BANK PARTICIPATION IN FUTURES MARKETS

(IN CONTRACTS)



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

12/04/07 CBT WHEAT                              U.S.          1        9,732  2.4         30  0.0     408,771
                                                NON U.S.     13       45,367 11.1      4,269  1.0
                                                           ----    --------- ----  --------- ----
                                                             14       55,099 13.5      4,299  1.1

12/04/07 KCBT WHEAT                             U.S.          1        2,490  2.1          0  0.0     120,902
                                                NON U.S.      5        4,219  3.5        250  0.2
                                                           ----    --------- ----  --------- ----
                                                              6        6,709  5.5        250  0.2

12/04/07 CBT CORN                               U.S.          3       17,408  1.5        443  0.0   1,141,834
                                                NON U.S.     10       87,816  7.7      5,229  0.5
                                                           ----    --------- ----  --------- ----
                                                             13      105,224  9.2      5,672  0.5

12/04/07 CBT SOYBEANS                           U.S.          1        8,227  1.4        145  0.0     588,929
                                                NON U.S.     11       31,201  5.3      2,439  0.4
                                                           ----    --------- ----  --------- ----
                                                             12       39,428  6.7      2,584  0.4

12/04/07 CBT SOYBEAN OIL                        U.S.          1        3,007  1.0          0  0.0     307,668
                                                NON U.S.      5       16,978  5.5        139  0.0
                                                           ----    --------- ----  --------- ----
                                                              6       19,985  6.5        139  0.0

12/04/07 CBT U.S. TREASURY BONDS                U.S.          3       17,376  1.7      9,037  0.9   1,003,926
                                                NON U.S.     17       19,035  1.9     27,499  2.7
                                                           ----    --------- ----  --------- ----
                                                             20       36,411  3.6     36,536  3.6

12/04/07 NYME NO. 2 HEATING OIL, N.Y. HARBOR    U.S.          3        5,026  2.5        808  0.4     203,924
                                                NON U.S.      5       15,087  7.4      8,602  4.2
                                                           ----    --------- ----  --------- ----
                                                              8       20,113  9.9      9,410  4.6

12/04/07 NYME SING GASOIL SWAP                  U.S.          2            0  0.0      1,325 19.3       6,866
                                                NON U.S.      4          250  3.6      1,075 15.7
                                                           ----    --------- ----  --------- ----
                                                              6          250  3.6      2,400 35.0

12/04/07 NYME NATURAL GAS                       U.S.          5       53,506  6.5     39,500  4.8     827,956
                                                NON U.S.     10       45,712  5.5     47,490  5.7
                                                           ----    --------- ----  --------- ----
                                                             15       99,218 12.0     86,990 10.5

12/04/07 NYME MICHCON BASIS SWAP                U.S.          3       10,234 10.0        683  0.7     102,516
                                                NON U.S.      3        5,393  5.3      4,484  4.4
                                                           ----    --------- ----  --------- ----
                                                              6       15,627 15.2      5,167  5.0

12/04/07 NYME PERMIAN BASIS SWAP                U.S.          3        8,795 11.5        447  0.6      76,418
                                                NON U.S.      3          124  0.2      2,709  3.5
                                                           ----    --------- ----  --------- ----
                                                              6        8,919 11.7      3,156  4.1

12/04/07 NYME TCO BASIS SWAP                    U.S.          3        3,657  3.4      3,906  3.7     106,250
                                                NON U.S.      2        8,742  8.2        214  0.2
                                                           ----    --------- ----  --------- ----
                                                              5       12,399 11.7      4,120  3.9

12/04/07 NYME PG&E CITYGATE BASIS SWAP          U.S.          3            0  0.0      2,917  5.4      53,534
                                                NON U.S.      4          818  1.5        637  1.2
                                                           ----    --------- ----  --------- ----
                                                              7          818  1.5      3,554  6.6

12/04/07 NYME NGPL TEXOK BASIS SWAP             U.S.          3        2,430  3.0      4,172  5.2      79,774
                                                NON U.S.      3        1,499  1.9      3,582  4.5
                                                           ----    --------- ----  --------- ----
                                                              6        3,929  4.9      7,754  9.7

