BANK PARTICIPATION IN FUTURES MARKETS

(IN CONTRACTS)



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

01/08/08 CBT WHEAT                              U.S.          1        9,016  2.0         30  0.0     441,651
                                                NON U.S.     15       45,019 10.2      4,644  1.1
                                                           ----    --------- ----  --------- ----
                                                             16       54,035 12.2      4,674  1.1

01/08/08 KCBT WHEAT                             U.S.          1        2,339  1.9          0  0.0     122,274
                                                NON U.S.      4        4,068  3.3          0  0.0
                                                           ----    --------- ----  --------- ----
                                                              5        6,407  5.2          0  0.0

01/08/08 CBT CORN                               U.S.          2       16,180  1.2      9,272  0.7   1,341,299
                                                NON U.S.      9       90,308  6.7      7,757  0.6
                                                           ----    --------- ----  --------- ----
                                                             11      106,488  7.9     17,029  1.3

01/08/08 CBT SOYBEANS                           U.S.          2        7,657  1.4      5,522  1.0     562,878
                                                NON U.S.     10       32,251  5.7      2,080  0.4
                                                           ----    --------- ----  --------- ----
                                                             12       39,908  7.1      7,602  1.4

01/08/08 CBT SOYBEAN OIL                        U.S.          1        2,718  0.9          0  0.0     294,151
                                                NON U.S.      5       16,034  5.5      4,092  1.4
                                                           ----    --------- ----  --------- ----
                                                              6       18,752  6.4      4,092  1.4

01/08/08 CBT U.S. TREASURY BONDS                U.S.          3       12,343  1.2     12,623  1.3   1,000,171
                                                NON U.S.     18       24,253  2.4     27,977  2.8
                                                           ----    --------- ----  --------- ----
                                                             21       36,596  3.7     40,600  4.1

01/08/08 NYME NO. 2 HEATING OIL, N.Y. HARBOR    U.S.          3        4,082  2.0      1,127  0.5     207,696
                                                NON U.S.      5       14,125  6.8      8,461  4.1
                                                           ----    --------- ----  --------- ----
                                                              8       18,207  8.8      9,588  4.6

01/08/08 NYME SING GASOIL SWAP                  U.S.          2            0  0.0      1,275 22.0       5,800
                                                NON U.S.      4            0  0.0        700 12.1
                                                           ----    --------- ----  --------- ----
                                                              6            0  0.0      1,975 34.1

01/08/08 NYME NATURAL GAS                       U.S.          4       51,628  5.9     38,054  4.4     868,133
                                                NON U.S.     10       79,049  9.1     42,523  4.9
                                                           ----    --------- ----  --------- ----
                                                             14      130,677 15.1     80,577  9.3

01/08/08 NYME MICHCON BASIS SWAP                U.S.          3       10,234 10.3        503  0.5      99,703
                                                NON U.S.      3        6,287  6.3      4,050  4.1
                                                           ----    --------- ----  --------- ----
                                                              6       16,521 16.6      4,553  4.6

01/08/08 NYME PERMIAN BASIS SWAP                U.S.          4       10,613 12.9        354  0.4      82,384
                                                NON U.S.      2            0  0.0      2,128  2.6
                                                           ----    --------- ----  --------- ----
                                                              6       10,613 12.9      2,482  3.0

01/08/08 NYME TCO BASIS SWAP                    U.S.          3        4,287  4.1      4,303  4.1     104,642
                                                NON U.S.      3        8,800  8.4      7,724  7.4
                                                           ----    --------- ----  --------- ----
                                                              6       13,087 12.5     12,027 11.5

01/08/08 NYME PG&E CITYGATE BASIS SWAP          U.S.          3            0  0.0      2,753  5.1      54,052
                                                NON U.S.      3          334  0.6        420  0.8
                                                           ----    --------- ----  --------- ----
                                                              6          334  0.6      3,173  5.9

