BANK PARTICIPATION IN FUTURES MARKETS

(IN CONTRACTS)



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

08/07/12 CBT WHEAT                              U.S.                  13,960  3.0      6,364  1.4     463,143
                                                NON U.S.              11,352  2.5      7,449  1.6
                                                           ----    --------- ----  --------- ----
                                                             11       25,312  5.5     13,813  3.0

08/07/12 KCBT WHEAT                             U.S.                   2,407  1.5         14  0.0     156,676
                                                NON U.S.               2,005  1.3      3,876  2.5
                                                           ----    --------- ----  --------- ----
                                                              6        4,412  2.8      3,890  2.5

08/07/12 CBT CORN                               U.S.                  25,450  2.1     14,060  1.2   1,187,048
                                                NON U.S.              18,170  1.5      1,135  0.1
                                                           ----    --------- ----  --------- ----
                                                             10       43,620  3.7     15,195  1.3

08/07/12 CBT SOYBEANS                           U.S.                   9,891  1.3     43,209  5.7     752,907
                                                NON U.S.               3,425  0.5      2,346  0.3
                                                           ----    --------- ----  --------- ----
                                                              9       13,316  1.8     45,555  6.1

08/07/12 CBT SOYBEAN OIL                        U.S.                  14,354  4.3      4,366  1.3     331,467
                                                NON U.S.               3,099  0.9        609  0.2
                                                           ----    --------- ----  --------- ----
                                                              5       17,453  5.3      4,975  1.5

08/07/12 CBT U.S. TREASURY BONDS                U.S.          5        5,547  0.9      4,728  0.8     605,807
                                                NON U.S.      5        5,454  0.9      8,921  1.5
                                                           ----    --------- ----  --------- ----
                                                             10       11,001  1.8     13,649  2.3

08/07/12 NYME MINI EUR 3.5%FOIL RTD CAL SWAP    U.S.                      78  1.1      1,263 18.2       6,954
                                                NON U.S.                 250  3.6      1,106 15.9
                                                           ----    --------- ----  --------- ----
                                                              5          328  4.7      2,369 34.1

08/07/12 NYME NO. 2 HEATING OIL, N.Y. HARBOR    U.S.                  19,828  6.3      3,134  1.0     312,736
                                                NON U.S.               3,586  1.1         16  0.0
                                                           ----    --------- ----  --------- ----
                                                              6       23,414  7.5      3,150  1.0

08/07/12 NYME NATURAL GAS                       U.S.                  25,004  2.2     15,219  1.4   1,112,252
                                                NON U.S.              14,909  1.3        721  0.1
                                                           ----    --------- ----  --------- ----
                                                              8       39,913  3.6     15,940  1.4

08/07/12 CBT SOYBEAN MEAL                       U.S.                   6,538  2.7      4,151  1.7     244,787
                                                NON U.S.                 873  0.4      1,686  0.7
                                                           ----    --------- ----  --------- ----
                                                              5        7,411  3.0      5,837  2.4

08/07/12 ICUS COTTON NO. 2                      U.S.                   8,619  4.8      1,185  0.7     181,424
                                                NON U.S.               4,382  2.4        350  0.2
                                                           ----    --------- ----  --------- ----
                                                              9       13,001  7.2      1,535  0.8

08/07/12 NYME NW PIPE ROCKIES BASIS SWAP        U.S.                   1,680  3.9      2,157  5.0      42,934
                                                NON U.S.               3,847  9.0          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              5        5,527 12.9      2,157  5.0

08/07/12 NYME HENRY HUB SWAP                    U.S.                 109,693  4.1    260,147  9.8   2,643,496
                                                NON U.S.              18,374  0.7    179,393  6.8
                                                           ----    --------- ----  --------- ----
                                                              8      128,067  4.8    439,540 16.6

08/07/12 NYME HENRY HUB PENULTIMATE GAS SWAP    U.S.                  80,677  6.5     31,299  2.5   1,244,002
                                                NON U.S.              45,981  3.7     12,292  1.0
                                                           ----    --------- ----  --------- ----
                                                              9      126,658 10.2     43,591  3.5

