BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
02/06/07 CBT WHEAT U.S. 1 11,405 2.5 0 0.0 454,387
NON U.S. 14 61,039 13.4 7,232 1.6
---- --------- ---- --------- ----
15 72,444 15.9 7,232 1.6
02/06/07 KCBT WHEAT U.S. 1 2,708 2.3 0 0.0 119,167
NON U.S. 7 6,454 5.4 147 0.1
---- --------- ---- --------- ----
8 9,162 7.7 147 0.1
02/06/07 CBT CORN U.S. 1 19,714 1.3 0 0.0 1,488,786
NON U.S. 12 86,573 5.8 6,446 0.4
---- --------- ---- --------- ----
13 106,287 7.1 6,446 0.4
02/06/07 CBT SOYBEANS U.S. 1 8,716 1.9 0 0.0 461,503
NON U.S. 8 24,736 5.4 1,947 0.4
---- --------- ---- --------- ----
9 33,452 7.2 1,947 0.4
02/06/07 CBT SOYBEAN OIL U.S. 1 3,474 1.3 0 0.0 275,698
NON U.S. 7 15,674 5.7 611 0.2
---- --------- ---- --------- ----
8 19,148 6.9 611 0.2
02/06/07 CBT U.S. TREASURY BONDS U.S. 2 15,239 1.7 7,427 0.8 893,751
NON U.S. 14 7,979 0.9 16,925 1.9
---- --------- ---- --------- ----
16 23,218 2.6 24,352 2.7
02/06/07 NYME NY RES FUEL 1.0% SULFUR SWAP U.S. 2 6,448 40.0 200 1.2 16,137
NON U.S. 3 1,853 11.5 686 4.3
---- --------- ---- --------- ----
5 8,301 51.4 886 5.5
02/06/07 NYME SING FUEL OIL 180 CAL SWAP U.S. 2 242 8.8 89 3.2 2,757
NON U.S. 3 260 9.4 10 0.4
---- --------- ---- --------- ----
5 502 18.2 99 3.6
02/06/07 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 4 6,985 3.2 628 0.3 217,665
NON U.S. 8 20,343 9.3 9,298 4.3
---- --------- ---- --------- ----
12 27,328 12.6 9,926 4.6
02/06/07 NYME NATURAL GAS U.S. 6 47,774 5.5 45,184 5.2 865,279
NON U.S. 11 42,693 4.9 77,285 8.9
---- --------- ---- --------- ----
17 90,467 10.5 122,469 14.2
02/06/07 NYME PERMIAN BASIS SWAP U.S. 3 5,215 12.1 1,042 2.4 43,123
NON U.S. 3 613 1.4 2,848 6.6
---- --------- ---- --------- ----
6 5,828 13.5 3,890 9.0
02/06/07 NYME M-3 BASIS SWAP U.S. 3 2,083 1.6 898 0.7 131,065
NON U.S. 3 2,605 2.0 1,774 1.4
---- --------- ---- --------- ----
6 4,688 3.6 2,672 2.0
02/06/07 NYME TCO BASIS SWAP U.S. 3 480 0.7 1,634 2.2 73,544
NON U.S. 3 732 1.0 1,220 1.7
---- --------- ---- --------- ----
6 1,212 1.6 2,854 3.9
02/06/07 NYME MALIN BASIS SWAP U.S. 2 1,216 1.6 1,076 1.4 77,122
NON U.S. 3 5,372 7.0 3,018 3.9
---- --------- ---- --------- ----
5 6,588 8.5 4,094 5.3
02/06/07 NYME PG&E CITYGATE BASIS SWAP U.S. 3 341 0.5 1,212 1.8 67,338
NON U.S. 3 1,337 2.0 3,086 4.6
---- --------- ---- --------- ----
6 1,678 2.5 4,298 6.4
02/06/07 NYME SUMAS BASIS SWAP U.S. 3 2,808 9.2 214 0.7 30,494
NON U.S. 5 3,731 12.2 2,794 9.2
---- --------- ---- --------- ----
8 6,539 21.4 3,008 9.9
02/06/07 NYME NGPL MID-CON BASIS SWAP U.S. 2 2,916 3.8 397 0.5 76,503
NON U.S. 3 4,458 5.8 550 0.7
---- --------- ---- --------- ----
5 7,374 9.6 947 1.2
02/06/07 NYME DOMINION BASIS SWAP U.S. 2 2,239 3.5 0 0.0 63,834
NON U.S. 3 0 0.0 2,086 3.3
---- --------- ---- --------- ----
5 2,239 3.5 2,086 3.3
02/06/07 NYME WAHA BASIS SWAP U.S. 4 1,905 1.8 12,609 11.9 106,225
