BANK PARTICIPATION IN FUTURES MARKETS

(IN CONTRACTS)



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

02/07/12 CBT WHEAT                              U.S.                  20,307  4.4      2,011  0.4     458,559
                                                NON U.S.              14,284  3.1      5,125  1.1
                                                           ----    --------- ----  --------- ----
                                                             11       34,591  7.5      7,136  1.6

02/07/12 CBT CORN                               U.S.                  35,592  2.8     12,849  1.0   1,278,749
                                                NON U.S.              18,119  1.4      4,006  0.3
                                                           ----    --------- ----  --------- ----
                                                             10       53,711  4.2     16,855  1.3

02/07/12 CBT SOYBEANS                           U.S.                  16,838  3.3      8,898  1.7     515,753
                                                NON U.S.              13,930  2.7      6,656  1.3
                                                           ----    --------- ----  --------- ----
                                                             10       30,768  6.0     15,554  3.0

02/07/12 CBT SOYBEAN OIL                        U.S.                  12,540  4.0        341  0.1     315,496
                                                NON U.S.               4,080  1.3      1,037  0.3
                                                           ----    --------- ----  --------- ----
                                                              5       16,620  5.3      1,378  0.4

02/07/12 CBT U.S. TREASURY BONDS                U.S.                     942  0.2      4,144  0.7     621,121
                                                NON U.S.               5,239  0.8      4,015  0.6
                                                           ----    --------- ----  --------- ----
                                                              9        6,181  1.0      8,159  1.3

02/07/12 NYME NO. 2 HEATING OIL, N.Y. HARBOR    U.S.                  14,962  5.2        541  0.2     285,107
                                                NON U.S.               1,019  0.4        872  0.3
                                                           ----    --------- ----  --------- ----
                                                              5       15,981  5.6      1,413  0.5

02/07/12 NYME GASOIL (ICE) MINI CAL SWAP        U.S.                     873 34.0          0  0.0       2,566
                                                NON U.S.                   0  0.0        832 32.4
                                                           ----    --------- ----  --------- ----
                                                              5          873 34.0        832 32.4

02/07/12 NYME NATURAL GAS                       U.S.                  29,808  2.4     17,542  1.4   1,256,019
                                                NON U.S.              29,222  2.3      1,486  0.1
                                                           ----    --------- ----  --------- ----
                                                              9       59,030  4.7     19,028  1.5

02/07/12 CBT SOYBEAN MEAL                       U.S.                   4,314  2.3      2,420  1.3     188,968
                                                NON U.S.               1,290  0.7         74  0.0
                                                           ----    --------- ----  --------- ----
                                                              5        5,604  3.0      2,494  1.3

02/07/12 ICUS COTTON NO. 2                      U.S.                   5,408  2.9      3,130  1.7     189,435
                                                NON U.S.               3,947  2.1      5,339  2.8
                                                           ----    --------- ----  --------- ----
                                                             11        9,355  4.9      8,469  4.5

02/07/12 NYME HOUSTON SHIP CH BASIS SWAP        U.S.                       0  0.0      5,821 11.9      49,009
                                                NON U.S.                 400  0.8      6,786 13.8
                                                           ----    --------- ----  --------- ----
                                                              5          400  0.8     12,607 25.7

02/07/12 NYME NW PIPE ROCKIES BASIS SWAP        U.S.                     608  1.2      3,044  6.0      50,514
                                                NON U.S.               2,911  5.8         93  0.2
                                                           ----    --------- ----  --------- ----
                                                              5        3,519  7.0      3,137  6.2

02/07/12 NYME PANHANDLE BASIS SWAP              U.S.                  10,944 13.6      5,147  6.4      80,710
                                                NON U.S.                   0  0.0      6,548  8.1
                                                           ----    --------- ----  --------- ----
                                                              5       10,944 13.6     11,695 14.5