12/04/07 NYME ANR OK BASIS SWAP                 U.S.          2            0  0.0      1,221  3.7      33,095
                                                NON U.S.      3        1,712  5.2      5,124 15.5
                                                           ----    --------- ----  --------- ----
                                                              5        1,712  5.2      6,345 19.2

12/04/07 NYME NGPL MID-CON BASIS SWAP           U.S.          2          366  0.4         91  0.1     103,413
                                                NON U.S.      3        1,761  1.7      3,261  3.2
                                                           ----    --------- ----  --------- ----
                                                              5        2,127  2.1      3,352  3.2

12/04/07 NYME WAHA BASIS SWAP                   U.S.          4          730  0.6     15,975 14.0     114,292
                                                NON U.S.      2          486  0.4      3,017  2.6
                                                           ----    --------- ----  --------- ----
                                                              6        1,216  1.1     18,992 16.6

12/04/07 NYME CIG BASIS SWAP                    U.S.          4           64  0.2      4,248 10.7      39,816
                                                NON U.S.      3        1,118  2.8      8,189 20.6
                                                           ----    --------- ----  --------- ----
                                                              7        1,182  3.0     12,437 31.2

12/04/07 NYME CENTERPOINT BASIS SWAP            U.S.          4        1,038  3.8      3,965 14.4      27,488
                                                NON U.S.      2        1,498  5.4      5,906 21.5
                                                           ----    --------- ----  --------- ----
                                                              6        2,536  9.2      9,871 35.9

12/04/07 CME 1-MONTH LIBOR RATE                 U.S.          1            0  0.0      2,119  4.6      45,754
                                                NON U.S.     11       13,998 30.6      9,840 21.5
                                                           ----    --------- ----  --------- ----
                                                             12       13,998 30.6     11,959 26.1

12/04/07 NYBT COTTON NO. 2                      U.S.          1        2,404  1.1          0  0.0     210,401
                                                NON U.S.      7       18,079  8.6        342  0.2
                                                           ----    --------- ----  --------- ----
                                                              8       20,483  9.7        342  0.2

12/04/07 NYME ALBERTA BASIS SWAP                U.S.          4        4,745  3.8      2,730  2.2     126,392
                                                NON U.S.      8       19,116 15.1     20,120 15.9
                                                           ----    --------- ----  --------- ----
                                                             12       23,861 18.9     22,850 18.1

12/04/07 NYME HOUSTON SHIP CH BASIS SWAP        U.S.          6        3,414  1.4     12,157  5.1     239,058
                                                NON U.S.      4        8,895  3.7     10,840  4.5
                                                           ----    --------- ----  --------- ----
                                                             10       12,309  5.1     22,997  9.6

12/04/07 NYME NW PIPE ROCKIES BASIS SWAP        U.S.          5        9,832  4.8     20,800 10.2     204,769
                                                NON U.S.      5       20,644 10.1     17,174  8.4
                                                           ----    --------- ----  --------- ----
                                                             10       30,476 14.9     37,974 18.5

12/04/07 NYME PANHANDLE BASIS SWAP              U.S.          4        5,207  2.4     24,927 11.4     219,285
                                                NON U.S.      4        5,198  2.4     26,293 12.0
                                                           ----    --------- ----  --------- ----
                                                              8       10,405  4.7     51,220 23.4

12/04/07 NYME SAN JUAN BASIS SWAP               U.S.          6       12,196 25.8      6,129 13.0      47,253
                                                NON U.S.      4        3,894  8.2      4,064  8.6
                                                           ----    --------- ----  --------- ----
                                                             10       16,090 34.1     10,193 21.6

12/04/07 NYME SOCAL BASIS SWAP                  U.S.          5       28,642 14.7      7,606  3.9     195,124
                                                NON U.S.      5        5,862  3.0     15,732  8.1
                                                           ----    --------- ----  --------- ----
                                                             10       34,504 17.7     23,338 12.0