NON U.S. 2 3,205 3.0 62 0.1
---- --------- ---- --------- ----
6 5,110 4.8 12,671 11.9
02/06/07 NYME CIG BASIS SWAP U.S. 5 453 0.8 14,222 24.7 57,495
NON U.S. 4 538 0.9 12,843 22.3
---- --------- ---- --------- ----
9 991 1.7 27,065 47.1
02/06/07 NYME TETCO SOUTH TEXAS SWAP U.S. 1 1,629 17.0 0 0.0 9,601
NON U.S. 4 3,141 32.7 0 0.0
---- --------- ---- --------- ----
5 4,770 49.7 0 0.0
02/06/07 CME 1-MONTH LIBOR RATE U.S. 2 1,302 3.0 1,847 4.2 43,512
NON U.S. 6 12,651 29.1 6,274 14.4
---- --------- ---- --------- ----
8 13,953 32.1 8,121 18.7
02/06/07 NYBT COTTON NO. 2 U.S. 1 5,602 2.9 0 0.0 195,478
NON U.S. 10 17,094 8.7 145 0.1
---- --------- ---- --------- ----
11 22,696 11.6 145 0.1
02/06/07 NYME ALBERTA BASIS SWAP U.S. 5 6,984 3.9 8,971 5.0 181,012
NON U.S. 8 13,870 7.7 50,198 27.7
---- --------- ---- --------- ----
13 20,854 11.5 59,169 32.7
02/06/07 NYME CHICAGO BASIS SWAP U.S. 2 2,099 2.6 305 0.4 79,273
NON U.S. 3 1,196 1.5 977 1.2
---- --------- ---- --------- ----
5 3,295 4.2 1,282 1.6
02/06/07 NYME HOUSTON SHIP CH BASIS SWAP U.S. 6 4,184 1.5 13,266 4.6 286,529
NON U.S. 5 5,225 1.8 22,946 8.0
---- --------- ---- --------- ----
11 9,409 3.3 36,212 12.6
02/06/07 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 14,814 8.8 7,933 4.7 167,902
NON U.S. 6 11,819 7.0 19,187 11.4
---- --------- ---- --------- ----
11 26,633 15.9 27,120 16.2
02/06/07 NYME PANHANDLE BASIS SWAP U.S. 6 2,050 1.1 15,617 8.6 181,222
NON U.S. 4 4,644 2.6 22,951 12.7
---- --------- ---- --------- ----
10 6,694 3.7 38,568 21.3
02/06/07 NYME SAN JUAN BASIS SWAP U.S. 5 8,644 20.7 4,338 10.4 41,726
NON U.S. 4 1,435 3.4 5,315 12.7
---- --------- ---- --------- ----
9 10,079 24.2 9,653 23.1
02/06/07 NYME SOCAL BASIS SWAP U.S. 5 27,742 11.6 10,201 4.3 239,355
NON U.S. 5 7,209 3.0 18,429 7.7
---- --------- ---- --------- ----
10 34,951 14.6 28,630 12.0
02/06/07 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 519 0.8 2,752 4.4 62,757
NON U.S. 3 918 1.5 457 0.7
---- --------- ---- --------- ----
5 1,437 2.3 3,209 5.1
02/06/07 NYME HENRY HUB GAS SWAP U.S. 5 158,753 5.6 260,082 9.1 2,856,529
NON U.S. 8 264,487 9.3 249,390 8.7
---- --------- ---- --------- ----
13 423,240 14.8 509,472 17.8
02/06/07 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 5 95,440 11.1 24,572 2.8 863,072
NON U.S. 8 153,950 17.8 177,000 20.5
---- --------- ---- --------- ----
13 249,390 28.9 201,572 23.4
02/06/07 NYBT FRZN CONCENTRATED ORANGE JUICE U.S. 1 0 0.0 134 0.5 28,597
NON U.S. 4 1,528 5.3 0 0.0
---- --------- ---- --------- ----
5 1,528 5.3 134 0.5
02/06/07 CBT 2-YEAR U.S. TREASURY NOTES U.S. 4 27,160 3.3 36,498 4.4 821,706
NON U.S. 32 39,414 4.8 101,015 12.3
---- --------- ---- --------- ----
36 66,574 8.1 137,513 16.7
02/06/07 CBT 10-YEAR U.S. TREASURY NOTES U.S. 7 56,921 2.4 18,493 0.8 2,368,690
