BANK PARTICIPATION IN FUTURES MARKETS

(IN CONTRACTS)



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

03/05/13 CBT WHEAT                              U.S.                  21,922  4.8      2,627  0.6     460,888
                                                NON U.S.              11,555  2.5      7,502  1.6
                                                           ----    --------- ----  --------- ----
                                                             13       33,477  7.3     10,129  2.2

03/05/13 KCBT WHEAT                             U.S.                   6,947  4.2          0  0.0     164,037
                                                NON U.S.               1,713  1.0      3,773  2.3
                                                           ----    --------- ----  --------- ----
                                                              6        8,660  5.3      3,773  2.3

03/05/13 CBT CORN                               U.S.                  40,612  3.4      4,122  0.3   1,204,304
                                                NON U.S.              13,839  1.1      3,228  0.3
                                                           ----    --------- ----  --------- ----
                                                             11       54,451  4.5      7,350  0.6

03/05/13 CBT SOYBEANS                           U.S.                  13,452  2.3     12,163  2.1     593,117
                                                NON U.S.               6,875  1.2     11,018  1.9
                                                           ----    --------- ----  --------- ----
                                                             11       20,327  3.4     23,181  3.9

03/05/13 CBT SOYBEAN OIL                        U.S.                  12,720  3.9        907  0.3     323,718
                                                NON U.S.               2,500  0.8      1,418  0.4
                                                           ----    --------- ----  --------- ----
                                                              5       15,220  4.7      2,325  0.7

03/05/13 CBT U.S. TREASURY BONDS                U.S.                       5  0.0      4,811  0.7     641,634
                                                NON U.S.                 149  0.0      7,880  1.2
                                                           ----    --------- ----  --------- ----
                                                              7          154  0.0     12,691  2.0

03/05/13 NYME NO. 2 HEATING OIL, N.Y. HARBOR    U.S.                  12,690  4.2      2,781  0.9     298,756
                                                NON U.S.               2,250  0.8          8  0.0
                                                           ----    --------- ----  --------- ----
                                                              5       14,940  5.0      2,789  0.9

03/05/13 NYME GULF COAST ULSD SWAP              U.S.                     940  5.3      1,401  7.8      17,873
                                                NON U.S.                 345  1.9        134  0.7
                                                           ----    --------- ----  --------- ----
                                                              5        1,285  7.2      1,535  8.6

03/05/13 NYME UP DOWN GC ULSD VS HO SPR SWAP    U.S.                   1,687  4.0         10  0.0      42,118
                                                NON U.S.                 195  0.5         14  0.0
                                                           ----    --------- ----  --------- ----
                                                              5        1,882  4.5         24  0.1

03/05/13 IFED NATURAL GAS ICE HENRY HUB         U.S.                  58,175  1.1    512,896  9.6   5,326,776
                                                NON U.S.              42,557  0.8    532,664 10.0
                                                           ----    --------- ----  --------- ----
                                                             11      100,732  1.9  1,045,560 19.6

03/05/13 IFED NATURAL GAS PENULTIMATE ICE       U.S.                 152,714 17.1     43,422  4.9     892,753
                                                NON U.S.              21,513  2.4      8,411  0.9
                                                           ----    --------- ----  --------- ----
                                                              7      174,227 19.5     51,833  5.8

03/05/13 IFED SOCAL BORDER FIN BASIS            U.S.                   4,701  1.5      3,957  1.3     309,529
                                                NON U.S.               1,316  0.4        548  0.2
                                                           ----    --------- ----  --------- ----
                                                              5        6,017  1.9      4,505  1.5

03/05/13 IFED NWP ROCKIES FIN BASIS             U.S.                      61  0.0      8,435  3.6     234,998
                                                NON U.S.               3,993  1.7     21,110  9.0
                                                           ----    --------- ----  --------- ----
                                                              7        4,054  1.7     29,545 12.6