12/04/07 NYME TRANSCO ZONE 6 BASIS SWAP         U.S.          2          736  1.0      1,646  2.3      71,714
                                                NON U.S.      3        6,197  8.6      8,823 12.3
                                                           ----    --------- ----  --------- ----
                                                              5        6,933  9.7     10,469 14.6

12/04/07 NYME HENRY HUB GAS SWAP                U.S.          6      215,579  7.9    253,210  9.3   2,732,450
                                                NON U.S.      9      236,493  8.7    171,050  6.3
                                                           ----    --------- ----  --------- ----
                                                             15      452,072 16.5    424,260 15.5

12/04/07 NYME HENRY HUB PENULTIMATE GAS SWAP    U.S.          5       88,863  9.7      5,910  0.6     917,941
                                                NON U.S.      9      202,702 22.1    124,113 13.5
                                                           ----    --------- ----  --------- ----
                                                             14      291,565 31.8    130,023 14.2

12/04/07 CBT 2-YEAR U.S. TREASURY NOTES         U.S.          3       17,715  1.8      8,658  0.9     995,457
                                                NON U.S.     40       90,861  9.1     73,021  7.3
                                                           ----    --------- ----  --------- ----
                                                             43      108,576 10.9     81,679  8.2

12/04/07 CBT 10-YEAR U.S. TREASURY NOTES        U.S.          6       58,381  2.3     25,666  1.0   2,544,543
                                                NON U.S.     52      151,451  6.0    213,540  8.4
                                                           ----    --------- ----  --------- ----
                                                             58      209,832  8.2    239,206  9.4

12/04/07 CBT 5-YEAR U.S. TREASURY NOTES         U.S.          5       55,241  2.8     61,994  3.2   1,946,926
                                                NON U.S.     41      168,778  8.7     85,547  4.4
                                                           ----    --------- ----  --------- ----
                                                             46      224,019 11.5    147,541  7.6

12/04/07 CBT 30-DAY FEDERAL FUNDS               U.S.          3        8,682  2.3     37,795 10.1     373,319
                                                NON U.S.     25       66,493 17.8     34,802  9.3
                                                           ----    --------- ----  --------- ----
                                                             28       75,175 20.1     72,597 19.4

12/04/07 CME LEAN HOGS                          U.S.          1        4,315  2.1          0  0.0     206,864
                                                NON U.S.      5       13,927  6.7         27  0.0
                                                           ----    --------- ----  --------- ----
                                                              6       18,242  8.8         27  0.0

12/04/07 CME LIVE CATTLE                        U.S.          2        7,085  3.0      1,219  0.5     237,412
                                                NON U.S.      4       19,076  8.0          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              6       26,161 11.0      1,219  0.5

12/04/07 CME FEEDER CATTLE                      U.S.          2          238  0.9        104  0.4      27,605
                                                NON U.S.      3          808  2.9          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              5        1,046  3.8        104  0.4

12/04/07 NYME PJM ELECTRICITY MONTHLY           U.S.          2        2,780  7.6      3,690 10.1      36,370
                                                NON U.S.      3        1,053  2.9        988  2.7
                                                           ----    --------- ----  --------- ----
                                                              5        3,833 10.5      4,678 12.9

12/04/07 NYME ISO NEW ENGLAND LMP SWAP          U.S.          2        1,500  8.9      2,509 14.9      16,883
                                                NON U.S.      4          244  1.4      1,217  7.2
                                                           ----    --------- ----  --------- ----
                                                              6        1,744 10.3      3,726 22.1

12/04/07 NYME CRUDE OIL, LIGHT SWEET            U.S.          5       14,116  1.0     54,614  4.0   1,382,526
                                                NON U.S.     16      129,738  9.4    100,979  7.3
                                                           ----    --------- ----  --------- ----
                                                             21      143,854 10.4    155,593 11.3

12/04/07 NYME WTI CRUDE OIL CALENDAR SWAP       U.S.          2        7,867  7.9      2,301  2.3      99,450
                                                NON U.S.      6       10,761 10.8     14,611 14.7
                                                           ----    --------- ----  --------- ----
                                                              8       18,628 18.7     16,912 17.0

