BANK PARTICIPATION IN FUTURES MARKETS

(IN CONTRACTS)


                                                BANK       BANK       LONG            SHORT           OPEN
  DATE        COMMODITY                         TYPE       COUNT     FUTURES   %     FUTURES   %     INTEREST

04/02/13 CBT WHEAT                              U.S.                  22,921  5.2      3,938  0.9     438,095
                                                NON U.S.              12,662  2.9      6,675  1.5
                                                           ----    --------- ----  --------- ----
                                                             13       35,583  8.1     10,613  2.4

04/02/13 KCBT WHEAT                             U.S.                   7,018  4.4          0  0.0     158,589
                                                NON U.S.               2,504  1.6        666  0.4
                                                           ----    --------- ----  --------- ----
                                                              5        9,522  6.0        666  0.4

04/02/13 CBT CORN                               U.S.                  46,031  3.5      8,910  0.7   1,315,116
                                                NON U.S.              16,970  1.3      3,966  0.3
                                                           ----    --------- ----  --------- ----
                                                             12       63,001  4.8     12,876  1.0

04/02/13 CBT SOYBEANS                           U.S.                  14,321  2.5     13,350  2.4     564,800
                                                NON U.S.               8,334  1.5      9,649  1.7
                                                           ----    --------- ----  --------- ----
                                                             10       22,655  4.0     22,999  4.1

04/02/13 CBT SOYBEAN OIL                        U.S.                  14,320  4.2      1,376  0.4     341,020
                                                NON U.S.               2,776  0.8        371  0.1
                                                           ----    --------- ----  --------- ----
                                                              5       17,096  5.0      1,747  0.5

04/02/13 CBT U.S. TREASURY BONDS                U.S.          4        1,089  0.2      7,603  1.2     630,799
                                                NON U.S.      4        1,136  0.2      8,865  1.4
                                                           ----    --------- ----  --------- ----
                                                              8        2,225  0.4     16,468  2.6

04/02/13 NYME NO. 2 HEATING OIL, N.Y. HARBOR    U.S.                  15,085  5.1      1,665  0.6     293,944
                                                NON U.S.               2,585  0.9          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              5       17,670  6.0      1,665  0.6

04/02/13 NYME GULF COAST ULSD SWAP              U.S.                     933  5.2      1,327  7.5      17,783
                                                NON U.S.                 345  1.9         85  0.5
                                                           ----    --------- ----  --------- ----
                                                              5        1,278  7.2      1,412  7.9

04/02/13 NYME UP DOWN GC ULSD VS HO SPR SWAP    U.S.                   2,456  5.3        298  0.6      46,764
                                                NON U.S.                 130  0.3         14  0.0
                                                           ----    --------- ----  --------- ----
                                                              5        2,586  5.5        312  0.7

04/02/13 IFED NATURAL GAS ICE HENRY HUB         U.S.                  62,465  1.1    584,578 10.0   5,873,370
                                                NON U.S.              40,618  0.7    569,641  9.7
                                                           ----    --------- ----  --------- ----
                                                             11      103,083  1.8  1,154,219 19.7

04/02/13 IFED NATURAL GAS PENULTIMATE ICE       U.S.                 158,135 17.1     42,046  4.6     922,943
                                                NON U.S.              31,037  3.4     10,429  1.1
                                                           ----    --------- ----  --------- ----
                                                              8      189,172 20.5     52,475  5.7

04/02/13 IFED SOCAL BORDER FIN BASIS            U.S.                   4,855  1.5      3,957  1.2     317,889
                                                NON U.S.               1,561  0.5        457  0.1
                                                           ----    --------- ----  --------- ----
                                                              5        6,416  2.0      4,414  1.4

04/02/13 IFED NWP ROCKIES FIN BASIS             U.S.                      61  0.0      8,313  3.4     246,997
                                                NON U.S.               3,841  1.6     22,379  9.1
                                                           ----    --------- ----  --------- ----
                                                              7        3,902  1.6     30,692 12.4

04/02/13 IFED AECO FIN BASIS                    U.S.                   2,067  0.3        222  0.0     750,145
                                                NON U.S.              43,015  5.7    302,697 40.4
                                                           ----    --------- ----  --------- ----
                                                              8       45,082  6.0    302,919 40.4

04/02/13 IFED HSC FIN BASIS                     U.S.                       0  0.0     14,674  6.6     221,303
                                                NON U.S.                   0  0.0     12,481  5.6
                                                           ----    --------- ----  --------- ----
                                                              5            0  0.0     27,155 12.3

04/02/13 IFED COLUMBIA GAS CO. - TCO POOL (APPALACHIA) (BASIS SWAP)
                                                U.S.                     790  0.5     14,490  9.2     158,173
                                                NON U.S.                   0  0.0      3,614  2.3
                                                           ----    --------- ----  --------- ----
                                                              5          790  0.5     18,104 11.4

