BANK PARTICIPATION IN FUTURES MARKETS

(IN CONTRACTS)



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

07/03/12 CBT WHEAT                              U.S.                  14,487  3.4      4,337  1.0     423,551
                                                NON U.S.              12,083  2.9      5,531  1.3
                                                           ----    --------- ----  --------- ----
                                                             11       26,570  6.3      9,868  2.3

07/03/12 KCBT WHEAT                             U.S.                   2,828  1.9         84  0.1     145,874
                                                NON U.S.               2,058  1.4        607  0.4
                                                           ----    --------- ----  --------- ----
                                                              6        4,886  3.3        691  0.5

07/03/12 CBT CORN                               U.S.                  30,398  2.9      4,644  0.4   1,036,438
                                                NON U.S.              17,814  1.7      2,045  0.2
                                                           ----    --------- ----  --------- ----
                                                             11       48,212  4.7      6,689  0.6

07/03/12 CBT SOYBEANS                           U.S.                  12,070  1.6     27,329  3.5     775,157
                                                NON U.S.               3,844  0.5      2,255  0.3
                                                           ----    --------- ----  --------- ----
                                                              9       15,914  2.1     29,584  3.8

07/03/12 CBT SOYBEAN OIL                        U.S.                  14,973  4.4      4,544  1.3     337,964
                                                NON U.S.               4,626  1.4        637  0.2
                                                           ----    --------- ----  --------- ----
                                                              5       19,599  5.8      5,181  1.5

07/03/12 CBT U.S. TREASURY BONDS                U.S.          5        1,189  0.2      4,514  0.7     626,502
                                                NON U.S.      5        5,705  0.9      7,238  1.2
                                                           ----    --------- ----  --------- ----
                                                             10        6,894  1.1     11,752  1.9

07/03/12 NYME MINI EUR 3.5%FOIL RTD CAL SWAP    U.S.                       0  0.0      1,467 24.8       5,904
                                                NON U.S.                 123  2.1        813 13.8
                                                           ----    --------- ----  --------- ----
                                                              5          123  2.1      2,280 38.6

07/03/12 NYME NO. 2 HEATING OIL, N.Y. HARBOR    U.S.                  19,853  6.3      2,369  0.8     315,102
                                                NON U.S.               5,342  1.7         76  0.0
                                                           ----    --------- ----  --------- ----
                                                              7       25,195  8.0      2,445  0.8

07/03/12 NYME GASOIL (ICE) MINI CAL SWAP        U.S.                     408 18.5         15  0.7       2,209
                                                NON U.S.                 504 22.8        138  6.2
                                                           ----    --------- ----  --------- ----
                                                              5          912 41.3        153  6.9

07/03/12 NYME NATURAL GAS                       U.S.                  30,772  2.8     21,316  1.9   1,115,630
                                                NON U.S.              23,927  2.1      1,160  0.1
                                                           ----    --------- ----  --------- ----
                                                              8       54,699  4.9     22,476  2.0

07/03/12 CBT SOYBEAN MEAL                       U.S.                   8,058  3.0        846  0.3     266,531
                                                NON U.S.               1,130  0.4        245  0.1
                                                           ----    --------- ----  --------- ----
                                                              5        9,188  3.4      1,091  0.4

07/03/12 ICUS COTTON NO. 2                      U.S.                   7,430  4.5         14  0.0     165,480
                                                NON U.S.               3,930  2.4        291  0.2
                                                           ----    --------- ----  --------- ----
                                                             10       11,360  6.9        305  0.2

07/03/12 NYME NW PIPE ROCKIES BASIS SWAP        U.S.                     308  0.7      2,494  5.5      45,379
                                                NON U.S.               3,847  8.5          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              5        4,155  9.2      2,494  5.5

07/03/12 NYME HENRY HUB SWAP                    U.S.                 100,944  3.8    246,709  9.2   2,676,744
                                                NON U.S.              17,488  0.7    190,044  7.1
                                                           ----    --------- ----  --------- ----
                                                              8      118,432  4.4    436,753 16.3

07/03/12 NYME HENRY HUB PENULTIMATE GAS SWAP    U.S.                  83,729  6.5     41,740  3.2   1,297,321
                                                NON U.S.              43,299  3.3     14,288  1.1
                                                           ----    --------- ----  --------- ----
                                                              9      127,028  9.8     56,028  4.3

07/03/12 CBT 2-YEAR U.S. TREASURY NOTES         U.S.          4       21,587  2.7      4,980  0.6     795,701
                                                NON U.S.     10       22,253  2.8      6,060  0.8
                                                           ----    --------- ----  --------- ----
                                                             14       43,840  5.5     11,040  1.4

07/03/12 CBT 10-YEAR U.S. TREASURY NOTES        U.S.          7       24,369  1.4     50,154  2.8   1,770,490
                                                NON U.S.     19       46,117  2.6     35,355  2.0
                                                           ----    --------- ----  --------- ----
                                                             26       70,486  4.0     85,509  4.8