12/04/07 NYME DUBAI CRUDE OIL CALENDAR SWAP     U.S.          2          550  3.6      1,650 10.8      15,285
                                                NON U.S.      4          450  2.9        997  6.5
                                                           ----    --------- ----  --------- ----
                                                              6        1,000  6.5      2,647 17.3

12/04/07 NYME WTI CRUDE OIL FINANCIAL           U.S.          5        6,165  4.9      4,321  3.4     126,988
                                                NON U.S.      7       22,880 18.0     14,897 11.7
                                                           ----    --------- ----  --------- ----
                                                             12       29,045 22.9     19,218 15.1

12/04/07 NYME DATED TO FRONTLINE BRENT SWAP     U.S.          2        2,310 10.2      1,140  5.0      22,662
                                                NON U.S.      3          150  0.7      3,350 14.8
                                                           ----    --------- ----  --------- ----
                                                              5        2,460 10.9      4,490 19.8

12/04/07 NYBT COCOA                             U.S.          1        2,062  1.4          0  0.0     150,307
                                                NON U.S.      7        4,080  2.7      2,669  1.8
                                                           ----    --------- ----  --------- ----
                                                              8        6,142  4.1      2,669  1.8

12/04/07 NYME PALLADIUM                         U.S.          2           60  0.4      1,243  8.4      14,761
                                                NON U.S.      8          866  5.9      2,471 16.7
                                                           ----    --------- ----  --------- ----
                                                             10          926  6.3      3,714 25.2

12/04/07 NYME PLATINUM                          U.S.          2           42  0.3         50  0.4      13,897
                                                NON U.S.      9        1,038  7.5        586  4.2
                                                           ----    --------- ----  --------- ----
                                                             11        1,080  7.8        636  4.6

12/04/07 NYBT SUGAR NO. 11                      U.S.          2        7,181  0.9      2,836  0.4     784,065
                                                NON U.S.      8       78,091 10.0     25,366  3.2
                                                           ----    --------- ----  --------- ----
                                                             10       85,272 10.9     28,202  3.6

12/04/07 NYBT COFFEE C                          U.S.          1        1,317  0.8          0  0.0     155,570
                                                NON U.S.      8        9,959  6.4      9,042  5.8
                                                           ----    --------- ----  --------- ----
                                                              9       11,276  7.2      9,042  5.8

12/04/07 CMX SILVER                             U.S.          2          754  0.5      4,595  3.3     138,128
                                                NON U.S.     11        6,297  4.6      2,923  2.1
                                                           ----    --------- ----  --------- ----
                                                             13        7,051  5.1      7,518  5.4

12/04/07 CMX COPPER-GRADE #1                    U.S.          2        2,078  2.9          0  0.0      70,839
                                                NON U.S.     10        7,191 10.2      1,612  2.3
                                                           ----    --------- ----  --------- ----
                                                             12        9,269 13.1      1,612  2.3

12/04/07 CBT GOLD, 100 TROY OZ                  NON U.S.      5          330  2.2      1,245  8.2      15,254

12/04/07 CMX GOLD                               U.S.          4        3,969  0.8     73,041 15.0     486,709
                                                NON U.S.     20       20,425  4.2     52,331 10.8
                                                           ----    --------- ----  --------- ----
                                                             24       24,394  5.0    125,372 25.8

12/04/07 CME RUSSIAN RUBLE                      NON U.S.      6        9,106 57.0     10,502 65.7      15,988

12/04/07 CME CANADIAN DOLLAR                    U.S.          2        2,257  2.0        329  0.3     114,020
                                                NON U.S.     10       16,309 14.3     19,386 17.0
                                                           ----    --------- ----  --------- ----
                                                             12       18,566 16.3     19,715 17.3

12/04/07 CME SWISS FRANC                        U.S.          4        1,443  1.9      5,469  7.0      77,920
                                                NON U.S.      4       22,213 28.5      2,511  3.2
                                                           ----    --------- ----  --------- ----
                                                              8       23,656 30.4      7,980 10.2

