BANK PARTICIPATION IN FUTURES MARKETS

(IN CONTRACTS)



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

12/04/12 CBT WHEAT                              U.S.                  24,229  5.5      3,632  0.8     444,444
                                                NON U.S.               8,698  2.0      9,117  2.1
                                                           ----    --------- ----  --------- ----
                                                             13       32,927  7.4     12,749  2.9

12/04/12 KCBT WHEAT                             U.S.                   3,988  2.4          0  0.0     162,902
                                                NON U.S.               1,762  1.1      2,647  1.6
                                                           ----    --------- ----  --------- ----
                                                              5        5,750  3.5      2,647  1.6

12/04/12 CBT CORN                               U.S.                  44,275  3.7     13,220  1.1   1,203,365
                                                NON U.S.              12,794  1.1      1,417  0.1
                                                           ----    --------- ----  --------- ----
                                                              8       57,069  4.7     14,637  1.2

12/04/12 CBT SOYBEANS                           U.S.                  15,886  2.7     35,815  6.0     593,935
                                                NON U.S.               5,907  1.0      8,623  1.5
                                                           ----    --------- ----  --------- ----
                                                             11       21,793  3.7     44,438  7.5

12/04/12 CBT SOYBEAN OIL                        U.S.                  13,448  4.3      1,540  0.5     310,022
                                                NON U.S.               3,687  1.2        540  0.2
                                                           ----    --------- ----  --------- ----
                                                              6       17,135  5.5      2,080  0.7

12/04/12 CBT U.S. TREASURY BONDS                U.S.                     546  0.1      2,991  0.5     654,492
                                                NON U.S.               2,160  0.3     12,846  2.0
                                                           ----    --------- ----  --------- ----
                                                              9        2,706  0.4     15,837  2.4

12/04/12 NYME GULF # 6 FUEL 3.0% SULFUR SWAP    U.S.                   2,217  5.8        400  1.0      38,193
                                                NON U.S.                 301  0.8         78  0.2
                                                           ----    --------- ----  --------- ----
                                                              5        2,518  6.6        478  1.3

12/04/12 NYME MINI EUR 3.5%FOIL RTD CAL SWAP    U.S.                   3,045 38.8        452  5.8       7,851
                                                NON U.S.               1,156 14.7        269  3.4
                                                           ----    --------- ----  --------- ----
                                                              5        4,201 53.5        721  9.2

12/04/12 NYME NO. 2 HEATING OIL, N.Y. HARBOR    U.S.                  14,445  4.9      1,572  0.5     292,708
                                                NON U.S.               3,665  1.3         24  0.0
                                                           ----    --------- ----  --------- ----
                                                              6       18,110  6.2      1,596  0.5

12/04/12 NYME GULF COAST ULSD SWAP              U.S.                   1,238  6.4      1,735  8.9      19,396
                                                NON U.S.                 365  1.9        233  1.2
                                                           ----    --------- ----  --------- ----
                                                              5        1,603  8.3      1,968 10.1

12/04/12 NYME UP DOWN GC ULSD VS HO SPR SWAP    U.S.                   1,536  4.4        320  0.9      34,901
                                                NON U.S.                 788  2.3          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              5        2,324  6.7        320  0.9

12/04/12 IFED NATURAL GAS ICE HENRY HUB         U.S.                  95,879  1.9    543,414 11.0   4,943,671
                                                NON U.S.              38,761  0.8    466,923  9.4
                                                           ----    --------- ----  --------- ----
                                                             10      134,640  2.7  1,010,337 20.4

12/04/12 IFED NATURAL GAS PENULTIMATE ICE       U.S.                 133,238 15.2     81,704  9.3     876,560
                                                NON U.S.              15,656  1.8      9,329  1.1
                                                           ----    --------- ----  --------- ----
                                                              5      148,894 17.0     91,033 10.4

12/04/12 IFED NWP ROCKIES FIN BASIS             U.S.                     866  0.4      9,478  4.2     225,502
                                                NON U.S.               5,194  2.3     23,603 10.5
                                                           ----    --------- ----  --------- ----
                                                              7        6,060  2.7     33,081 14.7

12/04/12 IFED AECO FIN BASIS                    U.S.                   1,961  0.3        247  0.0     699,355
                                                NON U.S.              43,040  6.2    233,002 33.3
                                                           ----    --------- ----  --------- ----
                                                              8       45,001  6.4    233,249 33.4

12/04/12 IFED HSC FIN BASIS                     U.S.                       0  0.0      9,785  3.8     255,418
                                                NON U.S.                   0  0.0     15,047  5.9
                                                           ----    --------- ----  --------- ----
                                                              5            0  0.0     24,832  9.7