02/07/12 NYME HENRY HUB SWAP                    U.S.                  99,981  3.5    209,207  7.3   2,848,241
                                                NON U.S.               6,364  0.2    142,132  5.0
                                                           ----    --------- ----  --------- ----
                                                              9      106,345  3.7    351,339 12.3

02/07/12 NYME HENRY HUB PENULTIMATE GAS SWAP    U.S.                 101,181  7.5     46,439  3.5   1,345,386
                                                NON U.S.              29,739  2.2     11,031  0.8
                                                           ----    --------- ----  --------- ----
                                                              8      130,920  9.7     57,470  4.3

02/07/12 CBT ROUGH RICE                         U.S.                     195  1.3          0  0.0      15,373
                                                NON U.S.                 842  5.5        600  3.9
                                                           ----    --------- ----  --------- ----
                                                              5        1,037  6.7        600  3.9

02/07/12 CBT 2-YEAR U.S. TREASURY NOTES         U.S.          6       53,876  5.8     25,655  2.8     926,616
                                                NON U.S.      5        1,540  0.2      7,064  0.8
                                                           ----    --------- ----  --------- ----
                                                             11       55,416  6.0     32,719  3.5

02/07/12 CBT 10-YEAR U.S. TREASURY NOTES        U.S.          8       19,151  1.1     32,338  1.8   1,792,717
                                                NON U.S.     19       55,327  3.1     32,894  1.8
                                                           ----    --------- ----  --------- ----
                                                             27       74,478  4.2     65,232  3.6

02/07/12 CBT 5-YEAR U.S. TREASURY NOTES         U.S.          6       49,844  3.4     37,841  2.6   1,464,817
                                                NON U.S.     13       14,649  1.0     34,139  2.3
                                                           ----    --------- ----  --------- ----
                                                             19       64,493  4.4     71,980  4.9

02/07/12 CBT 30-DAY FEDERAL FUNDS               U.S.          6       49,219  9.6     63,668 12.5     510,111
                                                NON U.S.     11       35,334  6.9     50,747  9.9
                                                           ----    --------- ----  --------- ----
                                                             17       84,553 16.6    114,415 22.4

02/07/12 CME LEAN HOGS                          U.S.                   6,753  2.7        194  0.1     254,310
                                                NON U.S.               3,693  1.5        712  0.3
                                                           ----    --------- ----  --------- ----
                                                              5       10,446  4.1        906  0.4

02/07/12 CME LIVE CATTLE                        U.S.                   6,694  2.0        804  0.2     339,300
                                                NON U.S.               5,999  1.8        529  0.2
                                                           ----    --------- ----  --------- ----
                                                              7       12,693  3.7      1,333  0.4

02/07/12 NYME CRUDE OIL, LIGHT SWEET            U.S.                  59,942  4.0     79,281  5.3   1,484,546
                                                NON U.S.              26,909  1.8    154,959 10.4
                                                           ----    --------- ----  --------- ----
                                                             18       86,851  5.9    234,240 15.8

02/07/12 NYME WTI CRUDE OIL CALENDAR SWAP       U.S.          4       11,423  6.1     32,680 17.3     188,543
                                                NON U.S.     10       13,292  7.0     30,620 16.2
                                                           ----    --------- ----  --------- ----
                                                             14       24,715 13.1     63,300 33.6

02/07/12 NYME WTI CRUDE OIL FINANCIAL           U.S.                   2,942  4.1     10,520 14.6      72,111
                                                NON U.S.               2,103  2.9      1,967  2.7
                                                           ----    --------- ----  --------- ----
                                                              7        5,045  7.0     12,487 17.3

02/07/12 NYME WTI-BRENT CALENDAR SWAP           U.S.                   1,980  3.9      2,845  5.6      50,943
                                                NON U.S.               3,360  6.6        900  1.8
                                                           ----    --------- ----  --------- ----
                                                              6        5,340 10.5      3,745  7.4