08/07/12 CBT 2-YEAR U.S. TREASURY NOTES         U.S.          6        8,191  0.8     12,950  1.2   1,037,702
                                                NON U.S.      6        8,873  0.9     14,608  1.4
                                                           ----    --------- ----  --------- ----
                                                             12       17,064  1.6     27,558  2.7

08/07/12 CBT 10-YEAR U.S. TREASURY NOTES        U.S.          8       29,897  1.8     42,264  2.6   1,655,120
                                                NON U.S.     16       45,711  2.8     20,286  1.2
                                                           ----    --------- ----  --------- ----
                                                             24       75,608  4.6     62,550  3.8

08/07/12 CBT 5-YEAR U.S. TREASURY NOTES         U.S.          5       35,122  3.0     17,365  1.5   1,188,509
                                                NON U.S.     10        3,405  0.3     28,145  2.4
                                                           ----    --------- ----  --------- ----
                                                             15       38,527  3.2     45,510  3.8

08/07/12 CBT 30-DAY FEDERAL FUNDS               U.S.          8       23,364  5.4     48,065 11.0     435,302
                                                NON U.S.      9       28,861  6.6     45,354 10.4
                                                           ----    --------- ----  --------- ----
                                                             17       52,225 12.0     93,419 21.5

08/07/12 CME LEAN HOGS                          U.S.                   7,875  3.7          2  0.0     215,559
                                                NON U.S.               2,387  1.1          4  0.0
                                                           ----    --------- ----  --------- ----
                                                              5       10,262  4.8          6  0.0

08/07/12 CME LIVE CATTLE                        U.S.                   8,443  2.9        212  0.1     292,193
                                                NON U.S.               3,415  1.2        106  0.0
                                                           ----    --------- ----  --------- ----
                                                              5       11,858  4.1        318  0.1

08/07/12 NYME CRUDE OIL, LIGHT SWEET            U.S.                  53,575  3.7    127,584  8.8   1,449,617
                                                NON U.S.              28,764  2.0    144,051  9.9
                                                           ----    --------- ----  --------- ----
                                                             17       82,339  5.7    271,635 18.7

08/07/12 NYME WTI CRUDE OIL CALENDAR SWAP       U.S.                  14,540  7.9     32,763 17.7     184,779
                                                NON U.S.              14,610  7.9     33,785 18.3
                                                           ----    --------- ----  --------- ----
                                                             13       29,150 15.8     66,548 36.0

08/07/12 NYME WTI CRUDE OIL FINANCIAL           U.S.                   9,363 10.8     16,302 18.8      86,608
                                                NON U.S.               5,221  6.0      4,535  5.2
                                                           ----    --------- ----  --------- ----
                                                              7       14,584 16.8     20,837 24.1

08/07/12 NYME WTI-BRENT CALENDAR SWAP           U.S.                   2,265  4.7      2,480  5.1      48,173
                                                NON U.S.               2,332  4.8      4,417  9.2
                                                           ----    --------- ----  --------- ----
                                                              8        4,597  9.5      6,897 14.3

08/07/12 NYME BRENT (ICE) CALENDAR SWAP         U.S.                   6,538 10.5      3,803  6.1      62,328
                                                NON U.S.               8,750 14.0      3,594  5.8
                                                           ----    --------- ----  --------- ----
                                                             11       15,288 24.5      7,397 11.9

08/07/12 NYME BRENT CRUDE OIL LAST DAY          U.S.                     769  2.7        536  1.9      28,683
                                                NON U.S.                 190  0.7        346  1.2
                                                           ----    --------- ----  --------- ----
                                                              5          959  3.3        882  3.1

08/07/12 ICUS COCOA                             U.S.                   1,093  0.6        177  0.1     191,277
                                                NON U.S.               2,447  1.3     12,069  6.3
                                                           ----    --------- ----  --------- ----
                                                              7        3,540  1.9     12,246  6.4

