BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
REPORT DATE: 04/03/2007
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
04/03/07 CBT WHEAT U.S. 1 10,546 2.6 0 0.0 399,702
NON U.S. 14 56,511 14.1 8,504 2.1
---- --------- ---- --------- ----
15 67,057 16.8 8,504 2.1
04/03/07 KCBT WHEAT U.S. 1 1,977 1.5 0 0.0 132,977
NON U.S. 6 5,026 3.8 587 0.4
---- --------- ---- --------- ----
7 7,003 5.3 587 0.4
04/03/07 CBT CORN U.S. 2 19,753 1.4 137 0.0 1,428,352
NON U.S. 14 79,633 5.6 6,191 0.4
---- --------- ---- --------- ----
16 99,386 7.0 6,328 0.4
04/03/07 CBT SOYBEANS U.S. 1 9,002 1.8 0 0.0 489,702
NON U.S. 7 24,249 5.0 1,787 0.4
---- --------- ---- --------- ----
8 33,251 6.8 1,787 0.4
04/03/07 CBT SOYBEAN OIL U.S. 1 3,505 1.1 0 0.0 316,037
NON U.S. 7 15,267 4.8 2,908 0.9
---- --------- ---- --------- ----
8 18,772 5.9 2,908 0.9
04/03/07 CBT U.S. TREASURY BONDS U.S. 3 14,828 1.8 11,749 1.4 835,051
NON U.S. 20 23,298 2.8 21,832 2.6
---- --------- ---- --------- ----
23 38,126 4.6 33,581 4.0
04/03/07 NYME NY RES FUEL 1.0% SULFUR SWAP U.S. 2 6,396 44.8 210 1.5 14,277
NON U.S. 3 1,398 9.8 351 2.5
---- --------- ---- --------- ----
5 7,794 54.6 561 3.9
04/03/07 NYME EUR 3.5% FUEL OIL RTD CAL SWAP U.S. 1 117 6.3 95 5.1 1,871
NON U.S. 4 81 4.3 94 5.0
---- --------- ---- --------- ----
5 198 10.6 189 10.1
04/03/07 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 4 6,474 3.2 674 0.3 203,506
NON U.S. 7 13,860 6.8 11,529 5.7
---- --------- ---- --------- ----
11 20,334 10.0 12,203 6.0
04/03/07 NYME NATURAL GAS U.S. 5 53,807 7.3 35,499 4.8 739,152
NON U.S. 9 44,964 6.1 73,807 10.0
---- --------- ---- --------- ----
14 98,771 13.4 109,306 14.8
04/03/07 NYME PERMIAN BASIS SWAP U.S. 2 6,263 11.7 747 1.4 53,335
NON U.S. 4 2,295 4.3 4,214 7.9
---- --------- ---- --------- ----
6 8,558 16.0 4,961 9.3
04/03/07 NYME M-3 BASIS SWAP U.S. 2 1,501 1.2 1,111 0.9 120,926
NON U.S. 3 1,840 1.5 1,736 1.4
---- --------- ---- --------- ----
5 3,341 2.8 2,847 2.4
04/03/07 NYME TCO BASIS SWAP U.S. 2 440 0.6 1,387 1.7 79,733
NON U.S. 3 672 0.8 918 1.2
---- --------- ---- --------- ----
5 1,112 1.4 2,305 2.9
04/03/07 NYME MALIN BASIS SWAP U.S. 2 976 1.3 582 0.8 73,092
NON U.S. 4 4,280 5.9 3,123 4.3
---- --------- ---- --------- ----
6 5,256 7.2 3,705 5.1
04/03/07 NYME PG&E CITYGATE BASIS SWAP U.S. 2 0 0.0 1,138 1.7 65,386
NON U.S. 4 1,157 1.8 3,733 5.7
---- --------- ---- --------- ----
6 1,157 1.8 4,871 7.4
04/03/07 NYME SUMAS BASIS SWAP U.S. 3 2,567 10.2 244 1.0 25,132
NON U.S. 4 3,176 12.6 1,487 5.9
---- --------- ---- --------- ----
7 5,743 22.9 1,731 6.9
04/03/07 NYME NGPL MID-CON BASIS SWAP U.S. 2 2,448 2.9 520 0.6 84,643
NON U.S. 4 4,972 5.9 858 1.0
---- --------- ---- --------- ----
6 7,420 8.8 1,378 1.6
04/03/07 NYME WAHA BASIS SWAP U.S. 4 1,706 1.5 14,092 12.3 114,136
NON U.S. 2 2,355 2.1 244 0.2