NON U.S. 43 141,979 6.0 79,147 3.3
---- --------- ---- --------- ----
50 198,900 8.4 97,640 4.1
02/06/07 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 23,756 1.5 30,204 2.0 1,548,259
NON U.S. 33 62,864 4.1 54,690 3.5
---- --------- ---- --------- ----
37 86,620 5.6 84,894 5.5
02/06/07 CBT 30-DAY FEDERAL FUNDS U.S. 5 11,672 3.0 40,839 10.5 387,497
NON U.S. 22 65,054 16.8 72,488 18.7
---- --------- ---- --------- ----
27 76,726 19.8 113,327 29.2
02/06/07 CME LEAN HOGS U.S. 1 4,843 2.7 0 0.0 179,705
NON U.S. 5 13,376 7.4 0 0.0
---- --------- ---- --------- ----
6 18,219 10.1 0 0.0
02/06/07 CME LIVE CATTLE U.S. 2 7,961 3.0 1,538 0.6 268,561
NON U.S. 5 18,324 6.8 0 0.0
---- --------- ---- --------- ----
7 26,285 9.8 1,538 0.6
02/06/07 CME FEEDER CATTLE U.S. 1 360 1.1 0 0.0 33,872
NON U.S. 4 1,126 3.3 0 0.0
---- --------- ---- --------- ----
5 1,486 4.4 0 0.0
02/06/07 NYME PJM ELECTRICITY MONTHLY U.S. 2 2,817 7.5 5,320 14.1 37,727
NON U.S. 3 1,379 3.7 1,292 3.4
---- --------- ---- --------- ----
5 4,196 11.1 6,612 17.5
02/06/07 NYME ISO NEW ENGLAND LMP SWAP U.S. 2 2,181 11.8 3,199 17.3 18,459
NON U.S. 3 1,134 6.1 1,218 6.6
---- --------- ---- --------- ----
5 3,315 18.0 4,417 23.9
02/06/07 NYME NORTH ILL CAL MONTH LMP SWAP U.S. 2 1,160 7.3 1,968 12.3 15,977
NON U.S. 3 796 5.0 496 3.1
---- --------- ---- --------- ----
5 1,956 12.2 2,464 15.4
02/06/07 NYME CRUDE OIL, LIGHT SWEET U.S. 5 55,967 4.3 62,788 4.8 1,298,456
NON U.S. 20 105,942 8.2 96,567 7.4
---- --------- ---- --------- ----
25 161,909 12.5 159,355 12.3
02/06/07 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 2 420 0.5 3,144 3.7 84,443
NON U.S. 6 10,977 13.0 26,030 30.8
---- --------- ---- --------- ----
8 11,397 13.5 29,174 34.5
02/06/07 NYME WTI CRUDE OIL FINANCIAL U.S. 4 2,466 4.8 1,182 2.3 51,671
NON U.S. 7 10,719 20.7 7,346 14.2
---- --------- ---- --------- ----
11 13,185 25.5 8,528 16.5
02/06/07 NYME WTI-BRENT CALENDAR SWAP NON U.S. 5 2,202 11.9 5,873 31.6 18,572
02/06/07 NYME BRENT (ICE) CALENDAR SWAP NON U.S. 5 2,517 12.9 1,405 7.2 19,580
02/06/07 NYBT COCOA U.S. 1 565 0.4 0 0.0 144,410
NON U.S. 9 2,920 2.0 6,419 4.4
---- --------- ---- --------- ----
10 3,485 2.4 6,419 4.4
02/06/07 NYME PALLADIUM U.S. 2 23 0.1 445 2.8 15,654
NON U.S. 13 947 6.0 3,869 24.7
---- --------- ---- --------- ----
15 970 6.2 4,314 27.6
02/06/07 NYME PLATINUM U.S. 2 0 0.0 257 2.5 10,354
NON U.S. 9 1,470 14.2 886 8.6
---- --------- ---- --------- ----
11 1,470 14.2 1,143 11.0
02/06/07 NYBT SUGAR NO. 11 U.S. 2 11,957 1.7 1,454 0.2 703,998
NON U.S. 11 53,544 7.6 30,416 4.3
---- --------- ---- --------- ----
13 65,501 9.3 31,870 4.5
02/06/07 NYBT COFFEE C U.S. 1 2,208 1.6 0 0.0 137,834
NON U.S. 10 8,500 6.2 5,184 3.8
---- --------- ---- --------- ----
11 10,708 7.8 5,184 3.8
02/06/07 CMX SILVER U.S. 3 3,425 2.9 9,183 7.9 116,607
