621          0          0          0          0        131          0          0          0          0       -354       -510
 
Percent of Open Interest Represented by Each Category of Trader
      38.5       33.6       57.2        0.0        0.0        0.0        3.2        7.8        1.0        0.0        0.0        0.0        0.0        0.3
 
Number of Traders in Each Category                                    Total Traders:        22
         9          8         12          0          0          0          .          4          .          0          0          0
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Traders in Financial Futures - Futures Only Positions as of January 3, 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   121,622
Positions
    70,318     52,713        690     24,211      2,453      1,079     21,310     54,534        247      1,057      4,339          0      2,710      5,567
 
Changes from:       December 27, 2011                                Total Change is:     4,252
       601        620          0        288       -104        -90      3,411      4,566         87       -177        481          0        132     -1,308
 
Percent of Open Interest Represented by Each Category of Trader
      57.8       43.3        0.6       19.9        2.0        0.9       17.5       44.8        0.2        0.9        3.6        0.0        2.2        4.6
 
Number of Traders in Each Category                                    Total Traders:        95
         8         12          .          7          4          .         15         33          4          5         11          0
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Traders in Financial Futures - Futures Only Positions as of January 3, 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    10,812
Positions
     2,043      2,469        225          0        200          0      6,336      5,394          0        165        342          0      2,043      2,182
 
Changes from:       December 27, 2011                                Total Change is:       631
      -847        633          0          0         31          0      1,380        382          0       -100       -158          0        198       -257
 
Percent of Open Interest Represented by Each Category of Trader
      18.9       22.8        2.1        0.0        1.8        0.0       58.6       49.9        0.0        1.5        3.2        0.0       18.9       20.2
 
Number of Traders in Each Category                                    Total Traders:        30
         4          4          .          0          .          0          7         12          0          .          .          0
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Traders in Financial Futures - Futures Only Positions as of January 3, 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    47,962
Positions
    15,073     31,798        285      3,442      2,698        371     19,442      8,854        180      3,069        111          0      6,102      3,668
 
Changes from:       December 27, 2011                                Total Change is:     3,198
      -771      2,330         74        136        236         85      3,181        874       -106       -407        -75          0      1,005       -221
 
Percent of Open Interest Represented by Each Category of Trader
      31.4       66.3        0.6        7.2        5.6        0.8       40.5       18.5        0.4        6.4        0.2        0.0       12.7        7.6
 
Number of Traders in Each Category                                    Total Traders:        87
        19         13          .          4          6          .         24         16          .          4          .          0
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Traders in Financial Futures - Futures Only Positions as of January 3, 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    95,924
Positions
    30,146     63,595        570      6,883      5,395        742     38,884     17,707        359      6,137        221          0     12,203      7,335
 
Changes from:       December 27, 2011                                Total Change is:     6,395
    -1,541      4,660        148        272        471        169      6,362      1,748       -211       -814       -149          0      2,010       -441
 
Percent of Open Interest Represented by Each Category of Trader
      31.4       66.3        0.6        7.2        5.6        0.8       40.5       18.5        0.4        6.4        0.2        0.0       12.7        7.6
 
Number of Traders in Each Category                                    Total Traders:        87
        19         13          .          4          6          .         24         16          .          4          .          0
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Traders in Financial Futures - Futures Only Positions as of January 3, 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   788,830
Positions
    41,821    158,971     34,271    356,420    211,704     64,659     84,966    128,283     48,286     26,016     32,324      2,759    129,631    107,572
 
Changes from:       December 27, 2011                                Total Change is:    24,069
       -70     13,363      3,915     -3,402        -50      1,365      7,255     -7,124     10,233     -2,214      1,932        222      6,763        212
 
Percent of Open Interest Represented by Each Category of Trader
       5.3       20.2        4.3       45.2       26.8        8.2       10.8       16.3        6.1        3.3        4.1        0.3       16.4       13.6
 
Number of Traders in Each Category                                    Total Traders:       507
        33         49         26        111         63         61         86         99         60         29         37          9
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Traders in Financial Futures - Futures Only Positions as of January 3, 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   254,612
Positions
    18,499     92,991      1,495    108,438     49,125     11,797     45,660     22,546      1,469          0     12,875        611     66,643     61,703
 