03/05/13 IFED AECO FIN BASIS                    U.S.                   2,097  0.3        248  0.0     786,175
                                                NON U.S.              46,299  5.9    280,789 35.7
                                                           ----    --------- ----  --------- ----
                                                              8       48,396  6.2    281,037 35.7

03/05/13 IFED HSC FIN BASIS                     U.S.                       0  0.0     12,776  6.2     206,771
                                                NON U.S.                   0  0.0     12,695  6.1
                                                           ----    --------- ----  --------- ----
                                                              5            0  0.0     25,471 12.3

03/05/13 IFED COLUMBIA GAS CO. - TCO POOL (APPALACHIA) (BASIS SWAP)
                                                U.S.                     790  0.5     14,490  9.2     158,136
                                                NON U.S.                   0  0.0      3,614  2.3
                                                           ----    --------- ----  --------- ----
                                                              5          790  0.5     18,104 11.4

03/05/13 IFED PANHANDLE EASTERN PIPE LINE CO. - POOL GAS (BASIS SWAP)
                                                U.S.                       0  0.0     24,937 10.3     241,865
                                                NON U.S.                 519  0.2      9,502  3.9
                                                           ----    --------- ----  --------- ----
                                                              5          519  0.2     34,439 14.2

03/05/13 NYME NATURAL GAS                       U.S.                  34,638  2.8     23,823  1.9   1,236,980
                                                NON U.S.              15,288  1.2      1,915  0.2
                                                           ----    --------- ----  --------- ----
                                                             13       49,926  4.0     25,738  2.1

03/05/13 CBT SOYBEAN MEAL                       U.S.                   6,869  2.4      2,121  0.8     282,271
                                                NON U.S.              10,181  3.6      1,299  0.5
                                                           ----    --------- ----  --------- ----
                                                              8       17,050  6.0      3,420  1.2

03/05/13 ICUS COTTON NO. 2                      U.S.                   7,047  3.6          0  0.0     196,405
                                                NON U.S.               5,001  2.5      2,448  1.2
                                                           ----    --------- ----  --------- ----
                                                             10       12,048  6.1      2,448  1.2

03/05/13 NYME HENRY HUB SWAP                    U.S.                  68,743  2.8    248,987 10.2   2,433,264
                                                NON U.S.              19,932  0.8    180,206  7.4
                                                           ----    --------- ----  --------- ----
                                                              9       88,675  3.6    429,193 17.6

03/05/13 NYME HENRY HUB PENULTIMATE GAS SWAP    U.S.                  66,153  7.5     31,590  3.6     882,729
                                                NON U.S.              47,171  5.3      6,815  0.8
                                                           ----    --------- ----  --------- ----
                                                              8      113,324 12.8     38,405  4.4

03/05/13 CBT 2-YEAR U.S. TREASURY NOTES         U.S.          7       35,874  3.3     56,779  5.3   1,076,495
                                                NON U.S.     10        6,727  0.6     26,578  2.5
                                                           ----    --------- ----  --------- ----
                                                             17       42,601  4.0     83,357  7.7

03/05/13 CBT 10-YEAR U.S. TREASURY NOTES        U.S.          8       22,417  1.1     61,815  2.9   2,122,625
                                                NON U.S.     24       34,405  1.6     42,881  2.0
                                                           ----    --------- ----  --------- ----
                                                             32       56,822  2.7    104,696  4.9

03/05/13 CBT 5-YEAR U.S. TREASURY NOTES         U.S.          6       77,760  4.4      7,831  0.4   1,783,542
                                                NON U.S.     10       85,275  4.8     35,223  2.0
                                                           ----    --------- ----  --------- ----
                                                             16      163,035  9.1     43,054  2.4

03/05/13 CBT 30-DAY FEDERAL FUNDS               U.S.          7       19,332  5.9     41,745 12.8     326,795
                                                NON U.S.      8       16,145  4.9     26,219  8.0
                                                           ----    --------- ----  --------- ----
                                                             15       35,477 10.9     67,964 20.8