NON U.S. 9 3,815 3.3 8,181 7.0
---- --------- ---- --------- ----
12 7,240 6.2 17,364 14.9
02/06/07 CMX COPPER-GRADE #1 U.S. 1 2,134 3.0 0 0.0 72,035
NON U.S. 9 6,095 8.5 382 0.5
---- --------- ---- --------- ----
10 8,229 11.4 382 0.5
02/06/07 CBT GOLD, 100 TROY OZ U.S. 3 2,721 7.1 2,557 6.6 38,492
NON U.S. 9 2,509 6.5 4,949 12.9
---- --------- ---- --------- ----
12 5,230 13.6 7,506 19.5
02/06/07 CMX GOLD U.S. 5 1,601 0.4 31,199 8.6 360,936
NON U.S. 21 15,462 4.3 67,348 18.7
---- --------- ---- --------- ----
26 17,063 4.7 98,547 27.3
02/06/07 CME RUSSIAN RUBLE NON U.S. 5 8,019 70.6 9,916 87.3 11,359
02/06/07 CME CANADIAN DOLLAR U.S. 3 0 0.0 2,840 1.8 154,591
NON U.S. 8 22,512 14.6 7,819 5.1
---- --------- ---- --------- ----
11 22,512 14.6 10,659 6.9
02/06/07 CME SWISS FRANC U.S. 4 5,190 5.5 936 1.0 93,536
NON U.S. 6 60,454 64.6 8,841 9.5
---- --------- ---- --------- ----
10 65,644 70.2 9,777 10.5
02/06/07 CME MEXICAN PESO U.S. 4 5,426 5.8 1,157 1.2 93,156
NON U.S. 8 11,587 12.4 39,203 42.1
---- --------- ---- --------- ----
12 17,013 18.3 40,360 43.3
02/06/07 CME BRITISH POUND STERLING U.S. 5 430 0.3 20,081 12.4 162,238
NON U.S. 4 2,492 1.5 23,157 14.3
---- --------- ---- --------- ----
9 2,922 1.8 43,238 26.7
02/06/07 CME JAPANESE YEN U.S. 5 14,033 4.5 5,089 1.6 314,920
NON U.S. 9 144,750 46.0 35,883 11.4
---- --------- ---- --------- ----
14 158,783 50.4 40,972 13.0
02/06/07 CME EURO FX U.S. 5 6,059 3.3 12,573 6.9 182,666
NON U.S. 18 36,926 20.2 11,768 6.4
---- --------- ---- --------- ----
23 42,985 23.5 24,341 13.3
02/06/07 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 2 3,258 2.1 19 0.0 156,578
NON U.S. 11 9,180 5.9 4,305 2.7
---- --------- ---- --------- ----
13 12,438 7.9 4,324 2.8
02/06/07 NYBT NEW ZEALAND DOLLAR U.S. 1 0 0.0 1,224 26.7 4,591
NON U.S. 5 199 4.3 2,234 48.7
---- --------- ---- --------- ----
6 199 4.3 3,458 75.3
02/06/07 CME NEW ZEALAND DOLLAR U.S. 1 0 0.0 222 1.2 18,326
NON U.S. 4 2,762 15.1 11,314 61.7
---- --------- ---- --------- ----
5 2,762 15.1 11,536 62.9
02/06/07 E VIX FUTURES NON U.S. 5 773 2.0 358 0.9 39,150
02/06/07 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 3 2,881 4.0 0 0.0 71,833
NON U.S. 7 2,135 3.0 11,442 15.9
---- --------- ---- --------- ----
10 5,016 7.0 11,442 15.9
02/06/07 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2 823 0.7 0 0.0 123,736
NON U.S. 7 1,733 1.4 707 0.6
---- --------- ---- --------- ----
9 2,556 2.1 707 0.6
02/06/07 CME EUROZONE HICP NON U.S. 5 440 60.3 525 71.9 730
02/06/07 CME 3-MONTH EURODOLLARS U.S. 11 652,863 6.4 1,053,342 10.4 10,139,508
NON U.S. 66 1,914,646 18.9 1,033,868 10.2
---- --------- ---- --------- ----
77 2,567,509 25.3 2,087,210 20.6
02/06/07 CME S&P 500 STOCK INDEX U.S. 6 14,049 2.2 1,155 0.2 630,073
NON U.S. 18 9,880 1.6 83,514 13.3
---- --------- ---- --------- ----
24 23,929 3.8 84,669 13.4