Changes from:       December 27, 2011                                Total Change is:    11,963
     2,720     10,338          3      2,444       -452       -117      9,795       -397        -20     -4,015       -566          0      1,153      3,174
 
Percent of Open Interest Represented by Each Category of Trader
       7.3       36.5        0.6       42.6       19.3        4.6       17.9        8.9        0.6        0.0        5.1        0.2       26.2       24.2
 
Number of Traders in Each Category                                    Total Traders:        98
         8         15          5         23         14         11         16         17          8          0          5          .
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Traders in Financial Futures - Futures Only Positions as of January 3, 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 2,671,088
Positions
   231,034    444,321     49,458  1,269,547    842,533    234,672    387,404    719,559     43,212    130,164     97,331     10,657    314,940    229,345
 
Changes from:       December 27, 2011                                Total Change is:    60,528
     2,916     31,987      2,698    -28,584      2,658      6,764     35,188     14,253      3,380      8,997     12,482      1,118     28,051    -14,812
 
Percent of Open Interest Represented by Each Category of Trader
       8.6       16.6        1.9       47.5       31.5        8.8       14.5       26.9        1.6        4.9        3.6        0.4       11.8        8.6
 
Number of Traders in Each Category                                    Total Traders:       484
        37         44         17        101         57         56         87         95         50         29         34          8
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Traders in Financial Futures - Futures Only Positions as of January 3, 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   103,734
Positions
    25,147     11,239          0     51,460     65,425      8,681      7,404      9,482          8      1,658      4,574          0      9,376      4,325
 
Changes from:       December 27, 2011                                Total Change is:    -2,168
      -570       -298          0     -2,483        490     -1,119        750       -832         -1        -23       -264          0      1,278       -144
 
Percent of Open Interest Represented by Each Category of Trader
      24.2       10.8        0.0       49.6       63.1        8.4        7.1        9.1        0.0        1.6        4.4        0.0        9.0        4.2
 
Number of Traders in Each Category                                    Total Traders:        88
        11          8          0         29         14         15         12          8          .          .          4          0
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Traders in Financial Futures - Futures Only Positions as of January 3, 2012                 
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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NASDAQ-100 Consolidated - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 INDEX X $100)                   
CFTC Code #20974+                                                    Open Interest is    52,931
Positions
     8,192     26,504        134     19,898      9,851      1,653     14,123      7,943        329      1,767      3,531          0      6,835      2,986
 
Changes from:       December 27, 2011                                Total Change is:     1,734
       129      1,599        -22       -422        299        157      1,642       -279       -658       -224        241          0      1,131        397
 
Percent of Open Interest Represented by Each Category of Trader
      15.5       50.1        0.3       37.6       18.6        3.1       26.7       15.0        0.6        3.3        6.7        0.0       12.9        5.6
 
Number of Traders in Each Category                                    Total Traders:       207
        21         26          .         26         21          9         49         39         11         12         13          0
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Traders in Financial Futures - Futures Only Positions as of January 3, 2012                 
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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NASDAQ-100 STOCK INDEX (MINI) - CHICAGO MERCANTILE EXCHANGE   (NASDAQ 100 STOCK INDEX X $20)        
CFTC Code #209742                                                    Open Interest is   264,654
Positions
    40,960    132,522        670     99,490     49,257      8,263     70,617     39,714      1,645      8,834     17,654          0     34,175     14,929
 
Changes from:       December 27, 2011                                Total Change is:     8,671
       647      7,996       -111     -2,112      1,495        786      8,212     -1,396     -3,290     -1,118      1,204          0      5,657      1,987
 
Percent of Open Interest Represented by Each Category of Trader
      15.5       50.1        0.3       37.6       18.6        3.1       26.7       15.0        0.6        3.3        6.7        0.0       12.9        5.6
 
Number of Traders in Each Category                                    Total Traders:       207
        21         26          .         26         21          9         49         39         11         12         13          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 3, 2012                 
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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RUSSELL 2000 MINI INDEX FUTURE - ICE FUTURES U.S.   (RUSSELL 2000 INDEX X $100.00)                  
CFTC Code #23977A                                                    Open Interest is   402,600
Positions
   192,866     21,834      9,387    110,184    213,100     27,663     41,036     94,895      1,630      3,766     19,432        113     15,955     14,546
 
