BANK PARTICIPATION IN FUTURES MARKETS

(IN CONTRACTS)



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

11/01/11 CBT WHEAT                              U.S.                  25,795  6.0      3,380  0.8     433,325
                                                NON U.S.              12,270  2.8      4,548  1.0
                                                           ----    --------- ----  --------- ----
                                                             10       38,065  8.8      7,928  1.8

11/01/11 CBT CORN                               U.S.                  20,877  1.7     40,343  3.3   1,231,824
                                                NON U.S.              13,434  1.1      3,264  0.3
                                                           ----    --------- ----  --------- ----
                                                             10       34,311  2.8     43,607  3.5

11/01/11 CBT SOYBEANS                           U.S.                  13,096  2.5     11,115  2.1     518,805
                                                NON U.S.              12,156  2.3        971  0.2
                                                           ----    --------- ----  --------- ----
                                                              9       25,252  4.9     12,086  2.3

11/01/11 CBT SOYBEAN OIL                        U.S.                   8,758  2.8      1,319  0.4     308,260
                                                NON U.S.               5,456  1.8      1,077  0.3
                                                           ----    --------- ----  --------- ----
                                                              5       14,214  4.6      2,396  0.8

11/01/11 CBT U.S. TREASURY BONDS                U.S.          4        1,768  0.3      6,480  1.0     622,374
                                                NON U.S.      6        7,037  1.1      4,699  0.8
                                                           ----    --------- ----  --------- ----
                                                             10        8,805  1.4     11,179  1.8

11/01/11 NYME MINI EUR 3.5%FOIL RTD CAL SWAP    U.S.                     805  7.3        633  5.8      11,004
                                                NON U.S.                 222  2.0        945  8.6
                                                           ----    --------- ----  --------- ----
                                                              5        1,027  9.3      1,578 14.3

11/01/11 NYME NO. 2 HEATING OIL, N.Y. HARBOR    U.S.                  21,473  7.2      1,341  0.5     296,818
                                                NON U.S.               1,648  0.6        411  0.1
                                                           ----    --------- ----  --------- ----
                                                              7       23,121  7.8      1,752  0.6

11/01/11 NYME GASOIL (ICE) MINI CAL SWAP        U.S.                     972 25.4        144  3.8       3,825
                                                NON U.S.                   0  0.0      1,128 29.5
                                                           ----    --------- ----  --------- ----
                                                              5          972 25.4      1,272 33.3

11/01/11 NYME NATURAL GAS                       U.S.                  21,388  2.2     17,858  1.9     960,199
                                                NON U.S.              36,041  3.8      1,139  0.1
                                                           ----    --------- ----  --------- ----
                                                              9       57,429  6.0     18,997  2.0

11/01/11 CBT SOYBEAN MEAL                       U.S.                   2,971  1.6        990  0.5     188,866
                                                NON U.S.               3,449  1.8        270  0.1
                                                           ----    --------- ----  --------- ----
                                                              5        6,420  3.4      1,260  0.7

11/01/11 ICUS COTTON NO. 2                      U.S.                   1,108  0.7      3,051  1.9     164,914
                                                NON U.S.               3,688  2.2      2,497  1.5
                                                           ----    --------- ----  --------- ----
                                                             12        4,796  2.9      5,548  3.4

11/01/11 NYME HOUSTON SHIP CH BASIS SWAP        U.S.                       0  0.0      7,046 11.9      59,223
                                                NON U.S.                   0  0.0      8,122 13.7
                                                           ----    --------- ----  --------- ----
                                                              5            0  0.0     15,168 25.6

11/01/11 NYME NW PIPE ROCKIES BASIS SWAP        U.S.                     882  1.5      3,798  6.6      57,550
                                                NON U.S.               2,545  4.4        496  0.9
                                                           ----    --------- ----  --------- ----
                                                              5        3,427  6.0      4,294  7.5

11/01/11 NYME PANHANDLE BASIS SWAP              U.S.                  10,785 11.6      6,043  6.5      92,989
                                                NON U.S.                   0  0.0      8,405  9.0
                                                           ----    --------- ----  --------- ----
                                                              5       10,785 11.6     14,448 15.5