04/02/13 IFED PANHANDLE EASTERN PIPE LINE CO. - POOL GAS (BASIS SWAP)
                                                U.S.                       0  0.0     24,975  8.8     283,136
                                                NON U.S.                 519  0.2     10,019  3.5
                                                           ----    --------- ----  --------- ----
                                                              5          519  0.2     34,994 12.4

04/02/13 NYME NATURAL GAS                       U.S.                  30,807  2.1     21,178  1.5   1,459,808
                                                NON U.S.              16,180  1.1      2,878  0.2
                                                           ----    --------- ----  --------- ----
                                                             12       46,987  3.2     24,056  1.6

04/02/13 CBT SOYBEAN MEAL                       U.S.                   8,125  3.1      1,811  0.7     263,647
                                                NON U.S.              10,814  4.1      1,259  0.5
                                                           ----    --------- ----  --------- ----
                                                              8       18,939  7.2      3,070  1.2

04/02/13 ICUS COTTON NO. 2                      U.S.                   9,848  4.7      1,361  0.6     210,835
                                                NON U.S.               5,112  2.4      2,734  1.3
                                                           ----    --------- ----  --------- ----
                                                             11       14,960  7.1      4,095  1.9

04/02/13 NYME HENRY HUB SWAP                    U.S.                  70,914  2.6    263,036  9.7   2,714,391
                                                NON U.S.              18,151  0.7    233,662  8.6
                                                           ----    --------- ----  --------- ----
                                                              9       89,065  3.3    496,698 18.3

04/02/13 NYME HENRY HUB PENULTIMATE GAS SWAP    U.S.                  66,441  6.6     31,904  3.2   1,008,626
                                                NON U.S.              62,178  6.2      4,992  0.5
                                                           ----    --------- ----  --------- ----
                                                              9      128,619 12.8     36,896  3.7

04/02/13 CBT 2-YEAR U.S. TREASURY NOTES         U.S.          7        9,646  1.1     40,257  4.4     911,422
                                                NON U.S.      7        3,161  0.3     21,636  2.4
                                                           ----    --------- ----  --------- ----
                                                             14       12,807  1.4     61,893  6.8

04/02/13 CBT 10-YEAR U.S. TREASURY NOTES        U.S.          8       30,344  1.4     93,500  4.2   2,213,520
                                                NON U.S.     21       35,765  1.6     38,329  1.7
                                                           ----    --------- ----  --------- ----
                                                             29       66,109  3.0    131,829  6.0

04/02/13 CBT 5-YEAR U.S. TREASURY NOTES         U.S.          5       70,029  3.9      9,517  0.5   1,817,572
                                                NON U.S.     10       83,955  4.6     39,182  2.2
                                                           ----    --------- ----  --------- ----
                                                             15      153,984  8.5     48,699  2.7

04/02/13 CBT 30-DAY FEDERAL FUNDS               U.S.          7       25,244  7.6     39,865 12.1     330,504
                                                NON U.S.      9       17,156  5.2     26,003  7.9
                                                           ----    --------- ----  --------- ----
                                                             16       42,400 12.8     65,868 19.9

04/02/13 CME LEAN HOGS                          U.S.                   8,063  3.5          1  0.0     233,290
                                                NON U.S.               4,348  1.9        243  0.1
                                                           ----    --------- ----  --------- ----
                                                              6       12,411  5.3        244  0.1

04/02/13 CME LIVE CATTLE                        U.S.                   9,856  3.0        215  0.1     329,781
                                                NON U.S.               5,161  1.6        304  0.1
                                                           ----    --------- ----  --------- ----
                                                              6       15,017  4.6        519  0.2

04/02/13 CME FEEDER CATTLE                      U.S.                     616  1.6        293  0.8      38,782
                                                NON U.S.                 374  1.0        133  0.3
                                                           ----    --------- ----  --------- ----
                                                              5          990  2.6        426  1.1

04/02/13 NYME CRUDE OIL, LIGHT SWEET            U.S.                  44,646  2.6    132,830  7.7   1,731,930
                                                NON U.S.              19,389  1.1    198,987 11.5
                                                           ----    --------- ----  --------- ----
                                                             18       64,035  3.7    331,817 19.2

04/02/13 NYME WTI CRUDE OIL CALENDAR SWAP       U.S.                   9,953  5.9     33,767 20.1     167,827
                                                NON U.S.              16,241  9.7     29,834 17.8
                                                           ----    --------- ----  --------- ----
                                                             14       26,194 15.6     63,601 37.9