01/08/08 NYME NGPL TEXOK BASIS SWAP             U.S.          3        9,375 11.5      3,947  4.9      81,225
                                                NON U.S.      3        1,220  1.5      2,482  3.1
                                                           ----    --------- ----  --------- ----
                                                              6       10,595 13.0      6,429  7.9

01/08/08 NYME ANR OK BASIS SWAP                 U.S.          2           16  0.0      2,933  7.8      37,655
                                                NON U.S.      3        1,712  4.5      4,661 12.4
                                                           ----    --------- ----  --------- ----
                                                              5        1,728  4.6      7,594 20.2

01/08/08 NYME SUMAS BASIS SWAP                  U.S.          3        2,792 15.2        122  0.7      18,415
                                                NON U.S.      3        2,505 13.6        120  0.7
                                                           ----    --------- ----  --------- ----
                                                              6        5,297 28.8        242  1.3

01/08/08 NYME WAHA BASIS SWAP                   U.S.          4          730  0.6     15,584 13.3     117,196
                                                NON U.S.      1            0  0.0      3,162  2.7
                                                           ----    --------- ----  --------- ----
                                                              5          730  0.6     18,746 16.0

01/08/08 NYME CIG BASIS SWAP                    U.S.          4           64  0.2      3,647  9.9      36,754
                                                NON U.S.      3        1,056  2.9      7,747 21.1
                                                           ----    --------- ----  --------- ----
                                                              7        1,120  3.0     11,394 31.0

01/08/08 NYME CENTERPOINT BASIS SWAP            U.S.          4          976  3.7      3,717 14.2      26,097
                                                NON U.S.      2        1,288  4.9      5,648 21.6
                                                           ----    --------- ----  --------- ----
                                                              6        2,264  8.7      9,365 35.9

01/08/08 CME 1-MONTH LIBOR RATE                 U.S.          3        1,736  3.7      3,339  7.1      47,028
                                                NON U.S.     10       20,661 43.9      8,545 18.2
                                                           ----    --------- ----  --------- ----
                                                             13       22,397 47.6     11,884 25.3

01/08/08 NYBT COTTON NO. 2                      U.S.          1        2,184  0.8          0  0.0     259,197
                                                NON U.S.      9       20,959  8.1        163  0.1
                                                           ----    --------- ----  --------- ----
                                                             10       23,143  8.9        163  0.1

01/08/08 NYME ALBERTA BASIS SWAP                U.S.          4        4,927  4.1      2,733  2.3     121,295
                                                NON U.S.      9       15,481 12.8     21,525 17.7
                                                           ----    --------- ----  --------- ----
                                                             13       20,408 16.8     24,258 20.0

01/08/08 NYME HOUSTON SHIP CH BASIS SWAP        U.S.          5        3,332  1.4     13,804  5.6     246,363
                                                NON U.S.      4        9,083  3.7     11,733  4.8
                                                           ----    --------- ----  --------- ----
                                                              9       12,415  5.0     25,537 10.4

01/08/08 NYME NW PIPE ROCKIES BASIS SWAP        U.S.          5        9,621  4.6     23,050 11.0     209,659
                                                NON U.S.      5       18,715  8.9     19,263  9.2
                                                           ----    --------- ----  --------- ----
                                                             10       28,336 13.5     42,313 20.2

01/08/08 NYME PANHANDLE BASIS SWAP              U.S.          3        5,770  2.8     25,239 12.2     207,112
                                                NON U.S.      4        6,273  3.0     25,118 12.1
                                                           ----    --------- ----  --------- ----
                                                              7       12,043  5.8     50,357 24.3

01/08/08 NYME SAN JUAN BASIS SWAP               U.S.          6       11,487 23.8      5,583 11.5      48,359
                                                NON U.S.      4        3,374  7.0      4,340  9.0
                                                           ----    --------- ----  --------- ----
                                                             10       14,861 30.7      9,923 20.5

01/08/08 NYME SOCAL BASIS SWAP                  U.S.          4       26,224 12.9      6,690  3.3     203,948
                                                NON U.S.      5        8,535  4.2     16,569  8.1
                                                           ----    --------- ----  --------- ----
                                                              9       34,759 17.0     23,259 11.4

