BANK PARTICIPATION IN FUTURES MARKETS

(IN CONTRACTS)



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

03/06/12 CBT WHEAT                              U.S.                  17,746  4.0      1,342  0.3     438,188
                                                NON U.S.              14,757  3.4      4,742  1.1
                                                           ----    --------- ----  --------- ----
                                                             10       32,503  7.4      6,084  1.4

03/06/12 CBT CORN                               U.S.                  37,652  2.9     10,762  0.8   1,289,545
                                                NON U.S.              19,039  1.5      4,238  0.3
                                                           ----    --------- ----  --------- ----
                                                             11       56,691  4.4     15,000  1.2

03/06/12 CBT SOYBEANS                           U.S.                  15,148  2.7      8,344  1.5     568,715
                                                NON U.S.              11,120  2.0      4,006  0.7
                                                           ----    --------- ----  --------- ----
                                                             10       26,268  4.6     12,350  2.2

03/06/12 CBT SOYBEAN OIL                        U.S.                  18,032  5.8        321  0.1     313,490
                                                NON U.S.               4,162  1.3      1,369  0.4
                                                           ----    --------- ----  --------- ----
                                                              6       22,194  7.1      1,690  0.5

03/06/12 CBT U.S. TREASURY BONDS                U.S.          5        1,672  0.3      6,118  1.0     605,174
                                                NON U.S.      9        7,271  1.2     11,538  1.9
                                                           ----    --------- ----  --------- ----
                                                             14        8,943  1.5     17,656  2.9

03/06/12 NYME NO. 2 HEATING OIL, N.Y. HARBOR    U.S.                  13,828  4.8        552  0.2     286,118
                                                NON U.S.               3,159  1.1        976  0.3
                                                           ----    --------- ----  --------- ----
                                                              7       16,987  5.9      1,528  0.5

03/06/12 NYME GASOIL (ICE) MINI CAL SWAP        U.S.                     774 34.2          0  0.0       2,265
                                                NON U.S.                   0  0.0        695 30.7
                                                           ----    --------- ----  --------- ----
                                                              5          774 34.2        695 30.7

03/06/12 NYME NATURAL GAS                       U.S.                  35,568  2.9     23,310  1.9   1,216,428
                                                NON U.S.              30,923  2.5        983  0.1
                                                           ----    --------- ----  --------- ----
                                                             10       66,491  5.5     24,293  2.0

03/06/12 ICUS COTTON NO. 2                      U.S.                   6,535  3.7        154  0.1     176,384
                                                NON U.S.               4,223  2.4      5,852  3.3
                                                           ----    --------- ----  --------- ----
                                                             11       10,758  6.1      6,006  3.4

03/06/12 NYME NW PIPE ROCKIES BASIS SWAP        U.S.                     608  1.3      2,812  6.0      47,201
                                                NON U.S.               3,213  6.8        123  0.3
                                                           ----    --------- ----  --------- ----
                                                              5        3,821  8.1      2,935  6.2

03/06/12 NYME HENRY HUB SWAP                    U.S.                 109,626  4.0    208,138  7.5   2,762,512
                                                NON U.S.               6,851  0.2    157,302  5.7
                                                           ----    --------- ----  --------- ----
                                                              8      116,477  4.2    365,440 13.2

03/06/12 NYME HENRY HUB PENULTIMATE GAS SWAP    U.S.                 108,475  8.2     41,141  3.1   1,325,843
                                                NON U.S.              30,994  2.3      9,572  0.7
                                                           ----    --------- ----  --------- ----
                                                              8      139,469 10.5     50,713  3.8

03/06/12 CBT ROUGH RICE                         U.S.                     195  1.3          0  0.0      14,698
                                                NON U.S.                 877  6.0        600  4.1
                                                           ----    --------- ----  --------- ----
                                                              5        1,072  7.3        600  4.1

03/06/12 CBT 2-YEAR U.S. TREASURY NOTES         U.S.          6       33,351  3.9      8,044  0.9     851,489
                                                NON U.S.      8        3,975  0.5      7,304  0.9
                                                           ----    --------- ----  --------- ----
                                                             14       37,326  4.4     15,348  1.8

03/06/12 CBT 10-YEAR U.S. TREASURY NOTES        U.S.          6       15,689  0.8     34,681  1.9   1,858,467
                                                NON U.S.     19       46,049  2.5     95,607  5.1
                                                           ----    --------- ----  --------- ----
                                                             25       61,738  3.3    130,288  7.0

03/06/12 CBT 5-YEAR U.S. TREASURY NOTES         U.S.          5       53,161  3.9     34,683  2.5   1,377,653
                                                NON U.S.     11       33,984  2.5     33,992  2.5
                                                           ----    --------- ----  --------- ----
                                                             16       87,145  6.3     68,675  5.0

03/06/12 CBT 30-DAY FEDERAL FUNDS               U.S.          7       49,350  9.6     58,471 11.4     512,829
                                                NON U.S.     13       44,333  8.6     52,175 10.2
                                                           ----    --------- ----  --------- ----
                                                             20       93,683 18.3    110,646 21.6

