BANK PARTICIPATION IN FUTURES MARKETS

(IN CONTRACTS)



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

01/08/13 CBT WHEAT                              U.S.                  25,126  5.3      3,015  0.6     472,278
                                                NON U.S.              10,860  2.3      8,214  1.7
                                                           ----    --------- ----  --------- ----
                                                             12       35,986  7.6     11,229  2.4

01/08/13 KCBT WHEAT                             U.S.                   4,640  2.9          0  0.0     162,698
                                                NON U.S.               2,128  1.3      2,439  1.5
                                                           ----    --------- ----  --------- ----
                                                              6        6,768  4.2      2,439  1.5

01/08/13 CBT CORN                               U.S.                  43,895  3.8     15,944  1.4   1,148,434
                                                NON U.S.              15,312  1.3      1,230  0.1
                                                           ----    --------- ----  --------- ----
                                                              9       59,207  5.2     17,174  1.5

01/08/13 CBT SOYBEANS                           U.S.                   6,078  1.1     23,558  4.4     539,444
                                                NON U.S.               6,228  1.2      5,151  1.0
                                                           ----    --------- ----  --------- ----
                                                             10       12,306  2.3     28,709  5.3

01/08/13 CBT SOYBEAN OIL                        U.S.                  13,547  4.5      2,171  0.7     303,230
                                                NON U.S.               4,896  1.6        540  0.2
                                                           ----    --------- ----  --------- ----
                                                              5       18,443  6.1      2,711  0.9

01/08/13 NYME GULF COAST ULSD SWAP              U.S.                     911  4.8      1,658  8.6      19,168
                                                NON U.S.                 360  1.9        170  0.9
                                                           ----    --------- ----  --------- ----
                                                              5        1,271  6.6      1,828  9.5

01/08/13 NYME UP DOWN GC ULSD VS HO SPR SWAP    U.S.                   1,296  3.4        115  0.3      38,172
                                                NON U.S.                 517  1.4          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              5        1,813  4.7        115  0.3

01/08/13 IFED NATURAL GAS ICE HENRY HUB         U.S.                  98,246  2.0    509,536 10.6   4,804,738
                                                NON U.S.              32,799  0.7    463,879  9.7
                                                           ----    --------- ----  --------- ----
                                                             11      131,045  2.7    973,415 20.3

01/08/13 IFED NATURAL GAS PENULTIMATE ICE       U.S.                 153,177 16.9     54,974  6.1     905,515
                                                NON U.S.              14,718  1.6     10,369  1.1
                                                           ----    --------- ----  --------- ----
                                                              8      167,895 18.5     65,343  7.2

01/08/13 IFED SOCAL BORDER FIN BASIS            U.S.                   4,591  1.9      4,312  1.8     245,258
                                                NON U.S.               1,849  0.8        760  0.3
                                                           ----    --------- ----  --------- ----
                                                              5        6,440  2.6      5,072  2.1

01/08/13 IFED NWP ROCKIES FIN BASIS             U.S.                     560  0.3      8,547  3.9     218,168
                                                NON U.S.               5,072  2.3     21,415  9.8
                                                           ----    --------- ----  --------- ----
                                                              7        5,632  2.6     29,962 13.7

01/08/13 IFED AECO FIN BASIS                    U.S.                   2,500  0.4        247  0.0     678,684
                                                NON U.S.              45,757  6.7    252,270 37.2
                                                           ----    --------- ----  --------- ----
                                                              8       48,257  7.1    252,517 37.2

01/08/13 IFED HSC FIN BASIS                     U.S.                       0  0.0     11,698  5.6     209,708
                                                NON U.S.                   0  0.0     14,042  6.7
                                                           ----    --------- ----  --------- ----
                                                              5            0  0.0     25,740 12.3

01/08/13 IFED PANHANDLE EASTERN PIPE LINE CO. - POOL GAS (BASIS SWAP)
                                                U.S.                      62  0.0     26,737 11.2     238,550
                                                NON U.S.                 519  0.2     12,666  5.3
                                                           ----    --------- ----  --------- ----
                                                              6          581  0.2     39,403 16.5

01/08/13 NYME NATURAL GAS                       U.S.                  32,548  2.8     17,493  1.5   1,175,043
                                                NON U.S.              14,256  1.2        140  0.0
                                                           ----    --------- ----  --------- ----
                                                              9       46,804  4.0     17,633  1.5