---- --------- ---- --------- ----
6 4,061 3.6 14,336 12.6
04/03/07 NYME CIG BASIS SWAP U.S. 4 236 0.4 10,736 17.9 59,819
NON U.S. 4 629 1.1 11,884 19.9
---- --------- ---- --------- ----
8 865 1.4 22,620 37.8
04/03/07 CME 1-MONTH LIBOR RATE U.S. 1 9,806 12.9 1,212 1.6 76,257
NON U.S. 8 12,734 16.7 13,664 17.9
---- --------- ---- --------- ----
9 22,540 29.6 14,876 19.5
04/03/07 NYBT COTTON NO. 2 U.S. 1 5,204 2.2 0 0.0 236,275
NON U.S. 9 16,217 6.9 452 0.2
---- --------- ---- --------- ----
10 21,421 9.1 452 0.2
04/03/07 NYME ALBERTA BASIS SWAP U.S. 5 6,417 3.8 7,774 4.6 169,302
NON U.S. 9 15,754 9.3 47,212 27.9
---- --------- ---- --------- ----
14 22,171 13.1 54,986 32.5
04/03/07 NYME CHICAGO BASIS SWAP U.S. 1 31 0.0 0 0.0 83,154
NON U.S. 4 643 0.8 1,191 1.4
---- --------- ---- --------- ----
5 674 0.8 1,191 1.4
04/03/07 NYME HOUSTON SHIP CH BASIS SWAP U.S. 6 3,588 1.3 13,885 5.0 279,446
NON U.S. 5 4,024 1.4 19,731 7.1
---- --------- ---- --------- ----
11 7,612 2.7 33,616 12.0
04/03/07 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 15,932 9.3 11,693 6.9 170,441
NON U.S. 7 10,420 6.1 21,110 12.4
---- --------- ---- --------- ----
12 26,352 15.5 32,803 19.2
04/03/07 NYME PANHANDLE BASIS SWAP U.S. 5 1,846 1.1 13,719 8.0 172,366
NON U.S. 4 3,880 2.3 22,207 12.9
---- --------- ---- --------- ----
9 5,726 3.3 35,926 20.8
04/03/07 NYME SAN JUAN BASIS SWAP U.S. 5 13,966 28.9 3,856 8.0 48,285
NON U.S. 4 2,534 5.2 3,176 6.6
---- --------- ---- --------- ----
9 16,500 34.2 7,032 14.6
04/03/07 NYME SOCAL BASIS SWAP U.S. 5 32,251 13.2 8,535 3.5 243,816
NON U.S. 5 9,139 3.7 21,300 8.7
---- --------- ---- --------- ----
10 41,390 17.0 29,835 12.2
04/03/07 NYME HENRY HUB GAS SWAP U.S. 5 185,440 7.3 234,220 9.2 2,541,479
NON U.S. 9 234,792 9.2 229,640 9.0
---- --------- ---- --------- ----
14 420,232 16.5 463,860 18.3
04/03/07 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 5 118,245 13.3 9,731 1.1 887,673
NON U.S. 9 233,752 26.3 166,927 18.8
---- --------- ---- --------- ----
14 351,997 39.7 176,658 19.9
04/03/07 CBT 2-YEAR U.S. TREASURY NOTES U.S. 4 12,469 1.3 33,292 3.5 944,919
NON U.S. 43 60,966 6.5 62,185 6.6
---- --------- ---- --------- ----
47 73,435 7.8 95,477 10.1
04/03/07 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 56,105 2.2 12,865 0.5 2,525,436
NON U.S. 44 140,454 5.6 118,572 4.7
---- --------- ---- --------- ----
50 196,559 7.8 131,437 5.2
04/03/07 CBT 5-YEAR U.S. TREASURY NOTES U.S. 6 32,972 2.2 27,783 1.8 1,528,837
NON U.S. 28 65,540 4.3 45,873 3.0
---- --------- ---- --------- ----
34 98,512 6.4 73,656 4.8
04/03/07 CBT 30-DAY FEDERAL FUNDS U.S. 4 30,287 4.9 57,504 9.4 613,465
NON U.S. 32 125,696 20.5 123,507 20.1
---- --------- ---- --------- ----
36 155,983 25.4 181,011 29.5
04/03/07 CME LEAN HOGS U.S. 1 4,422 2.5 0 0.0 176,879
NON U.S. 4 12,653 7.2 0 0.0