Changes from:       December 27, 2011                                Total Change is:    -6,146
    -3,946     -2,383     -2,713     -5,579     -1,490        956      3,698     -2,544        445        494      1,918          0        499       -335
 
Percent of Open Interest Represented by Each Category of Trader
      47.9        5.4        2.3       27.4       52.9        6.9       10.2       23.6        0.4        0.9        4.8        0.0        4.0        3.6
 
Number of Traders in Each Category                                    Total Traders:       227
        22         10          .         45         44         26         33         54          8          .         16          .
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Traders in Financial Futures - Futures Only Positions as of January 3, 2012                 
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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NIKKEI STOCK AVERAGE - CHICAGO MERCANTILE EXCHANGE   (NIKKEI INDEX X $5.00)                         
CFTC Code #240741                                                    Open Interest is    23,554
Positions
     5,623        556          0      7,210      1,161         54      3,957      7,256          0        817      4,231          0      5,893     10,296
 
Changes from:       December 27, 2011                                Total Change is:       450
        -1        556          0        153        427         22        241       -681         -3          0          0          0         38        129
 
Percent of Open Interest Represented by Each Category of Trader
      23.9        2.4        0.0       30.6        4.9        0.2       16.8       30.8        0.0        3.5       18.0        0.0       25.0       43.7
 
Number of Traders in Each Category                                    Total Traders:        38
         6          .          0         10          .          .          7          6          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 3, 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    37,355
Positions
    15,180      5,788        573      5,726      3,239        725      6,107      3,971      1,552      1,677          0          0      5,815     21,507
 
Changes from:       December 27, 2011                                Total Change is:     1,599
     1,930     -1,161       -159       -271     -1,085          6       -175      1,057        -64         51          0          0        281      3,005
 
Percent of Open Interest Represented by Each Category of Trader
      40.6       15.5        1.5       15.3        8.7        1.9       16.3       10.6        4.2        4.5        0.0        0.0       15.6       57.6
 
Number of Traders in Each Category                                    Total Traders:        51
        14          8          .          5          .          .          8         10          .          .          0          0
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Traders in Financial Futures - Futures Only Positions as of January 3, 2012                 
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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MSCI EAFE MINI INDEX - NYSE LIFFE   (MSCI EAFE INDEX X $50)                                         
CFTC Code #244041                                                    Open Interest is    41,861
Positions
       610      3,726        123     29,881     22,717      4,087      3,251      9,200          3        205          0          0      3,701      2,005
 
Changes from:       December 27, 2011                                Total Change is:      -903
    -1,670       -196         84      1,409        362       -888       -217       -107          0          0          0          0        379       -158
 
Percent of Open Interest Represented by Each Category of Trader
       1.5        8.9        0.3       71.4       54.3        9.8        7.8       22.0        0.0        0.5        0.0        0.0        8.8        4.8
 
Number of Traders in Each Category                                    Total Traders:        50
         .          .          .         15         20         10          5          4          .          .          0          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 3, 2012                 
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
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MSCI EMERGING MKTS MINI INDEX - NYSE LIFFE   (MSCI EAFE INDEX X $50)                                
CFTC Code #244042                                                    Open Interest is    66,437
Positions
    14,860     23,474          0     31,672     23,219      2,257      7,617     12,934        489      3,230      1,341        766      5,546      1,957
 
Changes from:       December 27, 2011                                Total Change is:     2,617
       677      1,380         -9      1,254       -411       -222        169      3,179       -127      1,008     -1,430         16       -149        241
 
Percent of Open Interest Represented by Each Category of Trader
      22.4       35.3        0.0       47.7       34.9        3.4       11.5       19.5        0.7        4.9        2.0        1.2        8.3        2.9
 
Number of Traders in Each Category                                    Total Traders:        69
        10         11          0         15          8          6          8          6          .          8          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 3, 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   585,528
Positions
     7,860    116,089      2,732    282,127     89,916     92,421     48,195     91,603      4,469      9,549     67,226          0    138,175    121,072
 
Changes from:       December 27, 2011                                Total Change is:     3,626
    -4,950      1,991        829     -6,964     -1,971      1,392     10,546     -2,017      1,856     -2,012        403         -4      2,933      1,147
 