01/08/13 CBT SOYBEAN MEAL                       U.S.                   7,179  3.1      5,048  2.2     231,380
                                                NON U.S.              11,082  4.8      1,083  0.5
                                                           ----    --------- ----  --------- ----
                                                              7       18,261  7.9      6,131  2.6

01/08/13 ICUS COTTON NO. 2                      U.S.                  11,149  6.5          0  0.0     170,768
                                                NON U.S.               5,722  3.4      1,653  1.0
                                                           ----    --------- ----  --------- ----
                                                             10       16,871  9.9      1,653  1.0

01/08/13 NYME HENRY HUB SWAP                    U.S.                  74,618  3.2    245,142 10.6   2,311,690
                                                NON U.S.              19,764  0.9    182,645  7.9
                                                           ----    --------- ----  --------- ----
                                                              9       94,382  4.1    427,787 18.5

01/08/13 NYME HENRY HUB PENULTIMATE GAS SWAP    U.S.                  63,224  7.2     30,790  3.5     874,372
                                                NON U.S.              50,619  5.8      5,528  0.6
                                                           ----    --------- ----  --------- ----
                                                              9      113,843 13.0     36,318  4.2

01/08/13 CBT 2-YEAR U.S. TREASURY NOTES         U.S.          8       41,443  4.3     24,688  2.6     962,831
                                                NON U.S.     13       29,195  3.0     28,080  2.9
                                                           ----    --------- ----  --------- ----
                                                             21       70,638  7.3     52,768  5.5

01/08/13 CBT 10-YEAR U.S. TREASURY NOTES        U.S.          7       22,270  1.3     29,503  1.7   1,715,600
                                                NON U.S.     19       39,122  2.3     56,522  3.3
                                                           ----    --------- ----  --------- ----
                                                             26       61,392  3.6     86,025  5.0

01/08/13 CBT 5-YEAR U.S. TREASURY NOTES         U.S.          5       77,154  5.1      9,508  0.6   1,511,744
                                                NON U.S.     10       97,028  6.4     60,193  4.0
                                                           ----    --------- ----  --------- ----
                                                             15      174,182 11.5     69,701  4.6

01/08/13 CBT 30-DAY FEDERAL FUNDS               U.S.          7       38,422 10.7     32,121  9.0     357,487
                                                NON U.S.     12       26,693  7.5     29,076  8.1
                                                           ----    --------- ----  --------- ----
                                                             19       65,115 18.2     61,197 17.1

01/08/13 CME LEAN HOGS                          U.S.                   7,930  3.1         27  0.0     253,641
                                                NON U.S.               4,530  1.8        146  0.1
                                                           ----    --------- ----  --------- ----
                                                              6       12,460  4.9        173  0.1

01/08/13 CME LIVE CATTLE                        U.S.                   9,476  2.8        367  0.1     341,587
                                                NON U.S.               5,253  1.5        101  0.0
                                                           ----    --------- ----  --------- ----
                                                              6       14,729  4.3        468  0.1

01/08/13 NYME CRUDE OIL, LIGHT SWEET            U.S.                  49,094  3.3    130,516  8.8   1,477,695
                                                NON U.S.              28,347  1.9    170,421 11.5
                                                           ----    --------- ----  --------- ----
                                                             19       77,441  5.2    300,937 20.4

01/08/13 NYME WTI CRUDE OIL CALENDAR SWAP       U.S.                  11,721  7.0     33,086 19.8     166,769
                                                NON U.S.              13,370  8.0     25,017 15.0
                                                           ----    --------- ----  --------- ----
                                                             12       25,091 15.0     58,103 34.8

01/08/13 NYME DATED BRENT CALENDAR SWAP         U.S.                   1,365 29.6        652 14.1       4,619
                                                NON U.S.                 216  4.7        697 15.1
                                                           ----    --------- ----  --------- ----
                                                              5        1,581 34.2      1,349 29.2

01/08/13 NYME WTI-BRENT CALENDAR SWAP           U.S.                   2,310  4.7      2,526  5.2      48,641
                                                NON U.S.               1,410  2.9      4,032  8.3
                                                           ----    --------- ----  --------- ----
                                                              6        3,720  7.6      6,558 13.5

01/08/13 NYME DATED TO FRONTLINE BRENT SWAP     U.S.                     480  6.9      1,260 18.1       6,964
                                                NON U.S.                 464  6.7      2,160 31.0
                                                           ----    --------- ----  --------- ----
                                                              6          944 13.6      3,420 49.1

