BANK PARTICIPATION IN FUTURES MARKETS

(IN CONTRACTS)



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

05/01/12 CBT WHEAT                              U.S.                  21,236  5.0      2,573  0.6     427,502
                                                NON U.S.              16,754  3.9      4,648  1.1
                                                           ----    --------- ----  --------- ----
                                                             11       37,990  8.9      7,221  1.7

05/01/12 KCBT WHEAT                             U.S.                   2,115  1.6        173  0.1     136,118
                                                NON U.S.               2,080  1.5        554  0.4
                                                           ----    --------- ----  --------- ----
                                                              7        4,195  3.1        727  0.5

05/01/12 CBT CORN                               U.S.                  36,772  3.0      9,570  0.8   1,225,210
                                                NON U.S.              20,073  1.6      3,735  0.3
                                                           ----    --------- ----  --------- ----
                                                             11       56,845  4.6     13,305  1.1

05/01/12 CBT SOYBEANS                           U.S.                  14,634  1.8     23,619  2.9     807,124
                                                NON U.S.               9,170  1.1      2,289  0.3
                                                           ----    --------- ----  --------- ----
                                                             11       23,804  2.9     25,908  3.2

05/01/12 CBT SOYBEAN OIL                        U.S.                  19,338  5.3      4,083  1.1     364,638
                                                NON U.S.               4,195  1.2        541  0.1
                                                           ----    --------- ----  --------- ----
                                                              6       23,533  6.5      4,624  1.3

05/01/12 CBT U.S. TREASURY BONDS                U.S.          6        2,854  0.5     12,188  2.1     571,339
                                                NON U.S.      5        6,484  1.1      6,688  1.2
                                                           ----    --------- ----  --------- ----
                                                             11        9,338  1.6     18,876  3.3

05/01/12 NYME GULF # 6 FUEL 3.0% SULFUR SWAP    U.S.                   1,086  2.3        300  0.6      46,483
                                                NON U.S.                 516  1.1        178  0.4
                                                           ----    --------- ----  --------- ----
                                                              5        1,602  3.4        478  1.0

05/01/12 NYME EUR 3.5% FUEL OIL RTD CAL SWAP    U.S.                     365  2.9        309  2.5      12,447
                                                NON U.S.                 841  6.8        132  1.1
                                                           ----    --------- ----  --------- ----
                                                              5        1,206  9.7        441  3.5

05/01/12 NYME NO. 2 HEATING OIL, N.Y. HARBOR    U.S.                  14,069  4.6        671  0.2     304,613
                                                NON U.S.               3,536  1.2         32  0.0
                                                           ----    --------- ----  --------- ----
                                                              7       17,605  5.8        703  0.2

05/01/12 NYME GASOIL (ICE) MINI CAL SWAP        U.S.                     708 25.7         15  0.5       2,753
                                                NON U.S.                 168  6.1        558 20.3
                                                           ----    --------- ----  --------- ----
                                                              5          876 31.8        573 20.8

05/01/12 NYME NATURAL GAS                       U.S.                  34,369  2.7     23,234  1.8   1,257,703
                                                NON U.S.              25,655  2.0      1,636  0.1
                                                           ----    --------- ----  --------- ----
                                                             11       60,024  4.8     24,870  2.0

05/01/12 ICUS COTTON NO. 2                      U.S.                   7,909  4.4        132  0.1     180,785
                                                NON U.S.               3,916  2.2      4,397  2.4
                                                           ----    --------- ----  --------- ----
                                                             10       11,825  6.5      4,529  2.5

05/01/12 NYME NW PIPE ROCKIES BASIS SWAP        U.S.                     488  1.1      2,653  6.2      43,021
                                                NON U.S.               3,483  8.1        184  0.4
                                                           ----    --------- ----  --------- ----
                                                              5        3,971  9.2      2,837  6.6

05/01/12 NYME HENRY HUB SWAP                    U.S.                 110,579  4.1    237,240  8.8   2,697,093
                                                NON U.S.              19,798  0.7    177,588  6.6
                                                           ----    --------- ----  --------- ----
                                                              9      130,377  4.8    414,828 15.4