11/01/11 NYME SAN JUAN BASIS SWAP               U.S.                     612  2.1      1,277  4.4      29,120
                                                NON U.S.               1,270  4.4      1,448  5.0
                                                           ----    --------- ----  --------- ----
                                                              5        1,882  6.5      2,725  9.4

11/01/11 NYME HENRY HUB SWAP                    U.S.                  62,798  2.6    219,178  9.2   2,388,800
                                                NON U.S.               5,735  0.2    144,349  6.0
                                                           ----    --------- ----  --------- ----
                                                              9       68,533  2.9    363,527 15.2

11/01/11 NYME HENRY HUB PENULTIMATE GAS SWAP    U.S.                  91,803  8.7     63,616  6.1   1,050,908
                                                NON U.S.              30,850  2.9      7,629  0.7
                                                           ----    --------- ----  --------- ----
                                                              8      122,653 11.7     71,245  6.8

11/01/11 CBT ROUGH RICE                         U.S.                     232  1.3          0  0.0      17,346
                                                NON U.S.                 795  4.6        600  3.5
                                                           ----    --------- ----  --------- ----
                                                              5        1,027  5.9        600  3.5

11/01/11 CBT 2-YEAR U.S. TREASURY NOTES         U.S.          6       70,869  9.9     12,399  1.7     712,419
                                                NON U.S.      8        5,602  0.8     22,724  3.2
                                                           ----    --------- ----  --------- ----
                                                             14       76,471 10.7     35,123  4.9

11/01/11 CBT 10-YEAR U.S. TREASURY NOTES        U.S.          6        7,265  0.5     40,842  2.8   1,453,541
                                                NON U.S.     16       30,540  2.1     49,557  3.4
                                                           ----    --------- ----  --------- ----
                                                             22       37,805  2.6     90,399  6.2

11/01/11 CBT 5-YEAR U.S. TREASURY NOTES         U.S.          6       61,201  5.0     41,178  3.4   1,221,831
                                                NON U.S.     12        8,352  0.7     26,141  2.1
                                                           ----    --------- ----  --------- ----
                                                             18       69,553  5.7     67,319  5.5

11/01/11 CBT 30-DAY FEDERAL FUNDS               U.S.          7       84,903 14.2     44,678  7.5     596,589
                                                NON U.S.     16       41,503  7.0     55,384  9.3
                                                           ----    --------- ----  --------- ----
                                                             23      126,406 21.2    100,062 16.8

11/01/11 CME LEAN HOGS                          U.S.                   6,579  2.4          0  0.0     275,395
                                                NON U.S.               3,462  1.3        776  0.3
                                                           ----    --------- ----  --------- ----
                                                              5       10,041  3.6        776  0.3

11/01/11 CME LIVE CATTLE                        U.S.                   6,860  2.1      2,187  0.7     325,310
                                                NON U.S.               6,197  1.9        601  0.2
                                                           ----    --------- ----  --------- ----
                                                              7       13,057  4.0      2,788  0.9

11/01/11 CME FEEDER CATTLE                      U.S.                     365  1.1        170  0.5      32,196
                                                NON U.S.                 186  0.6        207  0.6
                                                           ----    --------- ----  --------- ----
                                                              5          551  1.7        377  1.2

11/01/11 NYME MT BELVIEU PROPANE (OPIS) SWAP    U.S.                     256  1.0      1,138  4.6      24,589
                                                NON U.S.                  17  0.1      1,332  5.4
                                                           ----    --------- ----  --------- ----
                                                              5          273  1.1      2,470 10.0

11/01/11 NYME CRUDE OIL, LIGHT SWEET            U.S.                  45,686  3.4     71,340  5.3   1,345,024
                                                NON U.S.              34,453  2.6    124,756  9.3
                                                           ----    --------- ----  --------- ----
                                                             15       80,139  6.0    196,096 14.6

11/01/11 NYME WTI CRUDE OIL CALENDAR SWAP       U.S.          4        9,752  4.9     34,872 17.5     199,190
                                                NON U.S.      9        9,269  4.7     31,693 15.9
                                                           ----    --------- ----  --------- ----
                                                             13       19,021  9.5     66,565 33.4

