BANK PARTICIPATION IN FUTURES OPTIONS MARKETS

(IN CONTRACTS - NOT DELTA ADJUSTED)

REPORT DATE: 03/06/2012



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

CBT WHEAT                                 U.S.                 2,968  2.3        128  0.1    127,554       2,350  2.3        100   0.1    102,922
                                          NON U.S.               850  0.7        875  0.7                    850  0.8         35   0.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5        3,818  3.0      1,003  0.8                  3,200  3.1        135   0.1

CBT CORN                                  U.S.                16,074  2.5      3,814  0.6    652,535      10,505  1.9      6,254   1.1    558,266
                                          NON U.S.             1,785  0.3        305  0.0                  2,235  0.4      6,305   1.1
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5       17,859  2.8      4,119  0.6                 12,740  2.3     12,559   2.2

CBT U.S. TREASURY BONDS                   U.S.        4        2,090  0.9      8,210  3.4    239,251      10,642  3.9      9,435   3.4    275,459
                                          NON U.S.    6        6,999  2.9     10,932  4.6                  7,277  2.6      9,405   3.4
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     10        9,089  3.8     19,142  8.0                 17,919  6.5     18,840   6.8

NYME EUR STYLE NATURAL GAS OPTIONS        U.S.               318,615  7.6    400,532  9.5  4,206,394     202,634  6.2    155,399   4.8  3,247,546
                                          NON U.S.            31,091  0.7     45,595  1.1                 26,730  0.8     12,757   0.4
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     10      349,706  8.3    446,127 10.6                229,364  7.0    168,156   5.2

ICUS COTTON NO. 2                         U.S.                 3,790  3.3      4,609  4.0    114,318         940  1.0      1,420   1.5     92,493
                                          NON U.S.             1,315  1.2        150  0.1                    765  0.8          0   0.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      7        5,105  4.5      4,759  4.1                  1,705  1.8      1,420   1.5

CBT 10-YEAR U.S. TREASURY NOTES           U.S.        6       15,900  3.1     11,500  2.2    513,176      67,175  7.5     36,750   4.1    901,370
                                          NON U.S.   13        5,300  1.0     37,914  7.4                 72,150  8.0     39,902   4.4
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     19       21,200  4.1     49,414  9.6                139,325 15.5     76,652   8.5

CBT 5-YEAR U.S. TREASURY NOTES            U.S.                 2,000  1.1      6,075  3.4    179,341      13,750  7.9      1,575   0.9    175,031
                                          NON U.S.             1,800  1.0      3,650  2.0                 12,000  6.9     12,600   7.2
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      8        3,800  2.1      9,725  5.4                 25,750 14.8     14,175   8.1

CBT 30-DAY FEDERAL FUNDS                  U.S.                 2,000  2.4      2,000  2.4     83,719       1,000  0.5      2,000   1.1    182,739
                                          NON U.S.             2,600  3.1        500  0.6                 19,950 10.9     14,450   7.9
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      6        4,600  5.5      2,500  3.0                 20,950 11.4     16,450   9.0

NYME CRUDE OIL, LIGHT SWEET               U.S.               125,653  6.5    157,216  8.1  1,946,788      92,250  6.3     88,642   6.0  1,467,244
                                          NON U.S.            32,976  1.7     51,405  2.6                 49,170  3.4     34,467   2.3
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     17      158,629  8.2    208,621 10.7                141,420  9.7    123,109   8.3

NYME EUR STYLE CRUDE OIL OPTIONS          U.S.                26,175 12.8     28,982 14.1    205,251       7,032  8.9      3,118   4.0     78,771
                                          NON U.S.               550  0.3        400  0.2                      0  0.0        200   0.3
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      5       26,725 13.1     29,382 14.3                  7,032  8.9      3,318   4.3

NYME CRUDE OIL AVG PRICE OPTIONS          U.S.                64,360  8.7     90,040 12.2    738,181     109,037 16.2     69,676  10.3    673,335
                                          NON U.S.            56,312  7.6    106,797 14.5                 98,007 14.6     65,828   9.8
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     13      120,672 16.3    196,837 26.7                207,044 30.8    135,504  20.1

NYME EUR STYLE BRENT OPTIONS              U.S.                 8,874 11.2      8,004 10.1     78,940       4,650 10.2      4,470   9.8     45,558
                                          NON U.S.             2,290  2.9        775  1.0                  2,785  6.1        200   0.4
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      6       11,164 14.1      8,779 11.1                  7,435 16.3      4,670  10.2

NYME BRENT AVG PRICE OPTIONS              U.S.                 7,222  4.0     12,203  6.8    179,078      19,415 13.5     12,443   8.6    144,314
                                          NON U.S.            13,761  7.7     32,773 18.3                 15,865 11.0     12,530   8.7
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     11       20,983 11.7     44,976 25.1                 35,280 24.5     24,973  17.3

CMX SILVER                                U.S.                 2,642  2.2      4,614  3.8    121,222       5,033  7.3      3,111   4.5     69,203
                                          NON U.S.             4,684  3.9      8,349  6.9                  3,892  5.6      5,483   7.9
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      9        7,326  6.1     12,963 10.7                  8,925 12.9      8,594  12.4

CMX GOLD                                  U.S.                53,187  7.0     53,047  7.0    762,896      40,891  9.1     42,689   9.5    449,277
                                          NON U.S.            24,791  3.2     29,764  3.9                 26,171  5.8     28,039   6.2
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     12       77,978 10.2     82,811 10.9                 67,062 14.9     70,728  15.7

CME EURO FX                               U.S.                 2,327  2.0        360  0.3    114,522       4,252  2.2      2,500   1.3    193,560
                                          NON U.S.             3,272  2.9      1,655  1.4                  5,045  2.6      3,157   1.6
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      9        5,599  4.9      2,015  1.7                  9,297  4.8      5,657   2.9

CME 3-MONTH EURODOLLARS                   U.S.       13      312,058  3.8    317,329  3.9  8,129,869     508,045  4.0    435,221   3.5 12,561,163
                                          NON U.S.   30      359,704  4.4    437,678  5.4                754,514  6.0    759,016   6.0
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                     43      671,762  8.2    755,007  9.3              1,262,559 10.0  1,194,237   9.5

CME E-MINI S&P 500 STOCK INDEX            U.S.                     0  0.0          0  0.0    596,386           0  0.0          0   0.0  1,140,910
                                          NON U.S.            11,900  2.0      6,272  1.1                  4,778  0.4      6,015   0.5
                                                   ----    --------- ----  --------- ----              --------- ----  ---------  ----
                                                      9       11,900  2.0      6,272  1.1                  4,778  0.4      6,015   0.5