01/08/08 NYME TRANSCO ZONE 6 BASIS SWAP         U.S.          2        1,005  1.2      1,992  2.4      81,998
                                                NON U.S.      3        5,596  6.8      9,247 11.3
                                                           ----    --------- ----  --------- ----
                                                              5        6,601  8.1     11,239 13.7

01/08/08 NYME HENRY HUB GAS SWAP                U.S.          6      139,542  5.1    265,716  9.7   2,750,865
                                                NON U.S.      9      209,957  7.6    212,185  7.7
                                                           ----    --------- ----  --------- ----
                                                             15      349,499 12.7    477,901 17.4

01/08/08 NYME HENRY HUB PENULTIMATE GAS SWAP    U.S.          5       85,014  9.4      5,868  0.6     903,538
                                                NON U.S.      9      167,669 18.6    107,065 11.8
                                                           ----    --------- ----  --------- ----
                                                             14      252,683 28.0    112,933 12.5

01/08/08 CBT 2-YEAR U.S. TREASURY NOTES         U.S.          3       33,730  3.3     22,841  2.2   1,036,600
                                                NON U.S.     42       71,834  6.9     83,593  8.1
                                                           ----    --------- ----  --------- ----
                                                             45      105,564 10.2    106,434 10.3

01/08/08 CBT 10-YEAR U.S. TREASURY NOTES        U.S.          6       46,327  2.0     20,045  0.9   2,290,428
                                                NON U.S.     47       87,432  3.8    224,889  9.8
                                                           ----    --------- ----  --------- ----
                                                             53      133,759  5.8    244,934 10.7

01/08/08 CBT 5-YEAR U.S. TREASURY NOTES         U.S.          6       36,420  1.9     41,542  2.2   1,890,947
                                                NON U.S.     37      178,818  9.5     88,489  4.7
                                                           ----    --------- ----  --------- ----
                                                             43      215,238 11.4    130,031  6.9

01/08/08 CBT 30-DAY FEDERAL FUNDS               U.S.          3        8,123  2.4     43,517 12.7     343,829
                                                NON U.S.     18       29,566  8.6     53,355 15.5
                                                           ----    --------- ----  --------- ----
                                                             21       37,689 11.0     96,872 28.2

01/08/08 CME LEAN HOGS                          U.S.          2        3,133  1.5        239  0.1     209,386
                                                NON U.S.      5       15,573  7.4        405  0.2
                                                           ----    --------- ----  --------- ----
                                                              7       18,706  8.9        644  0.3

01/08/08 CME LIVE CATTLE                        U.S.          3        6,958  2.9      1,668  0.7     243,690
                                                NON U.S.      5       19,640  8.1        375  0.2
                                                           ----    --------- ----  --------- ----
                                                              8       26,598 10.9      2,043  0.8

01/08/08 CME FEEDER CATTLE                      U.S.          1          233  0.7          0  0.0      34,757
                                                NON U.S.      4          607  1.7         72  0.2
                                                           ----    --------- ----  --------- ----
                                                              5          840  2.4         72  0.2

01/08/08 NYME PJM ELECTRICITY MONTHLY           U.S.          2        2,800  8.1      3,531 10.2      34,765
                                                NON U.S.      3          853  2.5      1,410  4.1
                                                           ----    --------- ----  --------- ----
                                                              5        3,653 10.5      4,941 14.2

01/08/08 NYME ISO NEW ENGLAND LMP SWAP          U.S.          2        2,466 14.0      2,308 13.1      17,593
                                                NON U.S.      3          140  0.8      1,205  6.8
                                                           ----    --------- ----  --------- ----
                                                              5        2,606 14.8      3,513 20.0

01/08/08 NYME NORTH ILL OFF PK LMP SWAP         U.S.          2        1,512  8.1        914  4.9      18,692
                                                NON U.S.      3        3,446 18.4        820  4.4
                                                           ----    --------- ----  --------- ----
                                                              5        4,958 26.5      1,734  9.3

