BANK PARTICIPATION IN FUTURES OPTIONS MARKETS

(IN CONTRACTS - NOT DELTA ADJUSTED)

REPORT DATE: 06/05/2012



                                          BANK     BANK        LONG            SHORT           CALL        LONG            SHORT             PUT
  COMMODITY NAME                          TYPE     COUNT       CALLS   %       CALLS   %       O. I.       PUTS    %       PUTS     %        O. I.

CBT CORN                                  U.S.                14,865  1.8     20,393  2.4    837,755      27,321  3.4     17,547   2.2    812,022
                                          NON U.S.             1,690  0.2        686  0.1                  1,300  0.2      6,555   0.8
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      6       16,555  2.0     21,079  2.5                 28,621  3.6     24,102   3.0

CBT SOYBEANS                              U.S.                 3,894  0.7      4,219  0.7    590,031       6,420  1.5      2,245   0.5    441,890
                                          NON U.S.               150  0.0      1,060  0.2                  1,715  0.4        200   0.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        4,044  0.7      5,279  0.9                  8,135  1.9      2,445   0.5

CBT U.S. TREASURY BONDS                   U.S.                11,330  3.1      7,050  1.9    369,416       8,755  4.3      6,750   3.3    205,305
                                          NON U.S.             2,300  0.6      6,318  1.7                  2,800  1.4      5,610   2.7
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      8       13,630  3.7     13,368  3.6                 11,555  5.7     12,360   6.0

NYME EUR STYLE NATURAL GAS OPTIONS        U.S.               320,984  7.6    383,090  9.0  4,248,637     196,721  6.3    164,529   5.3  3,112,904
                                          NON U.S.            35,369  0.8     49,896  1.2                 33,030  1.1     13,036   0.4
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     10      356,353  8.4    432,986 10.2                229,751  7.4    177,565   5.7

ICUS COTTON NO. 2                         U.S.                 4,185  2.0      4,999  2.4    210,809       1,835  1.2      2,230   1.5    147,802
                                          NON U.S.             1,470  0.7        385  0.2                    576  0.4        185   0.1
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      7        5,655  2.7      5,384  2.6                  2,411  1.6      2,415   1.6

CBT 2-YEAR U.S. TREASURY NOTES            U.S.                 3,000  2.6     13,950 12.1    114,876           0  0.0      5,150  25.1     20,541
                                          NON U.S.             2,000  1.7          0  0.0                  1,500  7.3          0   0.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        5,000  4.3     13,950 12.1                  1,500  7.3      5,150  25.1

CBT 10-YEAR U.S. TREASURY NOTES           U.S.        6        8,050  1.2     35,106  5.4    653,235      66,750  6.2     67,806   6.3  1,083,046
                                          NON U.S.   17       18,450  2.8     36,625  5.6                104,447  9.6    152,050  14.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     23       26,500  4.0     71,731 11.0                171,197 15.8    219,856  20.3

CBT 5-YEAR U.S. TREASURY NOTES            U.S.        5       10,670  8.4      3,500  2.8    126,349       7,000  4.4      2,500   1.6    159,586
                                          NON U.S.    4        4,000  3.2      5,950  4.7                    750  0.5      5,300   3.3
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      9       14,670 11.6      9,450  7.5                  7,750  4.9      7,800   4.9

CBT 30-DAY FEDERAL FUNDS                  U.S.                 2,000  3.3      2,000  3.3     61,395      10,000  6.7     10,000   6.7    150,224
                                          NON U.S.             1,200  2.0          0  0.0                  2,250  1.5      2,000   1.3
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        3,200  5.3      2,000  3.3                 12,250  8.2     12,000   8.0

NYME CRUDE OIL, LIGHT SWEET               U.S.               124,734  6.5    153,829  8.0  1,911,311      80,085  5.5     82,120   5.6  1,455,210
                                          NON U.S.            31,729  1.7     49,054  2.6                 42,441  2.9     26,393   1.8
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     18      156,463  8.2    202,883 10.6                122,526  8.4    108,513   7.4