02/07/12 NYME BRENT (ICE) CALENDAR SWAP         U.S.                   4,633  8.3      3,216  5.7      55,935
                                                NON U.S.               9,784 17.5      3,120  5.6
                                                           ----    --------- ----  --------- ----
                                                              9       14,417 25.8      6,336 11.3

02/07/12 NYME PALLADIUM                         U.S.                     558  2.7      4,034 19.3      20,900
                                                NON U.S.                 663  3.2      3,267 15.6
                                                           ----    --------- ----  --------- ----
                                                             13        1,221  5.8      7,301 34.9

02/07/12 NYME PLATINUM                          U.S.          4          259  0.6      7,035 15.8      44,584
                                                NON U.S.      9          593  1.3      7,160 16.1
                                                           ----    --------- ----  --------- ----
                                                             13          852  1.9     14,195 31.8

02/07/12 ICUS SUGAR NO. 11                      U.S.                  19,162  2.8      8,837  1.3     696,054
                                                NON U.S.               9,018  1.3     14,766  2.1
                                                           ----    --------- ----  --------- ----
                                                             12       28,180  4.0     23,603  3.4

02/07/12 ICUS COFFEE C                          U.S.                   1,501  1.1      2,159  1.6     136,418
                                                NON U.S.               1,563  1.1      3,533  2.6
                                                           ----    --------- ----  --------- ----
                                                             13        3,064  2.2      5,692  4.2

02/07/12 CMX SILVER                             U.S.          4        1,443  1.4     22,283 21.0     106,008
                                                NON U.S.     12        4,637  4.4      5,832  5.5
                                                           ----    --------- ----  --------- ----
                                                             16        6,080  5.7     28,115 26.5

02/07/12 CMX COPPER-GRADE #1                    U.S.                  11,993  7.5      1,813  1.1     160,030
                                                NON U.S.               1,679  1.0        611  0.4
                                                           ----    --------- ----  --------- ----
                                                              8       13,672  8.5      2,424  1.5

02/07/12 CMX GOLD                               U.S.          5       43,591 10.0    148,308 34.0     436,061
                                                NON U.S.     19        9,161  2.1     44,908 10.3
                                                           ----    --------- ----  --------- ----
                                                             24       52,752 12.1    193,216 44.3

02/07/12 CME RUSSIAN RUBLE                      U.S.                   9,488  7.7      2,936  2.4     123,008
                                                NON U.S.              83,162 67.6     79,358 64.5
                                                           ----    --------- ----  --------- ----
                                                              8       92,650 75.3     82,294 66.9

02/07/12 CME CANADIAN DOLLAR                    U.S.                     379  0.3      3,142  2.6     122,955
                                                NON U.S.               1,327  1.1      3,752  3.1
                                                           ----    --------- ----  --------- ----
                                                              6        1,706  1.4      6,894  5.6

02/07/12 CME MEXICAN PESO                       U.S.                       0  0.0     13,077  9.0     145,645
                                                NON U.S.              60,611 41.6     12,311  8.5
                                                           ----    --------- ----  --------- ----
                                                              6       60,611 41.6     25,388 17.4

02/07/12 CME BRITISH POUND STERLING             U.S.                  24,138 12.3        140  0.1     195,733
                                                NON U.S.                   0  0.0        247  0.1
                                                           ----    --------- ----  --------- ----
                                                              5       24,138 12.3        387  0.2

02/07/12 CME JAPANESE YEN                       U.S.          5        1,078  0.6     12,055  6.8     178,512
                                                NON U.S.      5        2,870  1.6        973  0.5
                                                           ----    --------- ----  --------- ----
                                                             10        3,948  2.2     13,028  7.3

02/07/12 CME EURO FX                            U.S.          5       61,777 21.4        937  0.3     288,657
                                                NON U.S.     13       15,298  5.3      1,794  0.6
                                                           ----    --------- ----  --------- ----
                                                             18       77,075 26.7      2,731  0.9