01/08/13 NYME BRENT (ICE) CALENDAR SWAP         U.S.                   2,175  4.9      4,578 10.3      44,246
                                                NON U.S.               8,526 19.3      3,225  7.3
                                                           ----    --------- ----  --------- ----
                                                             11       10,701 24.2      7,803 17.6

01/08/13 NYME BRENT CRUDE OIL LAST DAY          U.S.                   1,769  6.0        550  1.9      29,432
                                                NON U.S.                 150  0.5        254  0.9
                                                           ----    --------- ----  --------- ----
                                                              5        1,919  6.5        804  2.7

01/08/13 ICUS COCOA                             U.S.                   2,727  1.4         90  0.0     193,555
                                                NON U.S.               2,037  1.1     11,075  5.7
                                                           ----    --------- ----  --------- ----
                                                              6        4,764  2.5     11,165  5.8

01/08/13 NYME PALLADIUM                         U.S.                       1  0.0      7,255 26.4      27,462
                                                NON U.S.               1,004  3.7      3,196 11.6
                                                           ----    --------- ----  --------- ----
                                                             15        1,005  3.7     10,451 38.1

01/08/13 NYME PLATINUM                          U.S.                     178  0.3     18,181 29.2      62,313
                                                NON U.S.               1,861  3.0      5,859  9.4
                                                           ----    --------- ----  --------- ----
                                                             17        2,039  3.3     24,040 38.6

01/08/13 ICUS SUGAR NO. 11                      U.S.                  30,673  4.0      2,399  0.3     765,768
                                                NON U.S.              14,173  1.9     11,778  1.5
                                                           ----    --------- ----  --------- ----
                                                             11       44,846  5.9     14,177  1.9

01/08/13 ICUS COFFEE C                          U.S.                   5,379  3.6          1  0.0     147,907
                                                NON U.S.               2,825  1.9      1,502  1.0
                                                           ----    --------- ----  --------- ----
                                                             13        8,204  5.5      1,503  1.0

01/08/13 CMX SILVER                             U.S.                   1,667  1.2     33,903 24.6     137,542
                                                NON U.S.              14,118 10.3     29,031 21.1
                                                           ----    --------- ----  --------- ----
                                                             17       15,785 11.5     62,934 45.8

01/08/13 CMX COPPER-GRADE #1                    U.S.                  14,405  9.2      2,219  1.4     156,245
                                                NON U.S.               1,379  0.9      1,315  0.8
                                                           ----    --------- ----  --------- ----
                                                             10       15,784 10.1      3,534  2.3

01/08/13 CMX GOLD                               U.S.          4       35,210  8.0    117,414 26.6     441,304
                                                NON U.S.     19       32,191  7.3     78,038 17.7
                                                           ----    --------- ----  --------- ----
                                                             23       67,401 15.3    195,452 44.3

01/08/13 CME RUSSIAN RUBLE                      U.S.                   7,539 10.0      4,087  5.4      75,549
                                                NON U.S.              37,520 49.7     39,938 52.9
                                                           ----    --------- ----  --------- ----
                                                             10       45,059 59.6     44,025 58.3

01/08/13 CME CANADIAN DOLLAR                    U.S.                   3,857  2.8      1,056  0.8     137,314
                                                NON U.S.                 716  0.5      3,507  2.6
                                                           ----    --------- ----  --------- ----
                                                              6        4,573  3.3      4,563  3.3

01/08/13 CME SWISS FRANC                        U.S.                       0  0.0      3,694  7.9      46,716
                                                NON U.S.                   0  0.0      9,090 19.5
                                                           ----    --------- ----  --------- ----
                                                              5            0  0.0     12,784 27.4

01/08/13 CME MEXICAN PESO                       U.S.                     100  0.1     13,495  7.3     185,211
                                                NON U.S.              13,628  7.4        644  0.3
                                                           ----    --------- ----  --------- ----
                                                              7       13,728  7.4     14,139  7.6

01/08/13 CME BRITISH POUND STERLING             U.S.          4        3,865  2.3     34,728 21.0     165,584
                                                NON U.S.      4            0  0.0      3,407  2.1
                                                           ----    --------- ----  --------- ----
                                                              8        3,865  2.3     38,135 23.0

01/08/13 CME JAPANESE YEN                       U.S.                  14,944  7.7      3,186  1.6     193,295
                                                NON U.S.              10,790  5.6      3,111  1.6
                                                           ----    --------- ----  --------- ----
                                                              9       25,734 13.3      6,297  3.3

01/08/13 CME EURO FX                            U.S.                   3,870  2.0      1,277  0.7     194,251
                                                NON U.S.               6,933  3.6      2,709  1.4
                                                           ----    --------- ----  --------- ----
                                                             17       10,803  5.6      3,986  2.1