NYME EUR STYLE CRUDE OIL OPTIONS          U.S.                24,211 12.4     27,422 14.0    195,870       6,722  9.7      2,197   3.2     69,382
                                          NON U.S.               550  0.3        400  0.2                    100  0.1        150   0.2
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5       24,761 12.7     27,822 14.2                  6,822  9.8      2,347   3.4

NYME CRUDE OIL AVG PRICE OPTIONS          U.S.                60,120  9.0     80,926 12.2    665,116     103,492 16.6     62,772  10.0    624,626
                                          NON U.S.            50,125  7.5     98,190 14.8                 92,788 14.9     56,384   9.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     13      110,245 16.5    179,116 27.0                196,280 31.5    119,156  19.0

NYME EUR STYLE BRENT OPTIONS              U.S.                 7,574  9.5      9,504 11.9     79,849       3,600  9.2      7,182  18.4     38,936
                                          NON U.S.               500  0.6        775  1.0                  2,585  6.6          0   0.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      6        8,074 10.1     10,279 12.9                  6,185 15.8      7,182  18.4

NYME BRENT AVG PRICE OPTIONS              U.S.                11,183  5.7     20,015 10.2    197,070      24,105 13.5     13,143   7.4    178,582
                                          NON U.S.            16,457  8.4     32,668 16.6                 16,310  9.1     17,672   9.9
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     11       27,640 14.1     52,683 26.8                 40,415 22.6     30,815  17.3

NYME PALLADIUM                            U.S.                   800 11.9        500  7.5      6,700           0  0.0          0   0.0      2,980
                                          NON U.S.               350  5.2        150  2.2                      0  0.0          0   0.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        1,150 17.1        650  9.7                      0  0.0          0   0.0

NYME PLATINUM                             U.S.                   400  4.2        300  3.2      9,417          50  1.0          0   0.0      5,059
                                          NON U.S.               200  2.1        200  2.1                      0  0.0         50   1.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5          600  6.3        500  5.3                     50  1.0         50   1.0

ICUS SUGAR NO. 11                         U.S.                 3,355  1.1      5,760  1.9    296,670       4,315  1.5      8,108   2.9    281,620
                                          NON U.S.             3,465  1.2      2,559  0.9                  1,040  0.4      1,009   0.4
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      6        6,820  2.3      8,319  2.8                  5,355  1.9      9,117   3.3

CMX SILVER                                U.S.                 3,863  3.1      6,324  5.0    125,617       5,887  6.9      4,012   4.7     85,530
                                          NON U.S.             5,285  4.2      9,104  7.2                  4,900  5.7     11,016  12.9
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      9        9,148  7.3     15,428 12.2                 10,787 12.6     15,028  17.6

CMX GOLD                                  U.S.                70,689  9.0     71,213  9.0    788,144      31,550  6.8     50,507  10.8    466,889
                                          NON U.S.            34,448  4.4     39,073  5.0                 22,558  4.8     33,358   7.1
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     11      105,137 13.4    110,286 14.0                 54,108 11.6     83,865  17.9

CME EURO FX                               U.S.                 3,544  2.7        642  0.5    131,331       3,311  1.4      2,641   1.1    238,371
                                          NON U.S.             3,226  2.5        980  0.7                  4,948  2.1      2,154   0.9
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        6,770  5.2      1,622  1.2                  8,259  3.5      4,795   2.0

CME 3-MONTH EURODOLLARS                   U.S.       11      309,890  3.8    355,239  4.4  8,096,907     486,564  4.1    511,850   4.3 11,828,163
                                          NON U.S.   30      372,560  4.6    431,577  5.3              1,048,360  8.9  1,049,190   8.9
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     41      682,450  8.4    786,816  9.7              1,534,924 13.0  1,561,040  13.2

CME E-MINI S&P 500 STOCK INDEX            U.S.                   600  0.1          0  0.0    832,879           1  0.0          0   0.0  1,263,257
                                          NON U.S.            19,560  2.3      3,738  0.4                  5,148  0.4      6,335   0.5
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     11       20,160  2.4      3,738  0.4                  5,149  0.4      6,335   0.5