04/02/13 NYME DATED BRENT CALENDAR SWAP         U.S.                   1,738 51.5         36  1.1       3,378
                                                NON U.S.                 231  6.8        315  9.3
                                                           ----    --------- ----  --------- ----
                                                              5        1,969 58.3        351 10.4

04/02/13 NYME WTI-BRENT CALENDAR SWAP           U.S.                   1,770  2.9      2,703  4.4      61,350
                                                NON U.S.               1,437  2.3      3,812  6.2
                                                           ----    --------- ----  --------- ----
                                                              7        3,207  5.2      6,515 10.6

04/02/13 NYME DATED TO FRONTLINE BRENT SWAP     U.S.                     480  5.7      1,095 13.0       8,436
                                                NON U.S.               1,031 12.2        960 11.4
                                                           ----    --------- ----  --------- ----
                                                              6        1,511 17.9      2,055 24.4

04/02/13 NYME BRENT (ICE) CALENDAR SWAP         U.S.                   1,917  4.2      5,783 12.7      45,366
                                                NON U.S.               7,273 16.0      3,213  7.1
                                                           ----    --------- ----  --------- ----
                                                             12        9,190 20.3      8,996 19.8

04/02/13 NYME BRENT CRUDE OIL LAST DAY          U.S.                   2,873  5.7        530  1.0      50,675
                                                NON U.S.                 150  0.3        316  0.6
                                                           ----    --------- ----  --------- ----
                                                              6        3,023  6.0        846  1.7

04/02/13 ICUS COCOA                             U.S.                   2,566  1.3        893  0.4     201,608
                                                NON U.S.               1,689  0.8     12,937  6.4
                                                           ----    --------- ----  --------- ----
                                                              7        4,255  2.1     13,830  6.9

04/02/13 NYME PALLADIUM                         U.S.                     100  0.2     12,235 30.6      40,010
                                                NON U.S.               1,281  3.2      5,833 14.6
                                                           ----    --------- ----  --------- ----
                                                             17        1,381  3.5     18,068 45.2

04/02/13 NYME PLATINUM                          U.S.          4          119  0.2     19,106 29.9      63,829
                                                NON U.S.     14        3,143  4.9      7,614 11.9
                                                           ----    --------- ----  --------- ----
                                                             18        3,262  5.1     26,720 41.9

04/02/13 ICUS SUGAR NO. 11                      U.S.                  38,728  4.5      2,057  0.2     857,592
                                                NON U.S.              17,672  2.1      5,434  0.6
                                                           ----    --------- ----  --------- ----
                                                              9       56,400  6.6      7,491  0.9

04/02/13 ICUS COFFEE C                          U.S.                   7,081  4.0         39  0.0     175,853
                                                NON U.S.               2,717  1.5      1,240  0.7
                                                           ----    --------- ----  --------- ----
                                                             12        9,798  5.6      1,279  0.7

04/02/13 CMX SILVER                             U.S.                   5,236  3.4     29,322 18.8     155,755
                                                NON U.S.              13,573  8.7     22,987 14.8
                                                           ----    --------- ----  --------- ----
                                                             17       18,809 12.1     52,309 33.6

04/02/13 CMX COPPER-GRADE #1                    U.S.                  16,894  9.4      2,316  1.3     179,944
                                                NON U.S.               3,082  1.7      2,077  1.2
                                                           ----    --------- ----  --------- ----
                                                             14       19,976 11.1      4,393  2.4

04/02/13 CMX GOLD                               U.S.          4       38,176  9.2     79,842 19.1     417,176
                                                NON U.S.     21       29,216  7.0     73,669 17.7
                                                           ----    --------- ----  --------- ----
                                                             25       67,392 16.2    153,511 36.8

04/02/13 CME RUSSIAN RUBLE                      U.S.                   6,516 11.3      4,401  7.7      57,444
                                                NON U.S.              24,656 42.9     27,037 47.1
                                                           ----    --------- ----  --------- ----
                                                             10       31,172 54.3     31,438 54.7

04/02/13 CME MEXICAN PESO                       U.S.                       0  0.0        289  0.2     182,880
                                                NON U.S.               1,809  1.0     18,515 10.1
                                                           ----    --------- ----  --------- ----
                                                              6        1,809  1.0     18,804 10.3

04/02/13 CME BRITISH POUND STERLING             U.S.                  32,191 15.4          0  0.0     208,425
                                                NON U.S.               9,270  4.4      1,104  0.5
                                                           ----    --------- ----  --------- ----
                                                              7       41,461 19.9      1,104  0.5

04/02/13 CME JAPANESE YEN                       U.S.          6       13,625  6.4     16,010  7.5     213,997
                                                NON U.S.      7       27,193 12.7      2,977  1.4
                                                           ----    --------- ----  --------- ----
                                                             13       40,818 19.1     18,987  8.9