---- --------- ---- --------- ----
5 17,075 9.7 0 0.0
04/03/07 CME LIVE CATTLE U.S. 2 8,396 2.8 2,050 0.7 298,482
NON U.S. 4 17,298 5.8 0 0.0
---- --------- ---- --------- ----
6 25,694 8.6 2,050 0.7
04/03/07 CME FEEDER CATTLE U.S. 2 580 1.8 107 0.3 31,623
NON U.S. 3 911 2.9 0 0.0
---- --------- ---- --------- ----
5 1,491 4.7 107 0.3
04/03/07 NYME PJM ELECTRICITY MONTHLY U.S. 2 3,299 9.5 3,840 11.0 34,834
NON U.S. 3 983 2.8 992 2.8
---- --------- ---- --------- ----
5 4,282 12.3 4,832 13.9
04/03/07 NYME ISO NEW ENGLAND LMP SWAP U.S. 2 1,655 9.5 3,069 17.7 17,376
NON U.S. 3 936 5.4 1,214 7.0
---- --------- ---- --------- ----
5 2,591 14.9 4,283 24.6
04/03/07 NYME NORTH ILL CAL MONTH LMP SWAP U.S. 2 1,160 8.1 1,747 12.2 14,282
NON U.S. 3 766 5.4 338 2.4
---- --------- ---- --------- ----
5 1,926 13.5 2,085 14.6
04/03/07 NYME NORTH ILL OFF PK LMP SWAP U.S. 2 3,328 12.2 50 0.2 27,214
NON U.S. 3 1,336 4.9 4,694 17.2
---- --------- ---- --------- ----
5 4,664 17.1 4,744 17.4
04/03/07 NYME ISO NEW ENG OFF PK LMP SWAP U.S. 2 760 7.1 2,124 19.9 10,690
NON U.S. 3 1,020 9.5 150 1.4
---- --------- ---- --------- ----
5 1,780 16.7 2,274 21.3
04/03/07 NYME CRUDE OIL, LIGHT SWEET U.S. 5 46,624 3.4 61,557 4.5 1,358,053
NON U.S. 24 106,889 7.9 96,042 7.1
---- --------- ---- --------- ----
29 153,513 11.3 157,599 11.6
04/03/07 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 2,547 2.8 7,665 8.3 92,482
NON U.S. 8 13,061 14.1 31,081 33.6
---- --------- ---- --------- ----
12 15,608 16.9 38,746 41.9
04/03/07 NYME WTI CRUDE OIL FINANCIAL U.S. 4 3,383 6.3 3,188 5.9 53,614
NON U.S. 8 12,838 23.9 5,851 10.9
---- --------- ---- --------- ----
12 16,221 30.3 9,039 16.9
04/03/07 NYME WTI-BRENT CALENDAR SWAP NON U.S. 6 3,103 17.7 4,171 23.8 17,548
04/03/07 NYME BRENT (ICE) CALENDAR SWAP U.S. 1 932 5.0 0 0.0 18,632
NON U.S. 5 2,695 14.5 1,217 6.5
---- --------- ---- --------- ----
6 3,627 19.5 1,217 6.5
04/03/07 NYBT COCOA U.S. 1 1,730 1.0 0 0.0 170,120
NON U.S. 9 3,057 1.8 9,551 5.6
---- --------- ---- --------- ----
10 4,787 2.8 9,551 5.6
04/03/07 NYME PALLADIUM U.S. 2 0 0.0 252 1.6 15,692
NON U.S. 13 827 5.3 4,475 28.5
---- --------- ---- --------- ----
15 827 5.3 4,727 30.1
04/03/07 NYME PLATINUM U.S. 2 0 0.0 560 4.8 11,787
NON U.S. 6 1,237 10.5 227 1.9
---- --------- ---- --------- ----
8 1,237 10.5 787 6.7
04/03/07 NYBT SUGAR NO. 11 U.S. 2 9,886 1.5 1,950 0.3 667,293
NON U.S. 11 54,749 8.2 36,734 5.5
---- --------- ---- --------- ----
13 64,635 9.7 38,684 5.8
04/03/07 NYBT COFFEE C U.S. 1 1,922 1.2 0 0.0 154,517
NON U.S. 11 8,694 5.6 5,554 3.6
---- --------- ---- --------- ----
12 10,616 6.9 5,554 3.6
04/03/07 CMX SILVER U.S. 3 4,711 4.2 7,902 7.0 112,120
NON U.S. 8 6,555 5.8 5,756 5.1
---- --------- ---- --------- ----
11 11,266 10.0 13,658 12.2
04/03/07 CMX COPPER-GRADE #1 U.S. 1 2,180 2.8 0 0.0 77,186