05/01/12 NYME HENRY HUB PENULTIMATE GAS SWAP    U.S.                 116,501  8.7     35,231  2.6   1,333,614
                                                NON U.S.              29,684  2.2     11,816  0.9
                                                           ----    --------- ----  --------- ----
                                                              9      146,185 11.0     47,047  3.5

05/01/12 CBT ROUGH RICE                         U.S.                     194  1.4          0  0.0      14,254
                                                NON U.S.                 809  5.7        600  4.2
                                                           ----    --------- ----  --------- ----
                                                              5        1,003  7.0        600  4.2

05/01/12 CBT 2-YEAR U.S. TREASURY NOTES         U.S.          6       26,769  2.8      8,117  0.9     953,779
                                                NON U.S.     10       12,374  1.3      7,192  0.8
                                                           ----    --------- ----  --------- ----
                                                             16       39,143  4.1     15,309  1.6

05/01/12 CBT 10-YEAR U.S. TREASURY NOTES        U.S.          8       21,993  1.2     64,637  3.5   1,832,781
                                                NON U.S.     23       51,809  2.8     65,292  3.6
                                                           ----    --------- ----  --------- ----
                                                             31       73,802  4.0    129,929  7.1

05/01/12 CBT 5-YEAR U.S. TREASURY NOTES         U.S.          5       53,966  4.1     23,375  1.8   1,323,793
                                                NON U.S.     10       23,506  1.8     26,580  2.0
                                                           ----    --------- ----  --------- ----
                                                             15       77,472  5.9     49,955  3.8

05/01/12 CBT 30-DAY FEDERAL FUNDS               U.S.          6       29,193  6.0     58,472 11.9     490,074
                                                NON U.S.     11       32,454  6.6     49,228 10.0
                                                           ----    --------- ----  --------- ----
                                                             17       61,647 12.6    107,700 22.0

05/01/12 CME LEAN HOGS                          U.S.                   7,713  2.9          0  0.0     269,139
                                                NON U.S.               3,263  1.2        175  0.1
                                                           ----    --------- ----  --------- ----
                                                              6       10,976  4.1        175  0.1

05/01/12 CME LIVE CATTLE                        U.S.                   8,167  2.4        403  0.1     345,571
                                                NON U.S.               4,606  1.3        598  0.2
                                                           ----    --------- ----  --------- ----
                                                              7       12,773  3.7      1,001  0.3

05/01/12 NYME CRUDE OIL, LIGHT SWEET            U.S.                  57,104  3.6    116,587  7.3   1,602,007
                                                NON U.S.              28,660  1.8    162,230 10.1
                                                           ----    --------- ----  --------- ----
                                                             17       85,764  5.4    278,817 17.4

05/01/12 NYME WTI CRUDE OIL CALENDAR SWAP       U.S.                  14,083  7.0     37,289 18.6     200,603
                                                NON U.S.              14,219  7.1     33,859 16.9
                                                           ----    --------- ----  --------- ----
                                                             13       28,302 14.1     71,148 35.5

05/01/12 NYME WTI CRUDE OIL FINANCIAL           U.S.                   8,617 10.0     16,300 18.8      86,532
                                                NON U.S.               3,595  4.2      2,767  3.2
                                                           ----    --------- ----  --------- ----
                                                              7       12,212 14.1     19,067 22.0

05/01/12 NYME WTI-BRENT CALENDAR SWAP           U.S.                   2,220  4.1      3,160  5.9      54,009
                                                NON U.S.               2,685  5.0        575  1.1
                                                           ----    --------- ----  --------- ----
                                                              6        4,905  9.1      3,735  6.9

05/01/12 NYME BRENT (ICE) CALENDAR SWAP         U.S.                   4,278  7.8      3,451  6.3      54,888
                                                NON U.S.               7,852 14.3      3,838  7.0
                                                           ----    --------- ----  --------- ----
                                                             10       12,130 22.1      7,289 13.3

05/01/12 NYME BRENT CRUDE OIL LAST DAY          U.S.                     815  2.8      1,086  3.7      29,029
                                                NON U.S.                 178  0.6        346  1.2
                                                           ----    --------- ----  --------- ----
                                                              5          993  3.4      1,432  4.9