12/04/12 IFED NORTHWEST PIPELINE CORP. - CANADIAN BORDER (BASIS SWAP)
                                                U.S.                       0  0.0          0  0.0      67,654
                                                NON U.S.               5,690  8.4         31  0.0
                                                           ----    --------- ----  --------- ----
                                                              5        5,690  8.4         31  0.0

12/04/12 NYME NATURAL GAS                       U.S.                  31,504  2.7     20,291  1.8   1,152,312
                                                NON U.S.              12,156  1.1        394  0.0
                                                           ----    --------- ----  --------- ----
                                                              9       43,660  3.8     20,685  1.8

12/04/12 NYME HENRY HUB LAST DAY FIN            U.S.                   4,766  3.7      6,783  5.3     127,858
                                                NON U.S.                 540  0.4        943  0.7
                                                           ----    --------- ----  --------- ----
                                                              5        5,306  4.1      7,726  6.0

12/04/12 CBT SOYBEAN MEAL                       U.S.                   5,515  2.5      3,320  1.5     216,689
                                                NON U.S.               7,037  3.2      1,848  0.9
                                                           ----    --------- ----  --------- ----
                                                              6       12,552  5.8      5,168  2.4

12/04/12 ICUS COTTON NO. 2                      U.S.                  10,978  6.8          2  0.0     160,987
                                                NON U.S.               4,905  3.0      1,960  1.2
                                                           ----    --------- ----  --------- ----
                                                             10       15,883  9.9      1,962  1.2

12/04/12 NYME HENRY HUB SWAP                    U.S.                  94,597  3.9    240,204  9.8   2,448,687
                                                NON U.S.              20,068  0.8    185,798  7.6
                                                           ----    --------- ----  --------- ----
                                                              9      114,665  4.7    426,002 17.4

12/04/12 NYME HENRY HUB PENULTIMATE GAS SWAP    U.S.                  64,708  6.8     35,575  3.8     948,345
                                                NON U.S.              54,195  5.7      8,047  0.8
                                                           ----    --------- ----  --------- ----
                                                              9      118,903 12.5     43,622  4.6

12/04/12 CBT 2-YEAR U.S. TREASURY NOTES         U.S.          6       50,804  5.1      7,686  0.8     996,272
                                                NON U.S.     15       27,499  2.8     26,273  2.6
                                                           ----    --------- ----  --------- ----
                                                             21       78,303  7.9     33,959  3.4

12/04/12 CBT 10-YEAR U.S. TREASURY NOTES        U.S.          6       20,971  1.2     35,221  2.1   1,701,606
                                                NON U.S.     16       40,620  2.4     25,398  1.5
                                                           ----    --------- ----  --------- ----
                                                             22       61,591  3.6     60,619  3.6

12/04/12 CBT 5-YEAR U.S. TREASURY NOTES         U.S.          6       70,059  4.6      7,939  0.5   1,521,475
                                                NON U.S.     11      110,442  7.3     56,133  3.7
                                                           ----    --------- ----  --------- ----
                                                             17      180,501 11.9     64,072  4.2

12/04/12 CBT 30-DAY FEDERAL FUNDS               U.S.          6       20,301  6.1     22,777  6.9     330,886
                                                NON U.S.     10       22,180  6.7     23,281  7.0
                                                           ----    --------- ----  --------- ----
                                                             16       42,481 12.8     46,058 13.9

12/04/12 CME LEAN HOGS                          U.S.                   7,469  3.0         68  0.0     251,870
                                                NON U.S.               4,223  1.7        310  0.1
                                                           ----    --------- ----  --------- ----
                                                              6       11,692  4.6        378  0.2

12/04/12 CME LIVE CATTLE                        U.S.                   9,548  2.8        194  0.1     341,044
                                                NON U.S.               4,423  1.3        241  0.1
                                                           ----    --------- ----  --------- ----
                                                              7       13,971  4.1        435  0.1

12/04/12 NYME CRUDE OIL, LIGHT SWEET            U.S.                  49,956  3.2    123,946  8.0   1,549,067
                                                NON U.S.              29,166  1.9    157,946 10.2
                                                           ----    --------- ----  --------- ----
                                                             18       79,122  5.1    281,892 18.2

12/04/12 NYME WTI CRUDE OIL CALENDAR SWAP       U.S.                  11,997  7.1     35,986 21.4     167,800
                                                NON U.S.              17,118 10.2     28,271 16.8
                                                           ----    --------- ----  --------- ----
                                                             14       29,115 17.4     64,257 38.3

12/04/12 NYME WTI-BRENT CALENDAR SWAP           U.S.                   2,205  4.4      2,416  4.8      49,929
                                                NON U.S.               2,158  4.3      4,192  8.4
                                                           ----    --------- ----  --------- ----
                                                              8        4,363  8.7      6,608 13.2