NON U.S. 7 5,731 7.4 352 0.5
---- --------- ---- --------- ----
8 7,911 10.2 352 0.5
04/03/07 CBT GOLD, 100 TROY OZ U.S. 2 0 0.0 1,616 5.1 31,397
NON U.S. 8 1,235 3.9 7,029 22.4
---- --------- ---- --------- ----
10 1,235 3.9 8,645 27.5
04/03/07 CMX GOLD U.S. 5 7,233 2.1 27,317 7.9 347,817
NON U.S. 18 18,666 5.4 59,096 17.0
---- --------- ---- --------- ----
23 25,899 7.4 86,413 24.8
04/03/07 CME RUSSIAN RUBLE NON U.S. 5 5,909 46.5 10,401 81.8 12,713
04/03/07 CME CANADIAN DOLLAR U.S. 4 599 0.5 3,319 2.9 113,096
NON U.S. 8 5,120 4.5 13,549 12.0
---- --------- ---- --------- ----
12 5,719 5.1 16,868 14.9
04/03/07 CME SWISS FRANC U.S. 2 0 0.0 1,369 2.4 57,666
NON U.S. 6 19,722 34.2 2,396 4.2
---- --------- ---- --------- ----
8 19,722 34.2 3,765 6.5
04/03/07 CME MEXICAN PESO U.S. 3 2,186 3.0 5,677 7.8 73,102
NON U.S. 7 4,970 6.8 31,412 43.0
---- --------- ---- --------- ----
10 7,156 9.8 37,089 50.7
04/03/07 CME BRITISH POUND STERLING U.S. 4 2,135 1.7 5,899 4.8 122,932
NON U.S. 5 759 0.6 25,924 21.1
---- --------- ---- --------- ----
9 2,894 2.4 31,823 25.9
04/03/07 CME JAPANESE YEN U.S. 2 9,994 4.5 25,150 11.3 221,748
NON U.S. 8 52,695 23.8 1,063 0.5
---- --------- ---- --------- ----
10 62,689 28.3 26,213 11.8
04/03/07 CME EURO FX U.S. 4 1,768 0.9 14,661 7.4 198,368
NON U.S. 20 10,093 5.1 45,357 22.9
---- --------- ---- --------- ----
24 11,861 6.0 60,018 30.3
04/03/07 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 2 3,179 1.9 121 0.1 166,050
NON U.S. 8 8,862 5.3 5,882 3.5
---- --------- ---- --------- ----
10 12,041 7.3 6,003 3.6
04/03/07 CME NEW ZEALAND DOLLAR U.S. 1 0 0.0 672 2.5 27,025
NON U.S. 5 177 0.7 13,199 48.8
---- --------- ---- --------- ----
6 177 0.7 13,871 51.3
04/03/07 E VIX FUTURES U.S. 1 250 0.6 0 0.0 42,319
NON U.S. 4 903 2.1 522 1.2
---- --------- ---- --------- ----
5 1,153 2.7 522 1.2
04/03/07 NYBT SOUTH AFRICAN RAND U.S. 2 0 0.0 242 13.5 1,786
NON U.S. 3 258 14.4 1,117 62.5
---- --------- ---- --------- ----
5 258 14.4 1,359 76.1
04/03/07 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 2 2,343 5.8 30 0.1 40,143
NON U.S. 8 3,110 7.7 7,118 17.7
---- --------- ---- --------- ----
10 5,453 13.6 7,148 17.8
04/03/07 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 3 2,531 3.3 0 0.0 76,675
NON U.S. 7 739 1.0 1,913 2.5
---- --------- ---- --------- ----
10 3,270 4.3 1,913 2.5
04/03/07 CME EUROZONE HICP U.S. 1 30 4.6 0 0.0 655
NON U.S. 5 350 53.4 440 67.2
---- --------- ---- --------- ----
6 380 58.0 440 67.2
04/03/07 CME 3-MONTH EURODOLLARS U.S. 11 509,136 4.9 1,187,387 11.5 10,321,104
NON U.S. 67 1,945,819 18.9 985,397 9.5
---- --------- ---- --------- ----
78 2,454,955 23.8 2,172,784 21.1
04/03/07 CME S&P 500 STOCK INDEX U.S. 5 8,307 1.3 363 0.1 627,963
NON U.S. 20 8,831 1.4 65,408 10.4
---- --------- ---- --------- ----