05/01/12 ICUS COCOA                             U.S.                     655  0.4        323  0.2     182,207
                                                NON U.S.               2,817  1.5     13,231  7.3
                                                           ----    --------- ----  --------- ----
                                                              5        3,472  1.9     13,554  7.4

05/01/12 NYME PALLADIUM                         U.S.                     399  1.8      3,893 18.0      21,576
                                                NON U.S.               1,258  5.8      2,446 11.3
                                                           ----    --------- ----  --------- ----
                                                             15        1,657  7.7      6,339 29.4

05/01/12 NYME PLATINUM                          U.S.                     623  1.5      5,538 13.2      41,810
                                                NON U.S.               2,022  4.8      5,910 14.1
                                                           ----    --------- ----  --------- ----
                                                             16        2,645  6.3     11,448 27.4

05/01/12 ICUS SUGAR NO. 11                      U.S.                  18,437  2.6      4,296  0.6     706,597
                                                NON U.S.              13,797  2.0     13,929  2.0
                                                           ----    --------- ----  --------- ----
                                                             13       32,234  4.6     18,225  2.6

05/01/12 ICUS COFFEE C                          U.S.                   1,747  1.2      1,138  0.8     144,219
                                                NON U.S.               1,697  1.2      2,429  1.7
                                                           ----    --------- ----  --------- ----
                                                             12        3,444  2.4      3,567  2.5

05/01/12 CMX SILVER                             U.S.          4        5,477  4.9     22,158 20.0     110,862
                                                NON U.S.     13        4,999  4.5      6,351  5.7
                                                           ----    --------- ----  --------- ----
                                                             17       10,476  9.4     28,509 25.7

05/01/12 CMX COPPER-GRADE #1                    U.S.                  13,192  9.1      2,676  1.9     144,241
                                                NON U.S.               1,293  0.9      1,727  1.2
                                                           ----    --------- ----  --------- ----
                                                              9       14,485 10.0      4,403  3.1

05/01/12 CMX GOLD                               U.S.          4       36,539  8.9    104,304 25.3     411,972
                                                NON U.S.     20       10,372  2.5     51,891 12.6
                                                           ----    --------- ----  --------- ----
                                                             24       46,911 11.4    156,195 37.9

05/01/12 CME RUSSIAN RUBLE                      U.S.                   9,492  7.5      3,180  2.5     125,951
                                                NON U.S.              80,633 64.0     84,086 66.8
                                                           ----    --------- ----  --------- ----
                                                              9       90,125 71.6     87,266 69.3

05/01/12 CME MEXICAN PESO                       U.S.                   2,781  1.8      9,752  6.2     156,499
                                                NON U.S.              49,866 31.9      7,146  4.6
                                                           ----    --------- ----  --------- ----
                                                              6       52,647 33.6     16,898 10.8

05/01/12 CME BRITISH POUND STERLING             U.S.                  21,215 11.3        170  0.1     188,288
                                                NON U.S.                  99  0.1      4,289  2.3
                                                           ----    --------- ----  --------- ----
                                                              5       21,314 11.3      4,459  2.4

05/01/12 CME JAPANESE YEN                       U.S.                  13,115  9.3      9,928  7.1     140,349
                                                NON U.S.               2,234  1.6        265  0.2
                                                           ----    --------- ----  --------- ----
                                                              7       15,349 10.9     10,193  7.3

05/01/12 CME EURO FX                            U.S.          4       48,920 17.5        168  0.1     279,605
                                                NON U.S.     12       10,842  3.9      3,132  1.1
                                                           ----    --------- ----  --------- ----
                                                             16       59,762 21.4      3,300  1.2

05/01/12 NYME GASOLINE BLENDSTOCK (RBOB)        U.S.                   7,814  2.6      7,208  2.4     302,610
                                                NON U.S.               2,396  0.8      1,604  0.5
                                                           ----    --------- ----  --------- ----
                                                              8       10,210  3.4      8,812  2.9