12/04/12 NYME DATED TO FRONTLINE BRENT SWAP     U.S.                     500  7.2        950 13.7       6,916
                                                NON U.S.                 224  3.2      2,455 35.5
                                                           ----    --------- ----  --------- ----
                                                              6          724 10.5      3,405 49.2

12/04/12 NYME BRENT (ICE) CALENDAR SWAP         U.S.                   3,894  7.4      4,975  9.5      52,437
                                                NON U.S.               8,976 17.1      3,648  7.0
                                                           ----    --------- ----  --------- ----
                                                             11       12,870 24.5      8,623 16.4

12/04/12 ICUS COCOA                             U.S.                   2,385  1.2         90  0.0     201,382
                                                NON U.S.               2,068  1.0     11,470  5.7
                                                           ----    --------- ----  --------- ----
                                                              7        4,453  2.2     11,560  5.7

12/04/12 NYME PALLADIUM                         U.S.                      59  0.3      5,616 24.2      23,194
                                                NON U.S.                 815  3.5      3,336 14.4
                                                           ----    --------- ----  --------- ----
                                                             14          874  3.8      8,952 38.6

12/04/12 NYME PLATINUM                          U.S.                      50  0.1     18,240 29.8      61,309
                                                NON U.S.               1,571  2.6      6,751 11.0
                                                           ----    --------- ----  --------- ----
                                                             17        1,621  2.6     24,991 40.8

12/04/12 ICUS SUGAR NO. 11                      U.S.                  30,969  4.1      2,332  0.3     759,782
                                                NON U.S.              13,259  1.7     12,204  1.6
                                                           ----    --------- ----  --------- ----
                                                             11       44,228  5.8     14,536  1.9

12/04/12 ICUS COFFEE C                          U.S.                   5,219  3.7         15  0.0     139,259
                                                NON U.S.               2,638  1.9      1,618  1.2
                                                           ----    --------- ----  --------- ----
                                                             13        7,857  5.6      1,633  1.2

12/04/12 CMX SILVER                             U.S.                     625  0.4     40,198 28.4     141,738
                                                NON U.S.              13,928  9.8     32,127 22.7
                                                           ----    --------- ----  --------- ----
                                                             18       14,553 10.3     72,325 51.0

12/04/12 CMX COPPER-GRADE #1                    U.S.                  15,029 10.4      1,372  1.0     143,993
                                                NON U.S.               2,058  1.4        753  0.5
                                                           ----    --------- ----  --------- ----
                                                             10       17,087 11.9      2,125  1.5

12/04/12 CMX GOLD                               U.S.          5       37,790  8.7    144,183 33.2     434,416
                                                NON U.S.     19       35,326  8.1     80,033 18.4
                                                           ----    --------- ----  --------- ----
                                                             24       73,116 16.8    224,216 51.6

12/04/12 CME RUSSIAN RUBLE                      U.S.                   7,545  9.5      4,257  5.4      79,396
                                                NON U.S.              41,444 52.2     44,931 56.6
                                                           ----    --------- ----  --------- ----
                                                             10       48,989 61.7     49,188 62.0

12/04/12 CME CANADIAN DOLLAR                    U.S.                   3,954  2.4     18,992 11.3     167,343
                                                NON U.S.                 321  0.2     10,089  6.0
                                                           ----    --------- ----  --------- ----
                                                              7        4,275  2.6     29,081 17.4

12/04/12 CME SWISS FRANC                        U.S.                   2,505  5.6      4,170  9.3      44,798
                                                NON U.S.                 407  0.9      7,778 17.4
                                                           ----    --------- ----  --------- ----
                                                              6        2,912  6.5     11,948 26.7

12/04/12 CME MEXICAN PESO                       U.S.                       0  0.0      6,323  3.3     190,751
                                                NON U.S.              27,464 14.4      2,600  1.4
                                                           ----    --------- ----  --------- ----
                                                              6       27,464 14.4      8,923  4.7

12/04/12 CME BRITISH POUND STERLING             U.S.          4        1,361  0.8     28,776 16.1     178,749
                                                NON U.S.      5            0  0.0      8,159  4.6
                                                           ----    --------- ----  --------- ----
                                                              9        1,361  0.8     36,935 20.7

12/04/12 CME JAPANESE YEN                       U.S.          5       16,108  7.3     18,625  8.4     220,982
                                                NON U.S.      6        4,432  2.0      2,054  0.9
                                                           ----    --------- ----  --------- ----
                                                             11       20,540  9.3     20,679  9.4

12/04/12 CME EURO FX                            U.S.          5       14,572  6.7      4,566  2.1     217,546
                                                NON U.S.     14       16,264  7.5      6,178  2.8
                                                           ----    --------- ----  --------- ----
                                                             19       30,836 14.2     10,744  4.9