25 17,138 2.7 65,771 10.5
04/03/07 CME E-MINI S&P 500 STOCK INDEX U.S. 8 9,146 0.5 24,241 1.3 1,873,931
NON U.S. 33 72,237 3.9 125,993 6.7
---- --------- ---- --------- ----
41 81,383 4.3 150,234 8.0
04/03/07 CME NASDAQ-100 STOCK INDEX U.S. 6 2,320 5.0 3,534 7.7 46,167
NON U.S. 8 3,818 8.3 972 2.1
---- --------- ---- --------- ----
14 6,138 13.3 4,506 9.8
04/03/07 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 7 11,669 3.3 1,492 0.4 350,189
NON U.S. 27 21,252 6.1 12,886 3.7
---- --------- ---- --------- ----
34 32,921 9.4 14,378 4.1
04/03/07 CME AUSTRALIAN DOLLAR U.S. 4 0 0.0 5,029 4.1 121,869
NON U.S. 5 142 0.1 45,177 37.1
---- --------- ---- --------- ----
9 142 0.1 50,206 41.2
04/03/07 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 2 327 1.0 6,050 18.1 33,379
NON U.S. 8 990 3.0 1,668 5.0
---- --------- ---- --------- ----
10 1,317 3.9 7,718 23.1
04/03/07 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 6 1,431 0.3 4,971 1.2 416,746
NON U.S. 16 7,830 1.9 7,467 1.8
---- --------- ---- --------- ----
22 9,261 2.2 12,438 3.0
04/03/07 CME NIKKEI STOCK AVERAGE U.S. 1 216 0.4 0 0.0 51,162
NON U.S. 20 2,906 5.7 9,163 17.9
---- --------- ---- --------- ----
21 3,122 6.1 9,163 17.9
04/03/07 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 4 3,892 8.2 359 0.8 47,209
NON U.S. 15 2,581 5.5 12,981 27.5
---- --------- ---- --------- ----
19 6,473 13.7 13,340 28.3
04/03/07 NYBT BRITISH POUND/JPN YEN XRATE U.S. 2 0 0.0 1,203 25.2 4,774
NON U.S. 4 160 3.4 403 8.4
---- --------- ---- --------- ----
6 160 3.4 1,606 33.6
04/03/07 NYBT EURO FX/JAPANESE YEN XRATE U.S. 2 0 0.0 2,177 10.1 21,530
NON U.S. 7 1,773 8.2 4,552 21.1
---- --------- ---- --------- ----
9 1,773 8.2 6,729 31.3
04/03/07 NYBT AUSSIE DOLLAR/JPN YEN XRATE U.S. 1 0 0.0 1,294 35.3 3,666
NON U.S. 4 1,002 27.3 581 15.8
---- --------- ---- --------- ----
5 1,002 27.3 1,875 51.1
04/03/07 CME E-MINI S&P 400 STOCK INDEX U.S. 2 510 0.6 0 0.0 87,723
NON U.S. 5 2,003 2.3 1,300 1.5
---- --------- ---- --------- ----
7 2,513 2.9 1,300 1.5
04/03/07 CME EURO FX/JAPANESE YEN XRATE U.S. 1 213 4.0 0 0.0 5,293
NON U.S. 4 1,534 29.0 780 14.7
---- --------- ---- --------- ----
5 1,747 33.0 780 14.7
04/03/07 CME 3-MO. EUROYEN TIBOR U.S. 6 1,219 2.4 3,529 7.1 49,938
NON U.S. 17 13,015 26.1 11,094 22.2
---- --------- ---- --------- ----
23 14,234 28.5 14,623 29.3
04/03/07 NYBT EURO FX/BRITISH POUND XRATE U.S. 1 413 5.6 0 0.0 7,411
NON U.S. 4 2,495 33.7 915 12.3
---- --------- ---- --------- ----
5 2,908 39.2 915 12.3
04/03/07 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 2 450 3.4 570 4.3 13,354
NON U.S. 5 3,126 23.4 831 6.2
---- --------- ---- --------- ----
7 3,576 26.8 1,401 10.5
04/03/07 NYME RBOB CRACK SPREAD SWAP U.S. 2 325 3.5 249 2.7 9,233
NON U.S. 5 1,707 18.5 1,820 19.7
---- --------- ---- --------- ----
7 2,032 22.0 2,069 22.4