03/05/13 CME LEAN HOGS                          U.S.                   8,415  3.6         24  0.0     231,967
                                                NON U.S.               3,929  1.7        289  0.1
                                                           ----    --------- ----  --------- ----
                                                              6       12,344  5.3        313  0.1

03/05/13 CME LIVE CATTLE                        U.S.                   9,490  2.8        185  0.1     337,694
                                                NON U.S.               4,664  1.4        176  0.1
                                                           ----    --------- ----  --------- ----
                                                              6       14,154  4.2        361  0.1

03/05/13 NYME CRUDE OIL, LIGHT SWEET            U.S.                  39,761  2.3    129,977  7.6   1,710,526
                                                NON U.S.              21,407  1.3    196,464 11.5
                                                           ----    --------- ----  --------- ----
                                                             18       61,168  3.6    326,441 19.1

03/05/13 NYME WTI CRUDE OIL CALENDAR SWAP       U.S.                  10,709  6.2     34,267 20.0     171,519
                                                NON U.S.              16,652  9.7     31,022 18.1
                                                           ----    --------- ----  --------- ----
                                                             14       27,361 16.0     65,289 38.1

03/05/13 NYME DATED BRENT CALENDAR SWAP         U.S.                   1,749 42.4        244  5.9       4,124
                                                NON U.S.                 231  5.6        337  8.2
                                                           ----    --------- ----  --------- ----
                                                              5        1,980 48.0        581 14.1

03/05/13 NYME WTI-BRENT CALENDAR SWAP           U.S.                   1,830  3.1      2,899  4.8      59,874
                                                NON U.S.               1,180  2.0      3,862  6.5
                                                           ----    --------- ----  --------- ----
                                                              6        3,010  5.0      6,761 11.3

03/05/13 NYME DATED TO FRONTLINE BRENT SWAP     U.S.                     515  5.5        985 10.5       9,386
                                                NON U.S.                 951 10.1      1,590 16.9
                                                           ----    --------- ----  --------- ----
                                                              6        1,466 15.6      2,575 27.4

03/05/13 NYME BRENT (ICE) CALENDAR SWAP         U.S.                   2,328  5.1      6,110 13.3      45,883
                                                NON U.S.               7,678 16.7      3,374  7.4
                                                           ----    --------- ----  --------- ----
                                                             12       10,006 21.8      9,484 20.7

03/05/13 NYME BRENT CRUDE OIL LAST DAY          U.S.                   2,553  5.4        870  1.8      47,074
                                                NON U.S.                 150  0.3        316  0.7
                                                           ----    --------- ----  --------- ----
                                                              6        2,703  5.7      1,186  2.5

03/05/13 ICUS COCOA                             U.S.                   2,705  1.3        267  0.1     200,892
                                                NON U.S.               1,962  1.0     12,105  6.0
                                                           ----    --------- ----  --------- ----
                                                              7        4,667  2.3     12,372  6.2

03/05/13 NYME PALLADIUM                         U.S.                     331  1.0     10,633 30.8      34,479
                                                NON U.S.               1,411  4.1      5,214 15.1
                                                           ----    --------- ----  --------- ----
                                                             17        1,742  5.1     15,847 46.0

03/05/13 NYME PLATINUM                          U.S.          4          343  0.5     19,526 30.2      64,689
                                                NON U.S.     14        2,826  4.4      6,822 10.5
                                                           ----    --------- ----  --------- ----
                                                             18        3,169  4.9     26,348 40.7

03/05/13 ICUS SUGAR NO. 11                      U.S.                  41,340  5.3      2,045  0.3     785,424
                                                NON U.S.              17,829  2.3      8,416  1.1
                                                           ----    --------- ----  --------- ----
                                                             10       59,169  7.5     10,461  1.3