05/01/12 E VIX FUTURES                          U.S.                       0  0.0     19,816  6.2     318,793
                                                NON U.S.               2,595  0.8      1,718  0.5
                                                           ----    --------- ----  --------- ----
                                                              6        2,595  0.8     21,534  6.8

05/01/12 CBT DOW JONES INDUSTRIAL AVG- x $5     U.S.                   3,666  3.3          0  0.0     112,443
                                                NON U.S.               1,824  1.6     22,482 20.0
                                                           ----    --------- ----  --------- ----
                                                              7        5,490  4.9     22,482 20.0

05/01/12 CME 3-MONTH EURODOLLARS                U.S.         11    1,266,888 14.4    573,754  6.5   8,815,768
                                                NON U.S.     34      340,475  3.9    711,308  8.1
                                                           ----    --------- ----  --------- ----
                                                             45    1,607,363 18.2  1,285,062 14.6

05/01/12 CME S&P 500 STOCK INDEX                U.S.                   2,770  1.1        888  0.4     244,810
                                                NON U.S.               6,686  2.7      9,026  3.7
                                                           ----    --------- ----  --------- ----
                                                             10        9,456  3.9      9,914  4.0

05/01/12 CME E-MINI S&P 500 STOCK INDEX         U.S.          6       42,405  1.5     17,557  0.6   2,858,768
                                                NON U.S.     27       39,647  1.4     93,999  3.3
                                                           ----    --------- ----  --------- ----
                                                             33       82,052  2.9    111,556  3.9

05/01/12 CME NASDAQ-100 STOCK INDEX (MINI)      U.S.                   1,169  0.3          0  0.0     409,777
                                                NON U.S.              11,216  2.7     16,104  3.9
                                                           ----    --------- ----  --------- ----
                                                             13       12,385  3.0     16,104  3.9

05/01/12 CME AUSTRALIAN DOLLAR                  U.S.                   4,433  3.0      3,418  2.3     147,749
                                                NON U.S.                  66  0.0      1,767  1.2
                                                           ----    --------- ----  --------- ----
                                                              5        4,499  3.0      5,185  3.5

05/01/12 ICUS RUSSELL 2000 MINI INDEX FUTURE    U.S.          4        8,649  2.2      4,093  1.0     397,471
                                                NON U.S.      5        3,834  1.0        986  0.2
                                                           ----    --------- ----  --------- ----
                                                              9       12,483  3.1      5,079  1.3

05/01/12 CME NIKKEI STOCK AVERAGE YEN DENOM     U.S.                       0  0.0        294  0.4      66,562
                                                NON U.S.               1,110  1.7      1,411  2.1
                                                           ----    --------- ----  --------- ----
                                                              6        1,110  1.7      1,705  2.6

05/01/12 NYL MSCI EMERGING MKTS MINI INDEX      U.S.                       0  0.0          0  0.0      84,628
                                                NON U.S.               4,779  5.6      7,505  8.9
                                                           ----    --------- ----  --------- ----
                                                             12        4,779  5.6      7,505  8.9

05/01/12 CME E-MINI S&P 400 STOCK INDEX         U.S.                     825  0.8          0  0.0      98,834
                                                NON U.S.                   0  0.0      3,508  3.5
                                                           ----    --------- ----  --------- ----
                                                              5          825  0.8      3,508  3.5

05/01/12 NYME 3.5% FUEL OIL RDAM CRACK SPR      U.S.                     979  3.6        279  1.0      27,469
                                                NON U.S.               1,874  6.8      1,935  7.0
                                                           ----    --------- ----  --------- ----
                                                              8        2,853 10.4      2,214  8.1

05/01/12 NYME HEAT OIL CRACK SPRD CAL SWAP      U.S.                   1,180  6.6      1,135  6.3      17,991
                                                NON U.S.                 737  4.1          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              6        1,917 10.7      1,135  6.3

05/01/12 NYME GASOIL CRACK SPR SWAP             U.S.                     306  1.0      1,785  6.0      29,510
                                                NON U.S.                 944  3.2        261  0.9
                                                           ----    --------- ----  --------- ----
                                                              7        1,250  4.2      2,046  6.9