02/07/12 NYME GASOLINE BLENDSTOCK (RBOB)        U.S.                   7,661  2.3      4,118  1.2     332,356
                                                NON U.S.               2,130  0.6      1,839  0.6
                                                           ----    --------- ----  --------- ----
                                                              7        9,791  2.9      5,957  1.8

02/07/12 CBT DOW JONES INDUSTRIAL AVG- x $5     U.S.          5        4,792  4.4          0  0.0     109,780
                                                NON U.S.      5        2,571  2.3     15,987 14.6
                                                           ----    --------- ----  --------- ----
                                                             10        7,363  6.7     15,987 14.6

02/07/12 CME 3-MONTH EURODOLLARS                U.S.         14    1,222,716 14.8    656,528  7.9   8,287,842
                                                NON U.S.     28      335,955  4.1    535,377  6.5
                                                           ----    --------- ----  --------- ----
                                                             42    1,558,671 18.8  1,191,905 14.4

02/07/12 CME S&P 500 STOCK INDEX                U.S.                   1,887  0.7        118  0.0     253,617
                                                NON U.S.               6,258  2.5      8,006  3.2
                                                           ----    --------- ----  --------- ----
                                                              9        8,145  3.2      8,124  3.2

02/07/12 CME E-MINI S&P 500 STOCK INDEX         U.S.          7       26,115  1.0     16,774  0.6   2,724,897
                                                NON U.S.     26       41,950  1.5    125,909  4.6
                                                           ----    --------- ----  --------- ----
                                                             33       68,065  2.5    142,683  5.2

02/07/12 CME NASDAQ-100 STOCK INDEX (MINI)      U.S.                   2,252  0.6          0  0.0     385,405
                                                NON U.S.               8,682  2.3     10,684  2.8
                                                           ----    --------- ----  --------- ----
                                                             13       10,934  2.8     10,684  2.8

02/07/12 CME AUSTRALIAN DOLLAR                  U.S.                   1,695  1.1      6,301  4.2     148,879
                                                NON U.S.                 127  0.1      1,250  0.8
                                                           ----    --------- ----  --------- ----
                                                              5        1,822  1.2      7,551  5.1

02/07/12 ICUS RUSSELL 2000 MINI INDEX FUTURE    U.S.          4        1,506  0.4      7,952  2.1     386,636
                                                NON U.S.      4        3,150  0.8        203  0.1
                                                           ----    --------- ----  --------- ----
                                                              8        4,656  1.2      8,155  2.1

02/07/12 CME NIKKEI STOCK AVERAGE YEN DENOM     U.S.                       0  0.0        531  1.2      44,693
                                                NON U.S.               1,179  2.6      2,352  5.3
                                                           ----    --------- ----  --------- ----
                                                              6        1,179  2.6      2,883  6.5

02/07/12 NYL MSCI EMERGING MKTS MINI INDEX      U.S.                       0  0.0          0  0.0      76,474
                                                NON U.S.               5,339  7.0     10,013 13.1
                                                           ----    --------- ----  --------- ----
                                                             10        5,339  7.0     10,013 13.1

02/07/12 NYME 3.5% FUEL OIL RDAM CRACK SPR      U.S.                   1,282  5.5        494  2.1      23,140
                                                NON U.S.               1,040  4.5      1,243  5.4
                                                           ----    --------- ----  --------- ----
                                                              6        2,322 10.0      1,737  7.5

02/07/12 NYME HEAT OIL CRACK SPRD CAL SWAP      U.S.                   1,615  6.9      1,465  6.2      23,481
                                                NON U.S.                 790  3.4          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              6        2,405 10.2      1,465  6.2

02/07/12 NYME GASOIL CRACK SPR SWAP             U.S.                     116  0.4      1,819  6.6      27,674
                                                NON U.S.               1,146  4.1        228  0.8
                                                           ----    --------- ----  --------- ----
                                                              7        1,262  4.6      2,047  7.4