08/07/12 NYME PALLADIUM                         U.S.                     514  2.1      3,587 14.8      24,204
                                                NON U.S.               2,420 10.0      2,727 11.3
                                                           ----    --------- ----  --------- ----
                                                             15        2,934 12.1      6,314 26.1

08/07/12 NYME PLATINUM                          U.S.          4          339  0.6      7,632 14.3      53,246
                                                NON U.S.     12        1,176  2.2      5,857 11.0
                                                           ----    --------- ----  --------- ----
                                                             16        1,515  2.8     13,489 25.3

08/07/12 ICUS SUGAR NO. 11                      U.S.                  13,254  2.0      7,055  1.1     662,690
                                                NON U.S.              10,823  1.6     14,119  2.1
                                                           ----    --------- ----  --------- ----
                                                             11       24,077  3.6     21,174  3.2

08/07/12 ICUS COFFEE C                          U.S.                   2,333  1.7        387  0.3     138,521
                                                NON U.S.               1,739  1.3      2,452  1.8
                                                           ----    --------- ----  --------- ----
                                                             11        4,072  2.9      2,839  2.0

08/07/12 CMX SILVER                             U.S.          4        6,685  5.4     27,150 21.8     124,276
                                                NON U.S.     13        6,307  5.1      5,479  4.4
                                                           ----    --------- ----  --------- ----
                                                             17       12,992 10.5     32,629 26.3

08/07/12 CMX COPPER-GRADE #1                    U.S.                  13,490  9.3      1,613  1.1     145,059
                                                NON U.S.                 787  0.5        190  0.1
                                                           ----    --------- ----  --------- ----
                                                              7       14,277  9.8      1,803  1.2

08/07/12 CMX GOLD                               U.S.          4       36,865  9.5     94,554 24.4     388,254
                                                NON U.S.     18        9,199  2.4     49,772 12.8
                                                           ----    --------- ----  --------- ----
                                                             22       46,064 11.9    144,326 37.2

08/07/12 CME RUSSIAN RUBLE                      U.S.                   8,164  7.8      3,145  3.0     105,159
                                                NON U.S.              66,008 62.8     70,583 67.1
                                                           ----    --------- ----  --------- ----
                                                             10       74,172 70.5     73,728 70.1

08/07/12 CME CANADIAN DOLLAR                    U.S.          4          872  0.8      7,941  7.3     109,258
                                                NON U.S.      5          617  0.6      6,500  5.9
                                                           ----    --------- ----  --------- ----
                                                              9        1,489  1.4     14,441 13.2

08/07/12 CME MEXICAN PESO                       U.S.                       0  0.0     26,507 14.6     181,520
                                                NON U.S.              63,426 34.9          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              5       63,426 34.9     26,507 14.6

08/07/12 CME BRITISH POUND STERLING             U.S.                  12,204 10.6          0  0.0     115,125
                                                NON U.S.               1,853  1.6        928  0.8
                                                           ----    --------- ----  --------- ----
                                                              6       14,057 12.2        928  0.8

08/07/12 CME JAPANESE YEN                       U.S.                   1,129  0.8     19,574 13.1     148,998
                                                NON U.S.               2,814  1.9      1,399  0.9
                                                           ----    --------- ----  --------- ----
                                                              7        3,943  2.6     20,973 14.1

08/07/12 CME EURO FX                            U.S.          5       59,716 18.5      4,706  1.5     322,243
                                                NON U.S.     14       41,796 13.0      3,794  1.2
                                                           ----    --------- ----  --------- ----
                                                             19      101,512 31.5      8,500  2.6

08/07/12 CME BRAZILIAN REAL                     U.S.                     794  4.7          0  0.0      17,002
                                                NON U.S.                 325  1.9     13,598 80.0
                                                           ----    --------- ----  --------- ----
                                                              5        1,119  6.6     13,598 80.0

08/07/12 NYME GASOLINE BLENDSTOCK (RBOB)        U.S.                   5,833  2.2      3,720  1.4     259,957
                                                NON U.S.               1,123  0.4      1,215  0.5
                                                           ----    --------- ----  --------- ----
                                                              6        6,956  2.7      4,935  1.9