07/03/12 CBT 5-YEAR U.S. TREASURY NOTES         U.S.          4       52,403  4.6     10,462  0.9   1,138,496
                                                NON U.S.      9        8,180  0.7     23,937  2.1
                                                           ----    --------- ----  --------- ----
                                                             13       60,583  5.3     34,399  3.0

07/03/12 CBT 30-DAY FEDERAL FUNDS               U.S.          7       24,742  5.1     37,003  7.6     485,980
                                                NON U.S.     11       32,092  6.6     43,470  8.9
                                                           ----    --------- ----  --------- ----
                                                             18       56,834 11.7     80,473 16.6

07/03/12 CME LEAN HOGS                          U.S.                   8,423  3.3          0  0.0     253,306
                                                NON U.S.               3,181  1.3      1,159  0.5
                                                           ----    --------- ----  --------- ----
                                                              5       11,604  4.6      1,159  0.5

07/03/12 CME LIVE CATTLE                        U.S.                   8,979  2.9        100  0.0     314,169
                                                NON U.S.               3,666  1.2        802  0.3
                                                           ----    --------- ----  --------- ----
                                                              5       12,645  4.0        902  0.3

07/03/12 NYME CRUDE OIL, LIGHT SWEET            U.S.                  71,188  5.0    110,024  7.7   1,432,999
                                                NON U.S.              29,851  2.1    143,762 10.0
                                                           ----    --------- ----  --------- ----
                                                             17      101,039  7.1    253,786 17.7

07/03/12 NYME WTI CRUDE OIL CALENDAR SWAP       U.S.                  14,309  7.4     34,586 18.0     192,464
                                                NON U.S.              15,251  7.9     33,529 17.4
                                                           ----    --------- ----  --------- ----
                                                             13       29,560 15.4     68,115 35.4

07/03/12 NYME WTI CRUDE OIL FINANCIAL           U.S.                   9,601 10.9     16,549 18.8      87,834
                                                NON U.S.               5,221  5.9      4,785  5.4
                                                           ----    --------- ----  --------- ----
                                                              7       14,822 16.9     21,334 24.3

07/03/12 NYME WTI-BRENT CALENDAR SWAP           U.S.                   2,265  4.6      2,745  5.6      48,789
                                                NON U.S.               2,783  5.7      4,372  9.0
                                                           ----    --------- ----  --------- ----
                                                              8        5,048 10.3      7,117 14.6

07/03/12 NYME BRENT (ICE) CALENDAR SWAP         U.S.                   6,471 10.5      2,966  4.8      61,905
                                                NON U.S.               9,112 14.7      3,364  5.4
                                                           ----    --------- ----  --------- ----
                                                             10       15,583 25.2      6,330 10.2

07/03/12 ICUS COCOA                             U.S.                     556  0.3         11  0.0     179,152
                                                NON U.S.               2,509  1.4     13,032  7.3
                                                           ----    --------- ----  --------- ----
                                                              6        3,065  1.7     13,043  7.3

07/03/12 NYME PALLADIUM                         U.S.                     822  3.7      3,244 14.8      21,977
                                                NON U.S.               1,172  5.3      1,999  9.1
                                                           ----    --------- ----  --------- ----
                                                             15        1,994  9.1      5,243 23.9

07/03/12 NYME PLATINUM                          U.S.          4          223  0.5      7,095 14.4      49,442
                                                NON U.S.     10        1,543  3.1      5,964 12.1
                                                           ----    --------- ----  --------- ----
                                                             14        1,766  3.6     13,059 26.4

07/03/12 ICUS SUGAR NO. 11                      U.S.                  12,634  1.9      5,346  0.8     678,681
                                                NON U.S.              12,213  1.8     11,851  1.7
                                                           ----    --------- ----  --------- ----
                                                             11       24,847  3.7     17,197  2.5

07/03/12 ICUS COFFEE C                          U.S.                   2,191  1.6        254  0.2     137,944
                                                NON U.S.               1,537  1.1      2,288  1.7
                                                           ----    --------- ----  --------- ----
                                                              9        3,728  2.7      2,542  1.8

07/03/12 CMX SILVER                             U.S.          4        8,389  6.9     26,661 21.8     122,128
                                                NON U.S.     11        5,263  4.3      4,359  3.6
                                                           ----    --------- ----  --------- ----
                                                             15       13,652 11.2     31,020 25.4

07/03/12 CMX COPPER-GRADE #1                    U.S.                  13,421  9.9        918  0.7     135,682
                                                NON U.S.                 678  0.5      1,191  0.9
                                                           ----    --------- ----  --------- ----
                                                              9       14,099 10.4      2,109  1.6

07/03/12 CMX GOLD                               U.S.          4       33,496  7.9    109,391 25.7     425,068
                                                NON U.S.     18        8,530  2.0     58,479 13.8
                                                           ----    --------- ----  --------- ----
                                                             22       42,026  9.9    167,870 39.5

07/03/12 CME RUSSIAN RUBLE                      U.S.                   7,278  7.0      3,087  3.0     104,539
                                                NON U.S.              67,526 64.6     69,477 66.5
                                                           ----    --------- ----  --------- ----
                                                              9       74,804 71.6     72,564 69.4