01/08/08 NYME CRUDE OIL, LIGHT SWEET            U.S.          4       15,805  1.1     48,861  3.5   1,413,956
                                                NON U.S.     13      125,081  8.8    101,646  7.2
                                                           ----    --------- ----  --------- ----
                                                             17      140,886 10.0    150,507 10.6

01/08/08 NYME WTI CRUDE OIL CALENDAR SWAP       U.S.          2        6,467  6.4      2,508  2.5     100,827
                                                NON U.S.      5        7,881  7.8     11,177 11.1
                                                           ----    --------- ----  --------- ----
                                                              7       14,348 14.2     13,685 13.6

01/08/08 NYME WTI CRUDE OIL FINANCIAL           U.S.          5        6,644  4.4      3,678  2.4     151,390
                                                NON U.S.      7       21,521 14.2     14,469  9.6
                                                           ----    --------- ----  --------- ----
                                                             12       28,165 18.6     18,147 12.0

01/08/08 NYME BRENT FINANCIAL                   U.S.          2          720  4.8        258  1.7      14,911
                                                NON U.S.      3        3,553 23.8      2,500 16.8
                                                           ----    --------- ----  --------- ----
                                                              5        4,273 28.7      2,758 18.5

01/08/08 NYME DATED TO FRONTLINE BRENT SWAP     U.S.          2        1,754  9.0      1,140  5.9      19,434
                                                NON U.S.      3          150  0.8      3,300 17.0
                                                           ----    --------- ----  --------- ----
                                                              5        1,904  9.8      4,440 22.8

01/08/08 NYBT COCOA                             U.S.          1        3,224  1.8          0  0.0     183,671
                                                NON U.S.      8        5,058  2.8      3,173  1.7
                                                           ----    --------- ----  --------- ----
                                                              9        8,282  4.5      3,173  1.7

01/08/08 NYME PALLADIUM                         U.S.          2           56  0.3      1,374  8.0      17,154
                                                NON U.S.      8          479  2.8      3,040 17.7
                                                           ----    --------- ----  --------- ----
                                                             10          535  3.1      4,414 25.7

01/08/08 NYME PLATINUM                          U.S.          3            0  0.0        957  4.9      19,500
                                                NON U.S.      7          573  2.9      1,001  5.1
                                                           ----    --------- ----  --------- ----
                                                             10          573  2.9      1,958 10.0

01/08/08 NYBT SUGAR NO. 11                      U.S.          2        7,170  0.7      2,815  0.3     987,380
                                                NON U.S.      9       83,953  8.5     32,003  3.2
                                                           ----    --------- ----  --------- ----
                                                             11       91,123  9.2     34,818  3.5

01/08/08 NYBT COFFEE C                          U.S.          1        1,675  1.0          0  0.0     171,672
                                                NON U.S.      8       10,449  6.1      9,603  5.6
                                                           ----    --------- ----  --------- ----
                                                              9       12,124  7.1      9,603  5.6

01/08/08 CMX SILVER                             U.S.          2        1,453  0.9      2,989  1.8     168,508
                                                NON U.S.     10        5,023  3.0      3,245  1.9
                                                           ----    --------- ----  --------- ----
                                                             12        6,476  3.8      6,234  3.7

01/08/08 CMX COPPER-GRADE #1                    U.S.          2        2,142  2.8          0  0.0      75,606
                                                NON U.S.     11        7,259  9.6      1,098  1.5
                                                           ----    --------- ----  --------- ----
                                                             13        9,401 12.4      1,098  1.5

01/08/08 CMX GOLD                               U.S.          4        3,343  0.6     60,846 10.9     558,309
                                                NON U.S.     19       18,018  3.2     43,554  7.8
                                                           ----    --------- ----  --------- ----
                                                             23       21,361  3.8    104,400 18.7

01/08/08 CME RUSSIAN RUBLE                      NON U.S.      6       10,246 69.1      9,754 65.8      14,827

01/08/08 CME CANADIAN DOLLAR                    U.S.          1          809  1.0          0  0.0      82,454
                                                NON U.S.      7        6,448  7.8     23,599 28.6
                                                           ----    --------- ----  --------- ----
                                                              8        7,257  8.8     23,599 28.6