04/02/13 CME EURO FX                            U.S.          4       15,019  6.4      2,951  1.3     235,871
                                                NON U.S.     16        9,933  4.2      3,097  1.3
                                                           ----    --------- ----  --------- ----
                                                             20       24,952 10.6      6,048  2.6

04/02/13 CME BRAZILIAN REAL                     U.S.                  14,859 40.4          0  0.0      36,811
                                                NON U.S.               1,110  3.0     27,851 75.7
                                                           ----    --------- ----  --------- ----
                                                              7       15,969 43.4     27,851 75.7

04/02/13 NYME GASOLINE BLENDSTOCK (RBOB)        U.S.                   7,326  2.4      1,580  0.5     311,184
                                                NON U.S.               2,832  0.9        585  0.2
                                                           ----    --------- ----  --------- ----
                                                              8       10,158  3.3      2,165  0.7

04/02/13 NYME RBOB CALENDAR SWAP                U.S.                     105  1.1        434  4.5       9,696
                                                NON U.S.                  25  0.3        362  3.7
                                                           ----    --------- ----  --------- ----
                                                              5          130  1.3        796  8.2

04/02/13 E VIX FUTURES                          U.S.                       0  0.0      8,992  2.1     419,124
                                                NON U.S.               3,310  0.8      2,342  0.6
                                                           ----    --------- ----  --------- ----
                                                              5        3,310  0.8     11,334  2.7

04/02/13 CBT DOW JONES INDUSTRIAL AVG- x $5     U.S.                   7,153  6.3          0  0.0     113,406
                                                NON U.S.                 728  0.6      1,745  1.5
                                                           ----    --------- ----  --------- ----
                                                              8        7,881  6.9      1,745  1.5

04/02/13 CME 3-MONTH EURODOLLARS                U.S.          9      838,953  9.2    585,399  6.4   9,113,448
                                                NON U.S.     25      288,013  3.2    924,626 10.1
                                                           ----    --------- ----  --------- ----
                                                             34    1,126,966 12.4  1,510,025 16.6

04/02/13 CME E-MINI S&P 500 STOCK INDEX         U.S.          5       37,294  1.2     16,092  0.5   3,010,683
                                                NON U.S.     23       24,302  0.8     40,249  1.3
                                                           ----    --------- ----  --------- ----
                                                             28       61,596  2.0     56,341  1.9

04/02/13 CME NASDAQ-100 STOCK INDEX (MINI)      U.S.                   1,127  0.3      3,705  1.0     377,618
                                                NON U.S.               1,390  0.4        793  0.2
                                                           ----    --------- ----  --------- ----
                                                             11        2,517  0.7      4,498  1.2

04/02/13 CME AUSTRALIAN DOLLAR                  U.S.                   6,006  3.0      2,199  1.1     197,264
                                                NON U.S.                   2  0.0        114  0.1
                                                           ----    --------- ----  --------- ----
                                                              5        6,008  3.0      2,313  1.2

04/02/13 ICUS RUSSELL 2000 MINI INDEX FUTURE    U.S.          4        2,898  0.8      3,540  0.9     381,081
                                                NON U.S.      4        4,406  1.2          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              8        7,304  1.9      3,540  0.9

04/02/13 CME NIKKEI STOCK AVERAGE YEN DENOM     U.S.                     384  0.5        492  0.6      77,502
                                                NON U.S.               1,551  2.0      6,512  8.4
                                                           ----    --------- ----  --------- ----
                                                              8        1,935  2.5      7,004  9.0

04/02/13 NYL MSCI EMERGING MKTS MINI INDEX      U.S.                     339  0.2          0  0.0     197,161
                                                NON U.S.               5,494  2.8      4,642  2.4
                                                           ----    --------- ----  --------- ----
                                                             12        5,833  3.0      4,642  2.4

04/02/13 CME E-MINI S&P 400 STOCK INDEX         U.S.                     640  0.5        768  0.6     119,888
                                                NON U.S.                   0  0.0      1,412  1.2
                                                           ----    --------- ----  --------- ----
                                                              5          640  0.5      2,180  1.8

04/02/13 NYME 3.5% FUEL OIL RDAM CRACK SPR      U.S.                   1,730  4.4        786  2.0      39,303
                                                NON U.S.               5,351 13.6        570  1.5
                                                           ----    --------- ----  --------- ----
                                                              7        7,081 18.0      1,356  3.5

04/02/13 NYME EUROBOB OXY NWE CRK SPR           U.S.                   2,104  6.8      1,491  4.8      30,927
                                                NON U.S.                 302  1.0        791  2.6
                                                           ----    --------- ----  --------- ----
                                                              5        2,406  7.8      2,282  7.4