BANK PARTICIPATION IN FUTURES MARKETS

(IN CONTRACTS)



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

04/03/12 CBT WHEAT                              U.S.                  24,869  5.3      2,310  0.5     466,165
                                                NON U.S.              16,419  3.5      5,032  1.1
                                                           ----    --------- ----  --------- ----
                                                             10       41,288  8.9      7,342  1.6

04/03/12 KCBT WHEAT                             U.S.                   1,962  1.4         70  0.0     142,998
                                                NON U.S.               2,811  2.0      1,634  1.1
                                                           ----    --------- ----  --------- ----
                                                              5        4,773  3.3      1,704  1.2

04/03/12 CBT CORN                               U.S.                  47,840  3.6     11,220  0.8   1,342,159
                                                NON U.S.              20,737  1.5      4,850  0.4
                                                           ----    --------- ----  --------- ----
                                                             13       68,577  5.1     16,070  1.2

04/03/12 CBT SOYBEANS                           U.S.                  15,111  2.0     12,133  1.6     753,669
                                                NON U.S.              10,434  1.4      5,399  0.7
                                                           ----    --------- ----  --------- ----
                                                             11       25,545  3.4     17,532  2.3

04/03/12 CBT SOYBEAN OIL                        U.S.                  17,955  5.0        209  0.1     362,335
                                                NON U.S.               5,333  1.5        645  0.2
                                                           ----    --------- ----  --------- ----
                                                              6       23,288  6.4        854  0.2

04/03/12 CBT U.S. TREASURY BONDS                U.S.          4        1,882  0.3      7,951  1.4     573,636
                                                NON U.S.      6        5,355  0.9      6,921  1.2
                                                           ----    --------- ----  --------- ----
                                                             10        7,237  1.3     14,872  2.6

04/03/12 NYME GULF # 6 FUEL 3.0% SULFUR SWAP    U.S.                   1,086  2.6        300  0.7      41,049
                                                NON U.S.                 427  1.0         48  0.1
                                                           ----    --------- ----  --------- ----
                                                              5        1,513  3.7        348  0.8

04/03/12 NYME EUR 3.5% FUEL OIL RTD CAL SWAP    U.S.                     349  3.4        318  3.1      10,233
                                                NON U.S.                 749  7.3        151  1.5
                                                           ----    --------- ----  --------- ----
                                                              5        1,098 10.7        469  4.6

04/03/12 NYME NO. 2 HEATING OIL, N.Y. HARBOR    U.S.                  12,202  4.3        582  0.2     285,433
                                                NON U.S.               1,587  0.6      1,049  0.4
                                                           ----    --------- ----  --------- ----
                                                              6       13,789  4.8      1,631  0.6

04/03/12 NYME SING GASOIL SWAP                  U.S.                   1,436 10.8         50  0.4      13,295
                                                NON U.S.                 973  7.3        301  2.3
                                                           ----    --------- ----  --------- ----
                                                              5        2,409 18.1        351  2.6

04/03/12 NYME NATURAL GAS                       U.S.                  35,441  2.9     23,307  1.9   1,234,227
                                                NON U.S.              29,638  2.4      1,746  0.1
                                                           ----    --------- ----  --------- ----
                                                             10       65,079  5.3     25,053  2.0

04/03/12 ICUS COTTON NO. 2                      U.S.                   6,245  3.3        132  0.1     191,444
                                                NON U.S.               4,091  2.1      5,327  2.8
                                                           ----    --------- ----  --------- ----
                                                             11       10,336  5.4      5,459  2.9

04/03/12 NYME NW PIPE ROCKIES BASIS SWAP        U.S.                     580  1.3      2,734  6.0      45,384
                                                NON U.S.               3,153  6.9        214  0.5
                                                           ----    --------- ----  --------- ----
                                                              5        3,733  8.2      2,948  6.5