01/08/08 CME SWISS FRANC                        U.S.          2        1,161  1.9      2,994  4.8      62,749
                                                NON U.S.      5       11,280 18.0      8,483 13.5
                                                           ----    --------- ----  --------- ----
                                                              7       12,441 19.8     11,477 18.3

01/08/08 CME MEXICAN PESO                       U.S.          3        3,566  3.8        356  0.4      93,542
                                                NON U.S.      6        7,840  8.4     66,955 71.6
                                                           ----    --------- ----  --------- ----
                                                              9       11,406 12.2     67,311 72.0

01/08/08 CME BRITISH POUND STERLING             U.S.          2        1,904  2.2          0  0.0      86,731
                                                NON U.S.      5       18,483 21.3      2,847  3.3
                                                           ----    --------- ----  --------- ----
                                                              7       20,387 23.5      2,847  3.3

01/08/08 CME JAPANESE YEN                       U.S.          2        4,398  2.3     19,318 10.0     193,786
                                                NON U.S.     10        9,637  5.0     22,481 11.6
                                                           ----    --------- ----  --------- ----
                                                             12       14,035  7.2     41,799 21.6

01/08/08 CME EURO FX                            U.S.          2        1,270  0.7      1,094  0.6     179,512
                                                NON U.S.     16       15,790  8.8     25,575 14.2
                                                           ----    --------- ----  --------- ----
                                                             18       17,060  9.5     26,669 14.9

01/08/08 NYME GASOLINE BLENDSTOCK (RBOB)        U.S.          3        3,479  1.6        576  0.3     216,289
                                                NON U.S.      8        7,613  3.5      4,478  2.1
                                                           ----    --------- ----  --------- ----
                                                             11       11,092  5.1      5,054  2.3

01/08/08 CME NEW ZEALAND DOLLAR                 U.S.          2            0  0.0      1,208  5.7      21,286
                                                NON U.S.      4        1,038  4.9      5,676 26.7
                                                           ----    --------- ----  --------- ----
                                                              6        1,038  4.9      6,884 32.3

01/08/08 CBT DOW JONES INDUSTRIAL AVERAGE       U.S.          2        3,070 11.5         22  0.1      26,622
                                                NON U.S.      7        1,932  7.3      3,967 14.9
                                                           ----    --------- ----  --------- ----
                                                              9        5,002 18.8      3,989 15.0

01/08/08 CBT DOW JONES INDUSTRIAL AVG- x $5     U.S.          2        1,404  1.8          0  0.0      77,619
                                                NON U.S.     10        1,874  2.4      2,167  2.8
                                                           ----    --------- ----  --------- ----
                                                             12        3,278  4.2      2,167  2.8

01/08/08 CME 3-MONTH EURODOLLARS                U.S.         10      835,215  8.1    875,196  8.5  10,308,232
                                                NON U.S.     54    1,420,205 13.8  1,844,890 17.9
                                                           ----    --------- ----  --------- ----
                                                             64    2,255,420 21.9  2,720,086 26.4

01/08/08 CME S&P 500 STOCK INDEX                U.S.          4        6,541  1.2          6  0.0     544,792
                                                NON U.S.     20       10,890  2.0     68,060 12.5
                                                           ----    --------- ----  --------- ----
                                                             24       17,431  3.2     68,066 12.5

01/08/08 CME E-MINI S&P 500 STOCK INDEX         U.S.          7       13,814  0.7      7,835  0.4   1,993,208
                                                NON U.S.     37       58,770  2.9    189,543  9.5
                                                           ----    --------- ----  --------- ----
                                                             44       72,584  3.6    197,378  9.9

01/08/08 CME NASDAQ-100 STOCK INDEX             U.S.          3          608  1.5      4,088 10.4      39,240
                                                NON U.S.     10        8,447 21.5        811  2.1
                                                           ----    --------- ----  --------- ----
                                                             13        9,055 23.1      4,899 12.5