11/01/11 NYME WTI CRUDE OIL FINANCIAL           U.S.                   3,527  4.7     10,650 14.2      74,939
                                                NON U.S.               1,996  2.7      1,288  1.7
                                                           ----    --------- ----  --------- ----
                                                              7        5,523  7.4     11,938 15.9

11/01/11 NYME WTI-BRENT CALENDAR SWAP           U.S.                   2,449  4.8      2,520  5.0      50,773
                                                NON U.S.               3,282  6.5          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              5        5,731 11.3      2,520  5.0

11/01/11 NYME BRENT (ICE) CALENDAR SWAP         U.S.                   3,496  6.0      2,944  5.1      57,867
                                                NON U.S.               7,885 13.6      2,282  3.9
                                                           ----    --------- ----  --------- ----
                                                              8       11,381 19.7      5,226  9.0

11/01/11 NYME PALLADIUM                         U.S.                     265  1.4      4,910 26.3      18,667
                                                NON U.S.                 441  2.4      3,045 16.3
                                                           ----    --------- ----  --------- ----
                                                             13          706  3.8      7,955 42.6

11/01/11 NYME PLATINUM                          U.S.                     162  0.4      5,632 14.8      37,948
                                                NON U.S.                 813  2.1      3,311  8.7
                                                           ----    --------- ----  --------- ----
                                                             12          975  2.6      8,943 23.6

11/01/11 ICUS SUGAR NO. 11                      U.S.                   8,589  1.7      2,912  0.6     498,960
                                                NON U.S.               7,452  1.5     14,129  2.8
                                                           ----    --------- ----  --------- ----
                                                             10       16,041  3.2     17,041  3.4

11/01/11 ICUS COFFEE C                          U.S.                   2,216  1.8      3,338  2.7     122,541
                                                NON U.S.               1,497  1.2      6,391  5.2
                                                           ----    --------- ----  --------- ----
                                                             11        3,713  3.0      9,729  7.9

11/01/11 CMX SILVER                             U.S.                   2,738  2.5     18,859 17.4     108,675
                                                NON U.S.               3,030  2.8      2,886  2.7
                                                           ----    --------- ----  --------- ----
                                                             15        5,768  5.3     21,745 20.0

11/01/11 CMX COPPER-GRADE #1                    U.S.                   9,339  7.4      1,428  1.1     126,363
                                                NON U.S.               1,409  1.1        481  0.4
                                                           ----    --------- ----  --------- ----
                                                              8       10,748  8.5      1,909  1.5

11/01/11 CMX GOLD                               U.S.          4       41,555  9.4    124,230 28.1     442,435
                                                NON U.S.     19        8,038  1.8     36,298  8.2
                                                           ----    --------- ----  --------- ----
                                                             23       49,593 11.2    160,528 36.3

11/01/11 CME RUSSIAN RUBLE                      U.S.                  10,461 10.8      3,709  3.8      97,060
                                                NON U.S.              50,499 52.0     46,100 47.5
                                                           ----    --------- ----  --------- ----
                                                              7       60,960 62.8     49,809 51.3

11/01/11 CME CANADIAN DOLLAR                    U.S.          4          881  0.7      2,838  2.4     119,841
                                                NON U.S.      4        2,297  1.9      1,977  1.6
                                                           ----    --------- ----  --------- ----
                                                              8        3,178  2.7      4,815  4.0

11/01/11 CME MEXICAN PESO                       U.S.                     808  0.8     25,773 24.3     105,956
                                                NON U.S.              57,008 53.8        122  0.1
                                                           ----    --------- ----  --------- ----
                                                              7       57,816 54.6     25,895 24.4

11/01/11 CME BRITISH POUND STERLING             U.S.                  19,742 11.6      1,454  0.9     169,466
                                                NON U.S.               9,114  5.4         95  0.1
                                                           ----    --------- ----  --------- ----
                                                              8       28,856 17.0      1,549  0.9

11/01/11 CME JAPANESE YEN                       U.S.                   1,762  1.3     35,097 25.4     138,045
                                                NON U.S.               2,906  2.1         38  0.0
                                                           ----    --------- ----  --------- ----
                                                              7        4,668  3.4     35,135 25.5