04/03/12 NYME HENRY HUB SWAP                    U.S.                  93,563  3.5    199,238  7.5   2,653,296
                                                NON U.S.              15,000  0.6    161,792  6.1
                                                           ----    --------- ----  --------- ----
                                                              9      108,563  4.1    361,030 13.6

04/03/12 NYME HENRY HUB PENULTIMATE GAS SWAP    U.S.                 112,935  8.0     35,571  2.5   1,403,523
                                                NON U.S.              29,832  2.1     11,259  0.8
                                                           ----    --------- ----  --------- ----
                                                              8      142,767 10.2     46,830  3.3

04/03/12 CBT ROUGH RICE                         U.S.                     196  1.2          0  0.0      16,337
                                                NON U.S.                 833  5.1        600  3.7
                                                           ----    --------- ----  --------- ----
                                                              5        1,029  6.3        600  3.7

04/03/12 CBT 2-YEAR U.S. TREASURY NOTES         U.S.          7       34,827  4.4      1,606  0.2     785,415
                                                NON U.S.      5        5,278  0.7      4,231  0.5
                                                           ----    --------- ----  --------- ----
                                                             12       40,105  5.1      5,837  0.7

04/03/12 CBT 10-YEAR U.S. TREASURY NOTES        U.S.          7       10,511  0.6     39,281  2.3   1,735,420
                                                NON U.S.     27       59,798  3.4     65,686  3.8
                                                           ----    --------- ----  --------- ----
                                                             34       70,309  4.1    104,967  6.0

04/03/12 CBT 5-YEAR U.S. TREASURY NOTES         U.S.          5       40,865  3.2     31,035  2.4   1,274,872
                                                NON U.S.     12       23,117  1.8     33,657  2.6
                                                           ----    --------- ----  --------- ----
                                                             17       63,982  5.0     64,692  5.1

04/03/12 CBT 30-DAY FEDERAL FUNDS               U.S.          7       52,070 10.0     57,103 11.0     519,960
                                                NON U.S.     11       32,260  6.2     46,970  9.0
                                                           ----    --------- ----  --------- ----
                                                             18       84,330 16.2    104,073 20.0

04/03/12 CME LEAN HOGS                          U.S.                   8,047  3.1          0  0.0     259,416
                                                NON U.S.               5,393  2.1      2,196  0.8
                                                           ----    --------- ----  --------- ----
                                                              6       13,440  5.2      2,196  0.8

04/03/12 CME LIVE CATTLE                        U.S.                   7,839  2.2        186  0.1     361,339
                                                NON U.S.               5,856  1.6      2,057  0.6
                                                           ----    --------- ----  --------- ----
                                                              6       13,695  3.8      2,243  0.6

04/03/12 NYME CRUDE OIL, LIGHT SWEET            U.S.                  60,254  3.8    113,364  7.2   1,569,070
                                                NON U.S.              26,440  1.7    164,159 10.5
                                                           ----    --------- ----  --------- ----
                                                             17       86,694  5.5    277,523 17.7

04/03/12 NYME WTI CRUDE OIL CALENDAR SWAP       U.S.                  13,842  6.9     35,855 17.8     201,820
                                                NON U.S.              14,660  7.3     33,935 16.8
                                                           ----    --------- ----  --------- ----
                                                             13       28,502 14.1     69,790 34.6

04/03/12 NYME WTI CRUDE OIL FINANCIAL           U.S.                   8,642 10.3     16,300 19.5      83,800
                                                NON U.S.               3,670  4.4      2,892  3.5
                                                           ----    --------- ----  --------- ----
                                                              7       12,312 14.7     19,192 22.9

04/03/12 NYME WTI-BRENT CALENDAR SWAP           U.S.                   2,220  4.2      2,355  4.5      52,780
                                                NON U.S.               2,316  4.4        840  1.6
                                                           ----    --------- ----  --------- ----
                                                              6        4,536  8.6      3,195  6.1

04/03/12 NYME BRENT (ICE) CALENDAR SWAP         U.S.                   4,894  8.9      3,337  6.0      55,212
                                                NON U.S.               7,723 14.0      4,101  7.4
                                                           ----    --------- ----  --------- ----
                                                             10       12,617 22.9      7,438 13.5