Percent of Open Interest Represented by Each Category of Trader
       1.3       19.8        0.5       48.2       15.4       15.8        8.2       15.6        0.8        1.6       11.5        0.0       23.6       20.7
 
Number of Traders in Each Category                                    Total Traders:       141
         .         19          5         44         18         33         19         24         10          .         11          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 3, 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   362,292
Positions
     5,572    149,507        360    262,475     19,302     33,577      1,872    117,610        311          0      1,501          0     58,125     40,124
 
Changes from:       December 27, 2011                                Total Change is:    -6,322
       697      1,948     -2,271         61     -1,149       -640        -40     -4,086     -1,473          0          0          0     -2,656      1,349
 
Percent of Open Interest Represented by Each Category of Trader
       1.5       41.3        0.1       72.4        5.3        9.3        0.5       32.5        0.1        0.0        0.4        0.0       16.0       11.1
 
Number of Traders in Each Category                                    Total Traders:        69
         .         11          .         37          6         21          .         11          .          0          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 3, 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   697,412
Positions
   109,098     73,677      3,438    137,439    197,837     65,854    219,297    211,024      9,449     40,997     33,567        587    111,253    101,979
 
Changes from:       December 27, 2011                                Total Change is:     5,708
    16,489      4,796     -1,593      4,735      3,224       -208    -18,025      8,195     -8,387      8,634       -251          0      4,063        -68
 
Percent of Open Interest Represented by Each Category of Trader
      15.6       10.6        0.5       19.7       28.4        9.4       31.4       30.3        1.4        5.9        4.8        0.1       16.0       14.6
 
Number of Traders in Each Category                                    Total Traders:       201
        14         23          7         30         44         40         31         36         16          9         14          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 3, 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 1,497,556
Positions
    62,851    130,086     18,459    652,757    597,846    166,405    255,996    160,004     36,789     26,593     93,566      4,800    272,906    289,601
 
Changes from:       December 27, 2011                                Total Change is:    21,678
    -4,718    -11,244      3,053    -23,675     29,703     -1,991     38,204    -24,181     10,513    -14,280      9,175      3,265     11,307      3,385
 
Percent of Open Interest Represented by Each Category of Trader
       4.2        8.7        1.2       43.6       39.9       11.1       17.1       10.7        2.5        1.8        6.2        0.3       18.2       19.3
 
Number of Traders in Each Category                                    Total Traders:       224
        17         27         11         31         53         42         36         40         19          5         15          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 3, 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 1,286,469
Positions
    44,369    234,293      5,312    355,890    438,896    163,225    275,648    138,930     14,355    204,562     70,103          0    223,108    221,355
 
Changes from:       December 27, 2011                                Total Change is:    62,780
   -14,359     39,502     -5,002     12,615     23,710        727     50,383     -5,210       -582     -7,003      6,760          0     26,001      2,875
 
Percent of Open Interest Represented by Each Category of Trader
       3.4       18.2        0.4       27.7       34.1       12.7       21.4       10.8        1.1       15.9        5.4        0.0       17.3       17.2
 
Number of Traders in Each Category                                    Total Traders:       166
         5         30          6         22         37         38         28         24          9          6         14          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 3, 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   513,191
Positions
   165,339    221,588    164,429      2,981      1,666      1,963     87,334     33,418     42,227      7,775      4,866      9,177     31,966     33,857
 
Changes from:       December 27, 2011                                Total Change is:   -62,462
   -36,463    -44,276     -5,376       -501     -2,001       -914    -16,549     -2,419     -3,303     -5,003     -1,942        294      5,353     -2,525
 
Percent of Open Interest Represented by Each Category of Trader
      32.2       43.2       32.0        0.6        0.3        0.4       17.0        6.5        8.2        1.5        0.9        1.8        6.2        6.6
 
Number of Traders in Each Category                                    Total Traders:        88
        20         26         36          .          .          .         17         12         17          .          4          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 3, 2012                 
-----------------------------------------------------------------------------------------------------------------------------------------------------------
              Dealer            :           Asset Manager/       :            Leveraged           :              Other             :     Nonreportable    :
           Intermediary         :           Institutional        :              Funds             :           Reportables          :       Positions      :
    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short  : Spreading:    Long  :   Short   :
-----------------------------------------------------------------------------------------------------------------------------------------------------------
3-MONTH EURODOLLARS - CHICAGO MERCANTILE EXCHANGE   (CONTRACTS OF $1,000,000)                       
CFTC Code #132741                                                    Open Interest is 7,589,974
Positions
 1,382,726  2,135,021  1,691,811  1,487,734     57,368    153,216    493,488    589,895  1,429,241     88,511    413,141    154,500    708,747    965,781
 