01/08/08 CME NASDAQ-100 STOCK INDEX (MINI)      U.S.          5        4,406  1.3      2,327  0.7     334,132
                                                NON U.S.     27       24,868  7.4      9,525  2.9
                                                           ----    --------- ----  --------- ----
                                                             32       29,274  8.8     11,852  3.5

01/08/08 CME AUSTRALIAN DOLLAR                  U.S.          2        1,958  2.5          0  0.0      78,398
                                                NON U.S.      5           94  0.1     29,275 37.3
                                                           ----    --------- ----  --------- ----
                                                              7        2,052  2.6     29,275 37.3

01/08/08 CME RUSSEL 2000 STOCK INDEX FUTURE     U.S.          2          273  0.7      1,137  2.8      40,134
                                                NON U.S.      7        1,076  2.7      4,955 12.3
                                                           ----    --------- ----  --------- ----
                                                              9        1,349  3.4      6,092 15.2

01/08/08 CME RUSSEL 2000 STOCK INDEX (MINI)     U.S.          6          476  0.1      9,634  1.5     627,378
                                                NON U.S.     15       31,226  5.0     20,829  3.3
                                                           ----    --------- ----  --------- ----
                                                             21       31,702  5.1     30,463  4.9

01/08/08 CME NIKKEI STOCK AVERAGE               U.S.          3          235  0.3      7,246 10.7      67,502
                                                NON U.S.     17        5,578  8.3      6,030  8.9
                                                           ----    --------- ----  --------- ----
                                                             20        5,813  8.6     13,276 19.7

01/08/08 CME NIKKEI STOCK AVERAGE YEN DENOM     U.S.          3        2,536  4.4          0  0.0      58,270
                                                NON U.S.     11        3,929  6.7     17,414 29.9
                                                           ----    --------- ----  --------- ----
                                                             14        6,465 11.1     17,414 29.9

01/08/08 CBT INTEREST RATE SWAPS 10YR - 3MO     U.S.          2        2,000  3.8     14,674 27.8      52,713
                                                NON U.S.      3          657  1.2        949  1.8
                                                           ----    --------- ----  --------- ----
                                                              5        2,657  5.0     15,623 29.6

01/08/08 CBT INTEREST RATE SWAPS 5YR - 3MO      U.S.          2        1,378  8.2      2,438 14.4      16,894
                                                NON U.S.      3       10,454 61.9        114  0.7
                                                           ----    --------- ----  --------- ----
                                                              5       11,832 70.0      2,552 15.1

01/08/08 NYBT EURO FX/JAPANESE YEN XRATE        U.S.          1            0  0.0        717  6.2      11,597
                                                NON U.S.      6        1,397 12.0      1,528 13.2
                                                           ----    --------- ----  --------- ----
                                                              7        1,397 12.0      2,245 19.4

01/08/08 CME E-MINI S&P 400 STOCK INDEX         U.S.          2          832  0.8        242  0.2     101,911
                                                NON U.S.      3            0  0.0     10,865 10.7
                                                           ----    --------- ----  --------- ----
                                                              5          832  0.8     11,107 10.9

01/08/08 CME 3-MO. EUROYEN TIBOR                U.S.          4          435  1.9        974  4.2      23,257
                                                NON U.S.     12        8,710 37.5      5,011 21.5
                                                           ----    --------- ----  --------- ----
                                                             16        9,145 39.3      5,985 25.7

01/08/08 NYME HEAT OIL CRACK SPRD CAL SWAP      U.S.          3          540  7.0         30  0.4       7,711
                                                NON U.S.      2        1,425 18.5        540  7.0
                                                           ----    --------- ----  --------- ----
                                                              5        1,965 25.5        570  7.4

01/08/08 NYME GASOIL CRACK SPR SWAP             U.S.          2        1,911 27.3          0  0.0       7,010
                                                NON U.S.      3          435  6.2        603  8.6
                                                           ----    --------- ----  --------- ----
                                                              5        2,346 33.5        603  8.6