11/01/11 CME EURO FX                            U.S.          5       34,801 15.1        614  0.3     231,229
                                                NON U.S.     13       12,326  5.3      1,829  0.8
                                                           ----    --------- ----  --------- ----
                                                             18       47,127 20.4      2,443  1.1

11/01/11 NYME GASOLINE BLENDSTOCK (RBOB)        U.S.                   5,282  2.0      4,009  1.5     267,417
                                                NON U.S.               1,608  0.6        622  0.2
                                                           ----    --------- ----  --------- ----
                                                              8        6,890  2.6      4,631  1.7

11/01/11 CBT DOW JONES INDUSTRIAL AVG- x $5     U.S.          5        5,981  7.1          0  0.0      83,909
                                                NON U.S.      5        3,155  3.8      4,882  5.8
                                                           ----    --------- ----  --------- ----
                                                             10        9,136 10.9      4,882  5.8

11/01/11 CME 3-MONTH EURODOLLARS                U.S.         14      925,766 10.9  1,062,035 12.5   8,490,494
                                                NON U.S.     30      321,795  3.8    712,710  8.4
                                                           ----    --------- ----  --------- ----
                                                             44    1,247,561 14.7  1,774,745 20.9

11/01/11 CME S&P 500 STOCK INDEX                U.S.                   2,301  0.8      3,679  1.3     290,124
                                                NON U.S.               6,482  2.2      4,943  1.7
                                                           ----    --------- ----  --------- ----
                                                              8        8,783  3.0      8,622  3.0

11/01/11 CME E-MINI S&P 500 STOCK INDEX         U.S.          8       63,953  2.2      7,940  0.3   2,885,919
                                                NON U.S.     30       35,953  1.2    148,854  5.2
                                                           ----    --------- ----  --------- ----
                                                             38       99,906  3.5    156,794  5.4

11/01/11 CME NASDAQ-100 STOCK INDEX (MINI)      U.S.                   2,257  0.7        307  0.1     339,730
                                                NON U.S.              12,124  3.6      8,874  2.6
                                                           ----    --------- ----  --------- ----
                                                             17       14,381  4.2      9,181  2.7

11/01/11 CME AUSTRALIAN DOLLAR                  U.S.                   2,137  1.5     13,439  9.7     139,057
                                                NON U.S.                   0  0.0      1,312  0.9
                                                           ----    --------- ----  --------- ----
                                                              5        2,137  1.5     14,751 10.6

11/01/11 ICUS RUSSELL 2000 MINI INDEX FUTURE    U.S.          4        1,411  0.3      8,389  1.8     456,276
                                                NON U.S.      5        4,584  1.0        349  0.1
                                                           ----    --------- ----  --------- ----
                                                              9        5,995  1.3      8,738  1.9

11/01/11 CME NIKKEI STOCK AVERAGE YEN DENOM     U.S.                   1,355  2.9          0  0.0      47,083
                                                NON U.S.               1,350  2.9      4,397  9.3
                                                           ----    --------- ----  --------- ----
                                                              8        2,705  5.7      4,397  9.3

11/01/11 CME E-MINI S&P 400 STOCK INDEX         U.S.                     635  0.6         42  0.0     111,401
                                                NON U.S.                   0  0.0        420  0.4
                                                           ----    --------- ----  --------- ----
                                                              5          635  0.6        462  0.4

11/01/11 NYME 3.5% FUEL OIL RDAM CRACK SPR      U.S.                   1,164  6.0        916  4.7      19,391
                                                NON U.S.                 776  4.0      1,047  5.4
                                                           ----    --------- ----  --------- ----
                                                              7        1,940 10.0      1,963 10.1

11/01/11 NYME HEAT OIL CRACK SPRD CAL SWAP      U.S.                   2,060  8.2      1,730  6.9      25,168
                                                NON U.S.                 780  3.1        251  1.0
                                                           ----    --------- ----  --------- ----
                                                              6        2,840 11.3      1,981  7.9

11/01/11 NYME GASOIL CRACK SPR SWAP             U.S.                     441  1.4      1,701  5.3      31,956
                                                NON U.S.                 782  2.4        515  1.6
                                                           ----    --------- ----  --------- ----
                                                              5        1,223  3.8      2,216  6.9