01/08/13 CME BRAZILIAN REAL                     U.S.                  12,333 32.1         38  0.1      38,461
                                                NON U.S.                 125  0.3     32,552 84.6
                                                           ----    --------- ----  --------- ----
                                                              6       12,458 32.4     32,590 84.7

01/08/13 NYME GASOLINE BLENDSTOCK (RBOB)        U.S.                   7,878  2.6      3,487  1.2     298,760
                                                NON U.S.               2,711  0.9        845  0.3
                                                           ----    --------- ----  --------- ----
                                                              8       10,589  3.5      4,332  1.4

01/08/13 NYME RBOB CALENDAR SWAP                U.S.                     138  1.7        413  5.1       8,141
                                                NON U.S.                 192  2.4         40  0.5
                                                           ----    --------- ----  --------- ----
                                                              5          330  4.1        453  5.6

01/08/13 E VIX FUTURES                          U.S.                   4,566  1.1      3,033  0.7     410,526
                                                NON U.S.               3,092  0.8      1,767  0.4
                                                           ----    --------- ----  --------- ----
                                                              6        7,658  1.9      4,800  1.2

01/08/13 CBT DOW JONES INDUSTRIAL AVG- x $5     U.S.                   2,983  3.2          0  0.0      93,364
                                                NON U.S.               1,223  1.3      1,943  2.1
                                                           ----    --------- ----  --------- ----
                                                              8        4,206  4.5      1,943  2.1

01/08/13 CME 3-MONTH EURODOLLARS                U.S.         10      717,564  8.9    691,168  8.6   8,061,794
                                                NON U.S.     28      290,834  3.6    717,289  8.9
                                                           ----    --------- ----  --------- ----
                                                             38    1,008,398 12.5  1,408,457 17.5

01/08/13 CME E-MINI S&P 500 STOCK INDEX         U.S.          6       41,487  1.5      2,452  0.1   2,799,680
                                                NON U.S.     22       45,266  1.6     23,625  0.8
                                                           ----    --------- ----  --------- ----
                                                             28       86,753  3.1     26,077  0.9

01/08/13 CME NASDAQ-100 STOCK INDEX (MINI)      U.S.                   1,151  0.4          0  0.0     300,637
                                                NON U.S.               3,084  1.0      5,207  1.7
                                                           ----    --------- ----  --------- ----
                                                             11        4,235  1.4      5,207  1.7

01/08/13 CME AUSTRALIAN DOLLAR                  U.S.                   6,366  3.5      4,280  2.3     184,083
                                                NON U.S.               2,152  1.2     14,406  7.8
                                                           ----    --------- ----  --------- ----
                                                              7        8,518  4.6     18,686 10.2

01/08/13 ICUS RUSSELL 2000 MINI INDEX FUTURE    U.S.          5        1,385  0.4      3,465  1.0     351,712
                                                NON U.S.      4        2,279  0.6        349  0.1
                                                           ----    --------- ----  --------- ----
                                                              9        3,664  1.0      3,814  1.1

01/08/13 CME NIKKEI STOCK AVERAGE YEN DENOM     U.S.                     490  0.8          0  0.0      61,397
                                                NON U.S.               1,355  2.2      1,444  2.4
                                                           ----    --------- ----  --------- ----
                                                              6        1,845  3.0      1,444  2.4

01/08/13 NYL MSCI EMERGING MKTS MINI INDEX      U.S.                     611  0.4          0  0.0     155,860
                                                NON U.S.               6,053  3.9      3,627  2.3
                                                           ----    --------- ----  --------- ----
                                                             15        6,664  4.3      3,627  2.3

01/08/13 NYME 3.5% FUEL OIL RDAM CRACK SPR      U.S.                   1,451  2.6        380  0.7      55,590
                                                NON U.S.               4,331  7.8      1,922  3.5
                                                           ----    --------- ----  --------- ----
                                                              7        5,782 10.4      2,302  4.1

01/08/13 NYME HEAT OIL CRACK SPRD CAL SWAP      U.S.                      90  1.1         90  1.1       7,980
                                                NON U.S.               1,546 19.4          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              5        1,636 20.5         90  1.1

01/08/13 NYME GASOIL CRACK SPR SWAP             U.S.                     468  3.0          0  0.0      15,409
                                                NON U.S.                 364  2.4        120  0.8
                                                           ----    --------- ----  --------- ----
                                                              5          832  5.4        120  0.8