04/03/12 ICUS COCOA                             U.S.                   1,762  1.0        970  0.5     176,650
                                                NON U.S.               2,240  1.3     13,437  7.6
                                                           ----    --------- ----  --------- ----
                                                              5        4,002  2.3     14,407  8.2

04/03/12 NYME PALLADIUM                         U.S.                     337  1.6      3,728 17.7      21,003
                                                NON U.S.               1,587  7.6      2,112 10.1
                                                           ----    --------- ----  --------- ----
                                                             16        1,924  9.2      5,840 27.8

04/03/12 NYME PLATINUM                          U.S.                     417  1.0      6,626 16.4      40,490
                                                NON U.S.               1,117  2.8      7,122 17.6
                                                           ----    --------- ----  --------- ----
                                                             16        1,534  3.8     13,748 34.0

04/03/12 ICUS SUGAR NO. 11                      U.S.                  19,623  2.7      7,287  1.0     735,961
                                                NON U.S.              10,242  1.4     15,933  2.2
                                                           ----    --------- ----  --------- ----
                                                             11       29,865  4.1     23,220  3.2

04/03/12 ICUS COFFEE C                          U.S.                   2,315  1.5      2,456  1.6     157,812
                                                NON U.S.               1,546  1.0      2,480  1.6
                                                           ----    --------- ----  --------- ----
                                                             11        3,861  2.4      4,936  3.1

04/03/12 CMX SILVER                             U.S.          4        2,363  2.0     22,259 19.1     116,434
                                                NON U.S.     14        4,206  3.6      6,481  5.6
                                                           ----    --------- ----  --------- ----
                                                             18        6,569  5.6     28,740 24.7

04/03/12 CMX COPPER-GRADE #1                    U.S.                  12,744  8.1      3,493  2.2     156,569
                                                NON U.S.               1,318  0.8      2,142  1.4
                                                           ----    --------- ----  --------- ----
                                                             10       14,062  9.0      5,635  3.6

04/03/12 CMX GOLD                               U.S.          4       38,670  9.5    108,143 26.5     407,761
                                                NON U.S.     19       13,044  3.2     50,846 12.5
                                                           ----    --------- ----  --------- ----
                                                             23       51,714 12.7    158,989 39.0

04/03/12 CME RUSSIAN RUBLE                      U.S.                   9,492  7.7      3,180  2.6     123,769
                                                NON U.S.              79,817 64.5     82,517 66.7
                                                           ----    --------- ----  --------- ----
                                                              8       89,309 72.2     85,697 69.2

04/03/12 CME JAPANESE YEN                       U.S.                  13,385  8.9      3,140  2.1     150,382
                                                NON U.S.               2,158  1.4         63  0.0
                                                           ----    --------- ----  --------- ----
                                                              7       15,543 10.3      3,203  2.1

04/03/12 CME EURO FX                            U.S.                  46,884 19.5        448  0.2     241,006
                                                NON U.S.               8,094  3.4      8,964  3.7
                                                           ----    --------- ----  --------- ----
                                                             17       54,978 22.8      9,412  3.9

04/03/12 NYME GASOLINE BLENDSTOCK (RBOB)        U.S.                   7,255  2.1      7,027  2.0     345,747
                                                NON U.S.               1,921  0.6      2,905  0.8
                                                           ----    --------- ----  --------- ----
                                                              8        9,176  2.7      9,932  2.9

04/03/12 E VIX FUTURES                          U.S.                       0  0.0     17,510  5.6     310,512
                                                NON U.S.               2,480  0.8      1,564  0.5
                                                           ----    --------- ----  --------- ----
                                                              7        2,480  0.8     19,074  6.1

04/03/12 CBT DOW JONES INDUSTRIAL AVG- x $5     U.S.          4        4,926  4.7          0  0.0     104,930
                                                NON U.S.      4        1,824  1.7     21,959 20.9
                                                           ----    --------- ----  --------- ----
                                                              8        6,750  6.4     21,959 20.9