02/06/07 CME E-MINI S&P 500 STOCK INDEX U.S. 7 10,070 0.6 8,409 0.5 1,726,207
NON U.S. 31 86,864 5.0 171,928 10.0
---- --------- ---- --------- ----
38 96,934 5.6 180,337 10.4
02/06/07 CME NASDAQ-100 STOCK INDEX U.S. 6 682 1.4 3,444 7.0 48,950
NON U.S. 12 3,374 6.9 1,792 3.7
---- --------- ---- --------- ----
18 4,056 8.3 5,236 10.7
02/06/07 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 6 17,347 5.2 5,219 1.6 335,224
NON U.S. 33 6,685 2.0 16,373 4.9
---- --------- ---- --------- ----
39 24,032 7.2 21,592 6.4
02/06/07 CME AUSTRALIAN DOLLAR U.S. 3 2,406 2.0 4,130 3.5 117,781
NON U.S. 4 8,370 7.1 15,686 13.3
---- --------- ---- --------- ----
7 10,776 9.1 19,816 16.8
02/06/07 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 3 591 1.8 2,380 7.3 32,522
NON U.S. 6 1,457 4.5 1,225 3.8
---- --------- ---- --------- ----
9 2,048 6.3 3,605 11.1
02/06/07 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 4 366 0.1 7,333 1.9 378,865
NON U.S. 18 2,502 0.7 19,730 5.2
---- --------- ---- --------- ----
22 2,868 0.8 27,063 7.1
02/06/07 CME NIKKEI STOCK AVERAGE U.S. 1 0 0.0 4,779 9.8 48,618
NON U.S. 19 2,834 5.8 4,955 10.2
---- --------- ---- --------- ----
20 2,834 5.8 9,734 20.0
02/06/07 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 4 4,982 12.6 0 0.0 39,601
NON U.S. 14 2,128 5.4 3,810 9.6
---- --------- ---- --------- ----
18 7,110 18.0 3,810 9.6
02/06/07 NYBT BRITISH POUND/JPN YEN XRATE U.S. 1 696 8.8 0 0.0 7,888
NON U.S. 4 0 0.0 4,386 55.6
---- --------- ---- --------- ----
5 696 8.8 4,386 55.6
02/06/07 NYBT EURO FX/JAPANESE YEN XRATE U.S. 3 4,529 12.6 8,336 23.2 35,960
NON U.S. 8 641 1.8 10,100 28.1
---- --------- ---- --------- ----
11 5,170 14.4 18,436 51.3
02/06/07 CME E-MINI S&P 400 STOCK INDEX U.S. 2 398 0.5 0 0.0 76,135
NON U.S. 3 0 0.0 1,771 2.3
---- --------- ---- --------- ----
5 398 0.5 1,771 2.3
02/06/07 CME EURO FX/JAPANESE YEN XRATE U.S. 2 113 1.0 600 5.6 10,782
NON U.S. 3 5,924 54.9 2,180 20.2
---- --------- ---- --------- ----
5 6,037 56.0 2,780 25.8
02/06/07 NYBT EURO FX/SWISS FRANC XRATE U.S. 1 0 0.0 1,598 12.5 12,792
NON U.S. 4 0 0.0 4,155 32.5
---- --------- ---- --------- ----
5 0 0.0 5,753 45.0
02/06/07 CME 3-MO. EUROYEN TIBOR U.S. 5 1,387 3.0 4,065 8.8 46,245
NON U.S. 21 11,873 25.7 12,953 28.0
---- --------- ---- --------- ----
26 13,260 28.7 17,018 36.8
02/06/07 NYBT EURO FX/BRITISH POUND XRATE U.S. 2 1,597 10.6 960 6.4 15,018
NON U.S. 5 6,867 45.7 613 4.1
---- --------- ---- --------- ----
7 8,464 56.4 1,573 10.5
02/06/07 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 2 500 4.3 520 4.4 11,724
NON U.S. 4 3,036 25.9 1,426 12.2
---- --------- ---- --------- ----
6 3,536 30.2 1,946 16.6
02/06/07 NYME RBOB CRACK SPREAD SWAP U.S. 1 304 4.1 313 4.3 7,355
NON U.S. 4 1,375 18.7 1,445 19.6
---- --------- ---- --------- ----
5 1,679 22.8 1,758 23.9