03/06/12 CME LEAN HOGS                          U.S.                   7,769  2.9        117  0.0     268,570
                                                NON U.S.               3,300  1.2        226  0.1
                                                           ----    --------- ----  --------- ----
                                                              6       11,069  4.1        343  0.1

03/06/12 CME LIVE CATTLE                        U.S.                   7,951  2.2      2,164  0.6     364,976
                                                NON U.S.               5,796  1.6         22  0.0
                                                           ----    --------- ----  --------- ----
                                                              7       13,747  3.8      2,186  0.6

03/06/12 NYME CRUDE OIL, LIGHT SWEET            U.S.                  55,896  3.5    108,836  6.9   1,584,849
                                                NON U.S.              26,261  1.7    164,597 10.4
                                                           ----    --------- ----  --------- ----
                                                             17       82,157  5.2    273,433 17.3

03/06/12 NYME WTI CRUDE OIL CALENDAR SWAP       U.S.                  13,226  6.8     32,093 16.4     195,830
                                                NON U.S.              13,944  7.1     33,890 17.3
                                                           ----    --------- ----  --------- ----
                                                             13       27,170 13.9     65,983 33.7

03/06/12 NYME WTI CRUDE OIL FINANCIAL           U.S.                   7,392  8.9     15,077 18.2      82,794
                                                NON U.S.               3,638  4.4      2,892  3.5
                                                           ----    --------- ----  --------- ----
                                                              7       11,030 13.3     17,969 21.7

03/06/12 NYME WTI-BRENT CALENDAR SWAP           U.S.                   2,220  4.3      2,510  4.9      51,427
                                                NON U.S.               2,523  4.9        915  1.8
                                                           ----    --------- ----  --------- ----
                                                              6        4,743  9.2      3,425  6.7

03/06/12 NYME BRENT (ICE) CALENDAR SWAP         U.S.                   5,014  9.1      3,592  6.5      55,381
                                                NON U.S.               8,659 15.6      3,115  5.6
                                                           ----    --------- ----  --------- ----
                                                             10       13,673 24.7      6,707 12.1

03/06/12 ICUS COCOA                             U.S.                   2,871  1.7      2,165  1.3     169,390
                                                NON U.S.               2,282  1.3     12,360  7.3
                                                           ----    --------- ----  --------- ----
                                                              5        5,153  3.0     14,525  8.6

03/06/12 NYME PALLADIUM                         U.S.                     343  1.7      4,632 22.9      20,262
                                                NON U.S.                 705  3.5      2,390 11.8
                                                           ----    --------- ----  --------- ----
                                                             14        1,048  5.2      7,022 34.7

03/06/12 NYME PLATINUM                          U.S.          4          457  1.1      6,649 15.5      42,850
                                                NON U.S.     10          692  1.6      6,995 16.3
                                                           ----    --------- ----  --------- ----
                                                             14        1,149  2.7     13,644 31.8

03/06/12 ICUS SUGAR NO. 11                      U.S.                  16,584  2.3      3,820  0.5     720,785
                                                NON U.S.               9,390  1.3     13,809  1.9
                                                           ----    --------- ----  --------- ----
                                                             10       25,974  3.6     17,629  2.4

03/06/12 ICUS COFFEE C                          U.S.                   1,637  1.2      1,909  1.4     139,102
                                                NON U.S.               1,552  1.1      2,131  1.5
                                                           ----    --------- ----  --------- ----
                                                             11        3,189  2.3      4,040  2.9

03/06/12 CMX SILVER                             U.S.          4        1,468  1.3     25,133 22.6     111,023
                                                NON U.S.     14        4,003  3.6      6,576  5.9
                                                           ----    --------- ----  --------- ----
                                                             18        5,471  4.9     31,709 28.6

03/06/12 CMX COPPER-GRADE #1                    U.S.                  12,608  8.3      3,097  2.0     152,741
                                                NON U.S.               1,462  1.0        546  0.4
                                                           ----    --------- ----  --------- ----
                                                              8       14,070  9.2      3,643  2.4

03/06/12 CMX GOLD                               U.S.          4       43,965  9.9    136,017 30.7     443,249
                                                NON U.S.     20       11,152  2.5     47,409 10.7
                                                           ----    --------- ----  --------- ----
                                                             24       55,117 12.4    183,426 41.4

03/06/12 CME RUSSIAN RUBLE                      U.S.                   9,939  7.5      3,180  2.4     133,184
                                                NON U.S.              83,712 62.9     85,333 64.1
                                                           ----    --------- ----  --------- ----
                                                              8       93,651 70.3     88,513 66.5

03/06/12 CME CANADIAN DOLLAR                    U.S.                   1,392  0.9      6,806  4.6     146,771
                                                NON U.S.               1,267  0.9      5,566  3.8
                                                           ----    --------- ----  --------- ----
                                                              6        2,659  1.8     12,372  8.4

03/06/12 CME SWISS FRANC                        U.S.                     430  0.8      2,864  5.3      53,649
                                                NON U.S.               7,234 13.5      4,800  8.9
                                                           ----    --------- ----  --------- ----
                                                              6        7,664 14.3      7,664 14.3