08/07/12 NYME RBOB CALENDAR SWAP                U.S.                     213  1.4        138  0.9      14,922
                                                NON U.S.                 911  6.1          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              5        1,124  7.5        138  0.9

08/07/12 E VIX FUTURES                          U.S.                       0  0.0      7,394  2.2     335,902
                                                NON U.S.               1,676  0.5      1,319  0.4
                                                           ----    --------- ----  --------- ----
                                                              5        1,676  0.5      8,713  2.6

08/07/12 CBT DOW JONES INDUSTRIAL AVG- x $5     U.S.                   6,238  6.0          0  0.0     104,764
                                                NON U.S.                   0  0.0     17,067 16.3
                                                           ----    --------- ----  --------- ----
                                                              5        6,238  6.0     17,067 16.3

08/07/12 CME 3-MONTH EURODOLLARS                U.S.         12      711,847  9.0    788,287 10.0   7,907,058
                                                NON U.S.     30      274,432  3.5    576,359  7.3
                                                           ----    --------- ----  --------- ----
                                                             42      986,279 12.5  1,364,646 17.3

08/07/12 CME S&P 500 STOCK INDEX                U.S.                   2,996  1.3         62  0.0     236,347
                                                NON U.S.               4,733  2.0      8,893  3.8
                                                           ----    --------- ----  --------- ----
                                                              8        7,729  3.3      8,955  3.8

08/07/12 CME E-MINI S&P 500 STOCK INDEX         U.S.          6       42,715  1.5     10,926  0.4   2,831,826
                                                NON U.S.     24       41,294  1.5     72,860  2.6
                                                           ----    --------- ----  --------- ----
                                                             30       84,009  3.0     83,786  3.0

08/07/12 CME NASDAQ-100 STOCK INDEX (MINI)      U.S.                     577  0.1        935  0.2     392,754
                                                NON U.S.               8,715  2.2     16,003  4.1
                                                           ----    --------- ----  --------- ----
                                                             12        9,292  2.4     16,938  4.3

08/07/12 CME AUSTRALIAN DOLLAR                  U.S.                       6  0.0      5,139  3.2     162,436
                                                NON U.S.              10,896  6.7        610  0.4
                                                           ----    --------- ----  --------- ----
                                                              6       10,902  6.7      5,749  3.5

08/07/12 ICUS RUSSELL 2000 MINI INDEX FUTURE    U.S.          4        1,625  0.4      7,877  1.8     432,094
                                                NON U.S.      4        2,057  0.5        968  0.2
                                                           ----    --------- ----  --------- ----
                                                              8        3,682  0.9      8,845  2.0

08/07/12 CME NIKKEI STOCK AVERAGE YEN DENOM     U.S.                       0  0.0        334  0.6      53,728
                                                NON U.S.               4,817  9.0      2,643  4.9
                                                           ----    --------- ----  --------- ----
                                                              8        4,817  9.0      2,977  5.5

08/07/12 NYL MSCI EMERGING MKTS MINI INDEX      U.S.                       0  0.0          0  0.0     120,756
                                                NON U.S.               5,369  4.4      3,258  2.7
                                                           ----    --------- ----  --------- ----
                                                             10        5,369  4.4      3,258  2.7

08/07/12 NYME 3.5% FUEL OIL RDAM CRACK SPR      U.S.                   1,571  3.9        549  1.4      40,448
                                                NON U.S.               1,784  4.4      1,656  4.1
                                                           ----    --------- ----  --------- ----
                                                              8        3,355  8.3      2,205  5.5

08/07/12 NYME HEAT OIL CRACK SPRD CAL SWAP      U.S.                   1,035  6.3        775  4.7      16,507
                                                NON U.S.               1,452  8.8          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              5        2,487 15.1        775  4.7

08/07/12 NYME GASOIL CRACK SPR SWAP             U.S.                     318  1.3      1,052  4.2      25,139
                                                NON U.S.                 772  3.1        250  1.0
                                                           ----    --------- ----  --------- ----
                                                              6        1,090  4.3      1,302  5.2