03/05/13 ICUS COFFEE C                          U.S.                   7,108  4.2          1  0.0     167,363
                                                NON U.S.               2,626  1.6      1,214  0.7
                                                           ----    --------- ----  --------- ----
                                                             12        9,734  5.8      1,215  0.7

03/05/13 CMX SILVER                             U.S.                   4,014  2.7     35,679 24.3     147,100
                                                NON U.S.              13,430  9.1     22,666 15.4
                                                           ----    --------- ----  --------- ----
                                                             17       17,444 11.9     58,345 39.7

03/05/13 CMX COPPER-GRADE #1                    U.S.                  15,895 10.0      2,466  1.5     159,485
                                                NON U.S.               1,614  1.0      1,502  0.9
                                                           ----    --------- ----  --------- ----
                                                             12       17,509 11.0      3,968  2.5

03/05/13 CMX GOLD                               U.S.          4       40,685  9.4     86,924 20.0     434,586
                                                NON U.S.     21       29,219  6.7     72,545 16.7
                                                           ----    --------- ----  --------- ----
                                                             25       69,904 16.1    159,469 36.7

03/05/13 CME RUSSIAN RUBLE                      U.S.                   8,008 11.6      4,527  6.6      68,906
                                                NON U.S.              32,012 46.5     33,723 48.9
                                                           ----    --------- ----  --------- ----
                                                             10       40,020 58.1     38,250 55.5

03/05/13 CME CANADIAN DOLLAR                    U.S.                  20,462  9.3          0  0.0     221,062
                                                NON U.S.               6,862  3.1      5,808  2.6
                                                           ----    --------- ----  --------- ----
                                                              8       27,324 12.4      5,808  2.6

03/05/13 CME SWISS FRANC                        U.S.                       0  0.0        691  1.2      55,311
                                                NON U.S.                 519  0.9      9,622 17.4
                                                           ----    --------- ----  --------- ----
                                                              6          519  0.9     10,313 18.6

03/05/13 CME MEXICAN PESO                       U.S.                  18,834 11.7      5,305  3.3     160,919
                                                NON U.S.              12,016  7.5        228  0.1
                                                           ----    --------- ----  --------- ----
                                                              8       30,850 19.2      5,533  3.4

03/05/13 CME BRITISH POUND STERLING             U.S.          7       10,868  4.6     18,808  8.0     236,181
                                                NON U.S.      6        2,168  0.9      4,309  1.8
                                                           ----    --------- ----  --------- ----
                                                             13       13,036  5.5     23,117  9.8

03/05/13 CME JAPANESE YEN                       U.S.          6       32,005 13.2     12,960  5.4     241,938
                                                NON U.S.      7       42,601 17.6      5,456  2.3
                                                           ----    --------- ----  --------- ----
                                                             13       74,606 30.8     18,416  7.6

03/05/13 CME EURO FX                            U.S.          4        7,207  3.3      2,114  1.0     218,469
                                                NON U.S.     17        9,825  4.5      3,225  1.5
                                                           ----    --------- ----  --------- ----
                                                             21       17,032  7.8      5,339  2.4

03/05/13 CME BRAZILIAN REAL                     U.S.                  12,423 35.4         50  0.1      35,104
                                                NON U.S.                 120  0.3     27,060 77.1
                                                           ----    --------- ----  --------- ----
                                                              7       12,543 35.7     27,110 77.2

03/05/13 NYME GASOLINE BLENDSTOCK (RBOB)        U.S.                   6,954  2.2      2,847  0.9     317,253
                                                NON U.S.               2,388  0.8      1,633  0.5
                                                           ----    --------- ----  --------- ----
                                                              8        9,342  2.9      4,480  1.4

03/05/13 NYME RBOB CALENDAR SWAP                U.S.                      90  0.7        503  4.2      12,086
                                                NON U.S.                 126  1.0         40  0.3
                                                           ----    --------- ----  --------- ----
                                                              5          216  1.8        543  4.5