Changes from:       December 27, 2011                                Total Change is:   122,930
   172,352     20,633    -21,323    -95,691        173     24,527    -14,345     51,837     51,806       -917      1,068     -3,500     10,021     -2,291
 
Percent of Open Interest Represented by Each Category of Trader
      18.2       28.1       22.3       19.6        0.8        2.0        6.5        7.8       18.8        1.2        5.4        2.0        9.3       12.7
 
Number of Traders in Each Category                                    Total Traders:       231
        28         51         76         10          5         15         39         60         78          6         14         14
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 3, 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    10,575
Positions
     6,454      2,623          0      1,604        784         11      1,001      6,880         25      1,208        160          0        272         92
 
Changes from:       December 27, 2011                                Total Change is:        92
       -38       -541          0        101          1          0          5        634          0          0          0          0         24         -2
 
Percent of Open Interest Represented by Each Category of Trader
      61.0       24.8        0.0       15.2        7.4        0.1        9.5       65.1        0.2       11.4        1.5        0.0        2.6        0.9
 
Number of Traders in Each Category                                    Total Traders:        28
         .          .          0          .          4          .          4         10          .          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 3, 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    12,322
Positions
     9,300      6,588          0      1,239      1,978          0      1,272      3,262          0         70        305          0        441        189
 
Changes from:       December 27, 2011                                Total Change is:       383
       149        -17          0       -124        185          0        246        215          0         30          0          0         82          0
 
Percent of Open Interest Represented by Each Category of Trader
      75.5       53.5        0.0       10.1       16.1        0.0       10.3       26.5        0.0        0.6        2.5        0.0        3.6        1.5
 
Number of Traders in Each Category                                    Total Traders:        32
         4          5          0          .          4          0          6          7          0          .          .          0
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 3, 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    66,053
Positions
    21,469     32,539          0      6,387        335        307     22,580     30,695        578      5,924        280          1      8,807      1,318
 
Changes from:       December 27, 2011                                Total Change is:     1,407
      -948        934          0        221         50         11       -682        645         77        284         70          1      2,443       -381
 
Percent of Open Interest Represented by Each Category of Trader
      32.5       49.3        0.0        9.7        0.5        0.5       34.2       46.5        0.9        9.0        0.4        0.0       13.3        2.0
 
Number of Traders in Each Category                                    Total Traders:       106
         4          6          0          9          .          .         40         12          .         29          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 3, 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   128,268
Positions
    34,158     24,189     32,760      8,472      1,508        960      9,779     24,961     11,165      1,695      2,043     14,961     14,318     15,721
 
Changes from:       December 27, 2011                                Total Change is:       830
     1,756     -1,459     -2,144         44         89       -242        258      2,519       -793        289        592        -55      1,717      2,323
 
Percent of Open Interest Represented by Each Category of Trader
      26.6       18.9       25.5        6.6        1.2        0.7        7.6       19.5        8.7        1.3        1.6       11.7       11.2       12.3
 
Number of Traders in Each Category                                    Total Traders:        65
        10          8         15          9          .          4         12         11         14          5          4          5
-----------------------------------------------------------------------------------------------------------------------------------------------------------
Traders in Financial Futures - Futures Only Positions as of January 3, 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    15,631
Positions
    11,727        301          0      1,545      1,457         90      1,658      4,096        168          0      9,273        232        211         14
 
Changes from:       December 27, 2011                                Total Change is:      -431
       -66        301          0         82          1          0       -255      1,348          0          0     -1,892       -195          3          6
 
Percent of Open Interest Represented by Each Category of Trader
      75.0        1.9        0.0        9.9        9.3        0.6       10.6       26.2        1.1        0.0       59.3        1.5        1.3        0.1
 
Number of Traders in Each Category                                    Total Traders:        24
         .          .          0          .          4          .          .          7          .          0          .          .
-----------------------------------------------------------------------------------------------------------------------------------------------------------
```

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Updated January 6, 2012