12/04/12 CME BRAZILIAN REAL                     U.S.                  12,333 36.1      1,060  3.1      34,124
                                                NON U.S.                 230  0.7     30,172 88.4
                                                           ----    --------- ----  --------- ----
                                                              6       12,563 36.8     31,232 91.5

12/04/12 NYME GASOLINE BLENDSTOCK (RBOB)        U.S.                   6,383  2.3      3,811  1.4     273,735
                                                NON U.S.               2,181  0.8        965  0.4
                                                           ----    --------- ----  --------- ----
                                                              8        8,564  3.1      4,776  1.7

12/04/12 NYME RBOB CALENDAR SWAP                U.S.                     218  1.8        464  3.9      11,865
                                                NON U.S.                 243  2.0          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              5          461  3.9        464  3.9

12/04/12 E VIX FUTURES                          U.S.                   6,429  1.6          0  0.0     396,131
                                                NON U.S.               3,199  0.8      1,904  0.5
                                                           ----    --------- ----  --------- ----
                                                              5        9,628  2.4      1,904  0.5

12/04/12 CBT DOW JONES INDUSTRIAL AVG- x $5     U.S.                   6,057  6.4          0  0.0      95,359
                                                NON U.S.                 550  0.6     12,338 12.9
                                                           ----    --------- ----  --------- ----
                                                              7        6,607  6.9     12,338 12.9

12/04/12 CME 3-MONTH EURODOLLARS                U.S.         10      739,102  8.6    697,155  8.1   8,613,991
                                                NON U.S.     31      321,415  3.7    905,355 10.5
                                                           ----    --------- ----  --------- ----
                                                             41    1,060,517 12.3  1,602,510 18.6

12/04/12 CME S&P 500 STOCK INDEX                U.S.                   1,585  0.7          0  0.0     220,584
                                                NON U.S.               2,736  1.2      1,182  0.5
                                                           ----    --------- ----  --------- ----
                                                              5        4,321  2.0      1,182  0.5

12/04/12 CME E-MINI S&P 500 STOCK INDEX         U.S.          4       50,162  1.6     15,580  0.5   3,156,565
                                                NON U.S.     26       48,496  1.5     46,899  1.5
                                                           ----    --------- ----  --------- ----
                                                             30       98,658  3.1     62,479  2.0

12/04/12 CME NASDAQ-100 STOCK INDEX (MINI)      U.S.                   1,222  0.3          0  0.0     388,338
                                                NON U.S.               3,588  0.9      1,915  0.5
                                                           ----    --------- ----  --------- ----
                                                             13        4,810  1.2      1,915  0.5

12/04/12 CME AUSTRALIAN DOLLAR                  U.S.          5       17,107  8.1      6,154  2.9     212,072
                                                NON U.S.      4        1,929  0.9      7,963  3.8
                                                           ----    --------- ----  --------- ----
                                                              9       19,036  9.0     14,117  6.7

12/04/12 ICUS RUSSELL 2000 MINI INDEX FUTURE    U.S.          4        1,626  0.4      2,638  0.7     379,344
                                                NON U.S.      4        2,300  0.6        397  0.1
                                                           ----    --------- ----  --------- ----
                                                              8        3,926  1.0      3,035  0.8

12/04/12 CME NIKKEI STOCK AVERAGE YEN DENOM     U.S.                       0  0.0          0  0.0      54,593
                                                NON U.S.               3,192  5.8      5,198  9.5
                                                           ----    --------- ----  --------- ----
                                                              7        3,192  5.8      5,198  9.5

12/04/12 NYL MSCI EMERGING MKTS MINI INDEX      U.S.                       0  0.0          0  0.0     132,349
                                                NON U.S.               5,213  3.9      6,091  4.6
                                                           ----    --------- ----  --------- ----
                                                             12        5,213  3.9      6,091  4.6

12/04/12 NYME 3.5% FUEL OIL RDAM CRACK SPR      U.S.                   1,041  1.7        771  1.2      62,889
                                                NON U.S.               4,179  6.6      2,292  3.6
                                                           ----    --------- ----  --------- ----
                                                              8        5,220  8.3      3,063  4.9

12/04/12 NYME HEAT OIL CRACK SPRD CAL SWAP      U.S.                     200  1.7        255  2.2      11,751
                                                NON U.S.               1,464 12.5          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              5        1,664 14.2        255  2.2

12/04/12 NYME GASOIL CRACK SPR SWAP             U.S.                     468  2.7        284  1.6      17,582
                                                NON U.S.                 626  3.6        125  0.7
                                                           ----    --------- ----  --------- ----
                                                              7        1,094  6.2        409  2.3