03/05/13 CME NEW ZEALAND DOLLAR                 U.S.                     884  2.8      3,553 11.3      31,547
                                                NON U.S.                 249  0.8        317  1.0
                                                           ----    --------- ----  --------- ----
                                                              6        1,133  3.6      3,870 12.3

03/05/13 E VIX FUTURES                          U.S.                       0  0.0     12,372  3.0     413,877
                                                NON U.S.               3,028  0.7      2,020  0.5
                                                           ----    --------- ----  --------- ----
                                                              5        3,028  0.7     14,392  3.5

03/05/13 CBT DOW JONES INDUSTRIAL AVG- x $5     U.S.                   3,089  2.2          0  0.0     138,439
                                                NON U.S.                 597  0.4      2,604  1.9
                                                           ----    --------- ----  --------- ----
                                                              8        3,686  2.7      2,604  1.9

03/05/13 CME 3-MONTH EURODOLLARS                U.S.         10      923,376  9.8    751,816  7.9   9,469,337
                                                NON U.S.     29      299,489  3.2    883,153  9.3
                                                           ----    --------- ----  --------- ----
                                                             39    1,222,865 12.9  1,634,969 17.3

03/05/13 CME S&P 500 STOCK INDEX                U.S.                   1,896  0.8          0  0.0     237,188
                                                NON U.S.               8,798  3.7      6,304  2.7
                                                           ----    --------- ----  --------- ----
                                                              6       10,694  4.5      6,304  2.7

03/05/13 CME E-MINI S&P 500 STOCK INDEX         U.S.          6       88,118  2.7     13,610  0.4   3,275,893
                                                NON U.S.     28       37,015  1.1     47,251  1.4
                                                           ----    --------- ----  --------- ----
                                                             34      125,133  3.8     60,861  1.9

03/05/13 CME NASDAQ-100 STOCK INDEX (MINI)      U.S.                   1,688  0.5          0  0.0     354,078
                                                NON U.S.               1,984  0.6      5,643  1.6
                                                           ----    --------- ----  --------- ----
                                                             12        3,672  1.0      5,643  1.6

03/05/13 CME AUSTRALIAN DOLLAR                  U.S.          4       14,373  9.1          0  0.0     157,595
                                                NON U.S.      6        1,638  1.0     14,739  9.4
                                                           ----    --------- ----  --------- ----
                                                             10       16,011 10.2     14,739  9.4

03/05/13 ICUS RUSSELL 2000 MINI INDEX FUTURE    U.S.                   1,649  0.4      3,948  1.0     378,750
                                                NON U.S.               3,735  1.0          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              7        5,384  1.4      3,948  1.0

03/05/13 CME NIKKEI STOCK AVERAGE YEN DENOM     U.S.                      60  0.1        854  0.9      95,807
                                                NON U.S.               3,769  3.9      4,279  4.5
                                                           ----    --------- ----  --------- ----
                                                              9        3,829  4.0      5,133  5.4

03/05/13 NYL MSCI EMERGING MKTS MINI INDEX      U.S.                     471  0.2          0  0.0     193,856
                                                NON U.S.               9,481  4.9      4,164  2.1
                                                           ----    --------- ----  --------- ----
                                                             14        9,952  5.1      4,164  2.1

03/05/13 NYME 3.5% FUEL OIL RDAM CRACK SPR      U.S.                   2,611  6.0        730  1.7      43,869
                                                NON U.S.               4,340  9.9        998  2.3
                                                           ----    --------- ----  --------- ----
                                                              7        6,951 15.8      1,728  3.9

03/05/13 NYME EUROBOB OXY NWE CRK SPR           U.S.                   1,925  5.5        839  2.4      34,820
                                                NON U.S.                 402  1.2        929  2.7
                                                           ----    --------- ----  --------- ----
                                                              5        2,327  6.7      1,768  5.1