12/04/07 CME MEXICAN PESO                       U.S.          3        3,659  3.5        953  0.9     105,039
                                                NON U.S.      6       22,470 21.4     73,777 70.2
                                                           ----    --------- ----  --------- ----
                                                              9       26,129 24.9     74,730 71.1

12/04/07 CME BRITISH POUND STERLING             U.S.          5        5,487  4.7      6,201  5.3     117,681
                                                NON U.S.      7        4,614  3.9     35,183 29.9
                                                           ----    --------- ----  --------- ----
                                                             12       10,101  8.6     41,384 35.2

12/04/07 CME JAPANESE YEN                       U.S.          3        1,589  0.8     33,179 16.9     195,761
                                                NON U.S.     10       16,371  8.4     15,135  7.7
                                                           ----    --------- ----  --------- ----
                                                             13       17,960  9.2     48,314 24.7

12/04/07 CME EURO FX                            U.S.          4        1,235  0.5      4,929  2.1     236,107
                                                NON U.S.     19       27,602 11.7    100,683 42.6
                                                           ----    --------- ----  --------- ----
                                                             23       28,837 12.2    105,612 44.7

12/04/07 NYME GASOLINE BLENDSTOCK (RBOB)        U.S.          2        3,519  1.8        543  0.3     195,655
                                                NON U.S.      7        8,576  4.4      5,760  2.9
                                                           ----    --------- ----  --------- ----
                                                              9       12,095  6.2      6,303  3.2

12/04/07 NYBT NEW ZEALAND DOLLAR                NON U.S.      7          105  3.8      1,252 45.5       2,754

12/04/07 CME NEW ZEALAND DOLLAR                 U.S.          2            0  0.0        804  3.7      22,019
                                                NON U.S.      4        2,037  9.3     12,886 58.5
                                                           ----    --------- ----  --------- ----
                                                              6        2,037  9.3     13,690 62.2

12/04/07 E VIX FUTURES                          U.S.          1          216  0.4        379  0.6      59,689
                                                NON U.S.      4          893  1.5        648  1.1
                                                           ----    --------- ----  --------- ----
                                                              5        1,109  1.9      1,027  1.7

12/04/07 CBT DOW JONES INDUSTRIAL AVERAGE       U.S.          3        3,652 10.1         22  0.1      36,127
                                                NON U.S.      6        2,140  5.9      1,089  3.0
                                                           ----    --------- ----  --------- ----
                                                              9        5,792 16.0      1,111  3.1

12/04/07 CBT DOW JONES INDUSTRIAL AVG- x $5     U.S.          2        1,134  1.1          0  0.0      99,646
                                                NON U.S.     10        5,622  5.6      1,432  1.4
                                                           ----    --------- ----  --------- ----
                                                             12        6,756  6.8      1,432  1.4

12/04/07 CME 3-MONTH EURODOLLARS                U.S.         11      817,882  7.3    817,831  7.3  11,168,181
                                                NON U.S.     65    1,558,378 14.0  1,802,198 16.1
                                                           ----    --------- ----  --------- ----
                                                             76    2,376,260 21.3  2,620,029 23.5

12/04/07 CME S&P 500 STOCK INDEX                U.S.          5        9,339  1.4         39  0.0     657,039
                                                NON U.S.     20       14,350  2.2     55,389  8.4
                                                           ----    --------- ----  --------- ----
                                                             25       23,689  3.6     55,428  8.4

12/04/07 CME E-MINI S&P 500 STOCK INDEX         U.S.          9       19,383  0.9     44,168  2.0   2,164,011
                                                NON U.S.     40       81,325  3.8    128,015  5.9
                                                           ----    --------- ----  --------- ----
                                                             49      100,708  4.7    172,183  8.0

12/04/07 CME NASDAQ-100 STOCK INDEX             U.S.          4          961  1.8      3,103  5.9      52,715
                                                NON U.S.     11        5,104  9.7        750  1.4
                                                           ----    --------- ----  --------- ----
                                                             15        6,065 11.5      3,853  7.3

12/04/07 CME NASDAQ-100 STOCK INDEX (MINI)      U.S.          5        9,282  2.2      7,126  1.7     417,364
                                                NON U.S.     24       20,441  4.9      3,154  0.8
                                                           ----    --------- ----  --------- ----
                                                             29       29,723  7.1     10,280  2.5