03/06/12 CME MEXICAN PESO                       U.S.          4          316  0.2     12,964  6.2     207,994
                                                NON U.S.      4       57,015 27.4     15,926  7.7
                                                           ----    --------- ----  --------- ----
                                                              8       57,331 27.6     28,890 13.9

03/06/12 CME BRITISH POUND STERLING             U.S.                  27,947 15.2        749  0.4     184,104
                                                NON U.S.                   0  0.0        245  0.1
                                                           ----    --------- ----  --------- ----
                                                              7       27,947 15.2        994  0.5

03/06/12 CME JAPANESE YEN                       U.S.          5       10,267  6.9      7,405  5.0     147,952
                                                NON U.S.      4        2,691  1.8      1,192  0.8
                                                           ----    --------- ----  --------- ----
                                                              9       12,958  8.8      8,597  5.8

03/06/12 CME EURO FX                            U.S.          4       63,793 22.4      1,589  0.6     284,739
                                                NON U.S.     16       12,876  4.5      8,071  2.8
                                                           ----    --------- ----  --------- ----
                                                             20       76,669 26.9      9,660  3.4

03/06/12 NYME GASOLINE BLENDSTOCK (RBOB)        U.S.                   7,992  2.1      5,812  1.6     372,660
                                                NON U.S.               1,915  0.5      2,062  0.6
                                                           ----    --------- ----  --------- ----
                                                              8        9,907  2.7      7,874  2.1

03/06/12 CBT DOW JONES INDUSTRIAL AVG- x $5     U.S.          5        5,379  5.0          0  0.0     108,007
                                                NON U.S.      6        2,538  2.3     16,382 15.2
                                                           ----    --------- ----  --------- ----
                                                             11        7,917  7.3     16,382 15.2

03/06/12 CME 3-MONTH EURODOLLARS                U.S.         13    1,616,138 18.5    603,852  6.9   8,722,939
                                                NON U.S.     36      314,756  3.6    534,344  6.1
                                                           ----    --------- ----  --------- ----
                                                             49    1,930,894 22.1  1,138,196 13.0

03/06/12 CME S&P 500 STOCK INDEX                U.S.                   3,047  1.2        118  0.0     252,705
                                                NON U.S.               5,504  2.2      6,797  2.7
                                                           ----    --------- ----  --------- ----
                                                              8        8,551  3.4      6,915  2.7

03/06/12 CME E-MINI S&P 500 STOCK INDEX         U.S.          7       26,036  0.9     18,527  0.6   2,970,409
                                                NON U.S.     27       35,524  1.2    109,411  3.7
                                                           ----    --------- ----  --------- ----
                                                             34       61,560  2.1    127,938  4.3

03/06/12 CME NASDAQ-100 STOCK INDEX (MINI)      U.S.                   2,967  0.6          0  0.0     480,559
                                                NON U.S.              10,746  2.2     11,197  2.3
                                                           ----    --------- ----  --------- ----
                                                             12       13,713  2.9     11,197  2.3

03/06/12 CME AUSTRALIAN DOLLAR                  U.S.                   3,168  1.9      8,339  5.1     164,007
                                                NON U.S.                 108  0.1      1,302  0.8
                                                           ----    --------- ----  --------- ----
                                                              6        3,276  2.0      9,641  5.9

03/06/12 ICUS RUSSELL 2000 MINI INDEX FUTURE    U.S.          4        2,323  0.6      8,301  2.0     416,621
                                                NON U.S.      4        3,484  0.8        981  0.2
                                                           ----    --------- ----  --------- ----
                                                              8        5,807  1.4      9,282  2.2

03/06/12 CME NIKKEI STOCK AVERAGE YEN DENOM     U.S.                       0  0.0        506  0.7      68,640
                                                NON U.S.                 879  1.3      5,151  7.5
                                                           ----    --------- ----  --------- ----
                                                              8          879  1.3      5,657  8.2

03/06/12 NYL MSCI EMERGING MKTS MINI INDEX      U.S.                       0  0.0          0  0.0      82,327
                                                NON U.S.               4,592  5.6      9,613 11.7
                                                           ----    --------- ----  --------- ----
                                                             10        4,592  5.6      9,613 11.7

03/06/12 NYME 3.5% FUEL OIL RDAM CRACK SPR      U.S.                   1,152  5.1        378  1.7      22,468
                                                NON U.S.               1,233  5.5      1,257  5.6
                                                           ----    --------- ----  --------- ----
                                                              8        2,385 10.6      1,635  7.3

03/06/12 NYME HEAT OIL CRACK SPRD CAL SWAP      U.S.                   1,520  7.1      1,355  6.3      21,363
                                                NON U.S.                 728  3.4          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              6        2,248 10.5      1,355  6.3

03/06/12 NYME GASOIL CRACK SPR SWAP             U.S.                      66  0.3      1,837  7.1      25,976
                                                NON U.S.               1,062  4.1        288  1.1
                                                           ----    --------- ----  --------- ----
                                                              7        1,128  4.3      2,125  8.2