07/03/12 CME CANADIAN DOLLAR                    U.S.                     441  0.5      1,080  1.2      93,160
                                                NON U.S.                 248  0.3      1,878  2.0
                                                           ----    --------- ----  --------- ----
                                                              6          689  0.7      2,958  3.2

07/03/12 CME BRITISH POUND STERLING             U.S.                  10,325  9.5          0  0.0     108,208
                                                NON U.S.               1,713  1.6        928  0.9
                                                           ----    --------- ----  --------- ----
                                                              6       12,038 11.1        928  0.9

07/03/12 CME JAPANESE YEN                       U.S.                     979  0.8     16,666 14.2     117,403
                                                NON U.S.               2,356  2.0        400  0.3
                                                           ----    --------- ----  --------- ----
                                                              5        3,335  2.8     17,066 14.5

07/03/12 CME EURO FX                            U.S.          4       56,044 18.5        256  0.1     302,289
                                                NON U.S.     10       32,386 10.7      2,033  0.7
                                                           ----    --------- ----  --------- ----
                                                             14       88,430 29.3      2,289  0.8

07/03/12 CME BRAZILIAN REAL                     U.S.                     910  5.1          0  0.0      17,905
                                                NON U.S.                 290  1.6     14,069 78.6
                                                           ----    --------- ----  --------- ----
                                                              5        1,200  6.7     14,069 78.6

07/03/12 NYME GASOLINE BLENDSTOCK (RBOB)        U.S.                   6,900  2.7      5,702  2.2     253,521
                                                NON U.S.               1,516  0.6      1,133  0.4
                                                           ----    --------- ----  --------- ----
                                                              7        8,416  3.3      6,835  2.7

07/03/12 E VIX FUTURES                          U.S.                       0  0.0     13,207  3.9     334,634
                                                NON U.S.               2,119  0.6      1,543  0.5
                                                           ----    --------- ----  --------- ----
                                                              5        2,119  0.6     14,750  4.4

07/03/12 CBT DOW JONES INDUSTRIAL AVG- x $5     U.S.                   6,139  6.8          0  0.0      90,905
                                                NON U.S.                 217  0.2     16,994 18.7
                                                           ----    --------- ----  --------- ----
                                                              6        6,356  7.0     16,994 18.7

07/03/12 CME 3-MONTH EURODOLLARS                U.S.         11      889,528 11.4    654,301  8.4   7,827,764
                                                NON U.S.     32      252,669  3.2    609,669  7.8
                                                           ----    --------- ----  --------- ----
                                                             43    1,142,197 14.6  1,263,970 16.1

07/03/12 CME S&P 500 STOCK INDEX                U.S.                   3,263  1.4         62  0.0     227,230
                                                NON U.S.               5,015  2.2     10,093  4.4
                                                           ----    --------- ----  --------- ----
                                                              9        8,278  3.6     10,155  4.5

07/03/12 CME E-MINI S&P 500 STOCK INDEX         U.S.          6       43,554  1.6     10,852  0.4   2,730,453
                                                NON U.S.     27       37,071  1.4     65,027  2.4
                                                           ----    --------- ----  --------- ----
                                                             33       80,625  3.0     75,879  2.8

07/03/12 CME NASDAQ-100 STOCK INDEX (MINI)      U.S.                     701  0.2        397  0.1     353,795
                                                NON U.S.               8,936  2.5     16,010  4.5
                                                           ----    --------- ----  --------- ----
                                                             12        9,637  2.7     16,407  4.6

07/03/12 ICUS RUSSELL 2000 MINI INDEX FUTURE    U.S.          4        3,256  0.7      3,426  0.8     440,281
                                                NON U.S.      4        1,175  0.3      1,027  0.2
                                                           ----    --------- ----  --------- ----
                                                              8        4,431  1.0      4,453  1.0

07/03/12 CME NIKKEI STOCK AVERAGE YEN DENOM     U.S.                       0  0.0          0  0.0      36,247
                                                NON U.S.               2,874  7.9      2,176  6.0
                                                           ----    --------- ----  --------- ----
                                                              8        2,874  7.9      2,176  6.0

07/03/12 NYL MSCI EMERGING MKTS MINI INDEX      U.S.                       0  0.0        124  0.1     113,521
                                                NON U.S.               5,388  4.7      4,343  3.8
                                                           ----    --------- ----  --------- ----
                                                             13        5,388  4.7      4,467  3.9

07/03/12 NYME 3.5% FUEL OIL RDAM CRACK SPR      U.S.                     796  2.2        669  1.8      36,418
                                                NON U.S.               2,086  5.7      1,541  4.2
                                                           ----    --------- ----  --------- ----
                                                              8        2,882  7.9      2,210  6.1

07/03/12 NYME HEAT OIL CRACK SPRD CAL SWAP      U.S.                     690  4.7        915  6.3      14,621
                                                NON U.S.               1,289  8.8          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              7        1,979 13.5        915  6.3

07/03/12 NYME GASOIL CRACK SPR SWAP             U.S.                     306  1.1      1,731  6.0      28,847
                                                NON U.S.                 726  2.5        250  0.9
                                                           ----    --------- ----  --------- ----
                                                              6        1,032  3.6      1,981  6.9