12/04/07 CME AUSTRALIAN DOLLAR                  U.S.          3        1,168  1.7      1,608  2.4      67,940
                                                NON U.S.      5          442  0.7     19,184 28.2
                                                           ----    --------- ----  --------- ----
                                                              8        1,610  2.4     20,792 30.6

12/04/07 CME RUSSEL 2000 STOCK INDEX FUTURE     U.S.          2          324  0.8      1,283  3.4      38,287
                                                NON U.S.      8        3,420  8.9      2,502  6.5
                                                           ----    --------- ----  --------- ----
                                                             10        3,744  9.8      3,785  9.9

12/04/07 CME RUSSEL 2000 STOCK INDEX (MINI)     U.S.          8          918  0.1      9,804  1.5     662,120
                                                NON U.S.     15        8,916  1.3     19,874  3.0
                                                           ----    --------- ----  --------- ----
                                                             23        9,834  1.5     29,678  4.5

12/04/07 CME NIKKEI STOCK AVERAGE               U.S.          2        2,301  3.2          0  0.0      70,846
                                                NON U.S.     15       12,850 18.1      5,122  7.2
                                                           ----    --------- ----  --------- ----
                                                             17       15,151 21.4      5,122  7.2

12/04/07 CME NIKKEI STOCK AVERAGE YEN DENOM     U.S.          3        5,443  9.2          0  0.0      59,359
                                                NON U.S.     11        3,325  5.6     13,171 22.2
                                                           ----    --------- ----  --------- ----
                                                             14        8,768 14.8     13,171 22.2

12/04/07 CBT INTEREST RATE SWAPS 10YR - 3MO     U.S.          2        1,703  3.1     18,489 34.0      54,345
                                                NON U.S.      4          413  0.8      2,062  3.8
                                                           ----    --------- ----  --------- ----
                                                              6        2,116  3.9     20,551 37.8

12/04/07 CBT INTEREST RATE SWAPS 5YR - 3MO      U.S.          2        1,476  8.9      6,618 39.9      16,588
                                                NON U.S.      4        4,678 28.2          4  0.0
                                                           ----    --------- ----  --------- ----
                                                              6        6,154 37.1      6,622 39.9

12/04/07 NYME SING JET KERO SWAP                U.S.          1            0  0.0         25  0.7       3,650
                                                NON U.S.      4        1,100 30.1        950 26.0
                                                           ----    --------- ----  --------- ----
                                                              5        1,100 30.1        975 26.7

12/04/07 CME E-MINI S&P 400 STOCK INDEX         U.S.          3          375  0.4        588  0.6     104,193
                                                NON U.S.      4            0  0.0      4,605  4.4
                                                           ----    --------- ----  --------- ----
                                                              7          375  0.4      5,193  5.0

12/04/07 CME 3-MO. EUROYEN TIBOR                U.S.          5        2,205  5.2      2,281  5.4      42,293
                                                NON U.S.     17       12,564 29.7      9,488 22.4
                                                           ----    --------- ----  --------- ----
                                                             22       14,769 34.9     11,769 27.8

12/04/07 NYME SING JET KERO GASOIL SPR SWAP     U.S.          2          150  4.7        400 12.5       3,205
                                                NON U.S.      3          150  4.7        400 12.5
                                                           ----    --------- ----  --------- ----
                                                              5          300  9.4        800 25.0

12/04/07 NYME HEAT OIL CRACK SPRD CAL SWAP      U.S.          3          525  5.8         50  0.6       9,085
                                                NON U.S.      2        1,695 18.7        795  8.8
                                                           ----    --------- ----  --------- ----
                                                              5        2,220 24.4        845  9.3

12/04/07 NYME GASOIL CRACK SPR SWAP             U.S.          2        1,911 25.8        200  2.7       7,404
                                                NON U.S.      3          546  7.4        489  6.6
                                                           ----    --------- ----  --------- ----
                                                              5        2,457 33.2        689  9.3