04/03/12 CME 3-MONTH EURODOLLARS                U.S.         12    1,381,835 16.4    570,641  6.8   8,438,012
                                                NON U.S.     34      345,280  4.1    581,668  6.9
                                                           ----    --------- ----  --------- ----
                                                             46    1,727,115 20.5  1,152,309 13.7

04/03/12 CME S&P 500 STOCK INDEX                U.S.                   1,775  0.8        463  0.2     225,382
                                                NON U.S.               5,607  2.5      9,526  4.2
                                                           ----    --------- ----  --------- ----
                                                              8        7,382  3.3      9,989  4.4

04/03/12 CME E-MINI S&P 500 STOCK INDEX         U.S.          8       44,610  1.6     10,548  0.4   2,753,427
                                                NON U.S.     31       35,365  1.3    106,374  3.9
                                                           ----    --------- ----  --------- ----
                                                             39       79,975  2.9    116,922  4.2

04/03/12 CME NASDAQ-100 STOCK INDEX (MINI)      U.S.                   1,681  0.4          0  0.0     447,118
                                                NON U.S.              11,221  2.5     16,987  3.8
                                                           ----    --------- ----  --------- ----
                                                             14       12,902  2.9     16,987  3.8

04/03/12 CME AUSTRALIAN DOLLAR                  U.S.                   1,359  0.9      2,861  1.9     151,825
                                                NON U.S.                   0  0.0      4,249  2.8
                                                           ----    --------- ----  --------- ----
                                                              5        1,359  0.9      7,110  4.7

04/03/12 ICUS RUSSELL 2000 MINI INDEX FUTURE    U.S.          4        4,540  1.2      3,496  0.9     379,294
                                                NON U.S.      5        4,195  1.1        971  0.3
                                                           ----    --------- ----  --------- ----
                                                              9        8,735  2.3      4,467  1.2

04/03/12 CME NIKKEI STOCK AVERAGE               U.S.                       0  0.0          0  0.0      49,658
                                                NON U.S.               3,705  7.5        173  0.3
                                                           ----    --------- ----  --------- ----
                                                              5        3,705  7.5        173  0.3

04/03/12 CME NIKKEI STOCK AVERAGE YEN DENOM     U.S.                       0  0.0          0  0.0      49,439
                                                NON U.S.               1,351  2.7      1,549  3.1
                                                           ----    --------- ----  --------- ----
                                                              7        1,351  2.7      1,549  3.1

04/03/12 NYL MSCI EMERGING MKTS MINI INDEX      U.S.                       0  0.0          0  0.0      84,703
                                                NON U.S.               5,587  6.6      8,226  9.7
                                                           ----    --------- ----  --------- ----
                                                             11        5,587  6.6      8,226  9.7

04/03/12 CME E-MINI S&P 400 STOCK INDEX         U.S.                     668  0.7          0  0.0     100,269
                                                NON U.S.                   0  0.0      3,500  3.5
                                                           ----    --------- ----  --------- ----
                                                              5          668  0.7      3,500  3.5

04/03/12 NYME 3.5% FUEL OIL RDAM CRACK SPR      U.S.                   1,102  4.5        321  1.3      24,275
                                                NON U.S.               1,756  7.2      1,695  7.0
                                                           ----    --------- ----  --------- ----
                                                              8        2,858 11.8      2,016  8.3

04/03/12 NYME HEAT OIL CRACK SPRD CAL SWAP      U.S.                   1,425  7.3      1,245  6.4      19,417
                                                NON U.S.                 666  3.4          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              6        2,091 10.8      1,245  6.4

04/03/12 NYME GASOIL CRACK SPR SWAP             U.S.                      66  0.3      1,855  7.6      24,290
                                                NON U.S.               1,078  4.4        298  1.2
                                                           ----    --------- ----  --------- ----
                                                              7        1,144  4.7      2,153  8.9