BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
07/03/07 CBT WHEAT U.S. 1 10,052 2.6 30 0.0 388,011
NON U.S. 15 46,121 11.9 7,221 1.9
---- --------- ---- --------- ----
16 56,173 14.5 7,251 1.9
07/03/07 KCBT WHEAT U.S. 1 2,445 1.9 0 0.0 128,855
NON U.S. 6 4,885 3.8 0 0.0
---- --------- ---- --------- ----
7 7,330 5.7 0 0.0
07/03/07 CBT CORN U.S. 2 17,912 1.5 204 0.0 1,190,115
NON U.S. 12 78,061 6.6 760 0.1
---- --------- ---- --------- ----
14 95,973 8.1 964 0.1
07/03/07 CBT SOYBEANS U.S. 1 8,442 1.6 150 0.0 532,745
NON U.S. 5 24,468 4.6 1,088 0.2
---- --------- ---- --------- ----
6 32,910 6.2 1,238 0.2
07/03/07 CBT SOYBEAN OIL U.S. 1 2,956 1.0 0 0.0 288,281
NON U.S. 7 15,942 5.5 1,000 0.3
---- --------- ---- --------- ----
8 18,898 6.6 1,000 0.3
07/03/07 CBT U.S. TREASURY BONDS U.S. 4 12,717 1.3 4,158 0.4 994,059
NON U.S. 22 63,320 6.4 24,027 2.4
---- --------- ---- --------- ----
26 76,037 7.6 28,185 2.8
07/03/07 NYME NY RES FUEL 1.0% SULFUR SWAP U.S. 2 3,820 27.6 670 4.8 13,862
NON U.S. 3 1,516 10.9 660 4.8
---- --------- ---- --------- ----
5 5,336 38.5 1,330 9.6
07/03/07 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 4 7,320 3.1 992 0.4 235,536
NON U.S. 5 22,287 9.5 10,695 4.5
---- --------- ---- --------- ----
9 29,607 12.6 11,687 5.0
07/03/07 NYME NATURAL GAS U.S. 5 55,464 6.9 38,928 4.8 805,330
NON U.S. 11 44,035 5.5 67,635 8.4
---- --------- ---- --------- ----
16 99,499 12.4 106,563 13.2
07/03/07 NYME PERMIAN BASIS SWAP U.S. 3 11,173 15.4 747 1.0 72,494
NON U.S. 4 1,927 2.7 4,329 6.0
---- --------- ---- --------- ----
7 13,100 18.1 5,076 7.0
07/03/07 NYME M-3 BASIS SWAP U.S. 2 1,775 1.5 1,209 1.0 118,796
NON U.S. 3 1,680 1.4 2,646 2.2
---- --------- ---- --------- ----
5 3,455 2.9 3,855 3.2
07/03/07 NYME TCO BASIS SWAP U.S. 2 3,374 3.5 3,287 3.4 97,564
NON U.S. 3 672 0.7 642 0.7
---- --------- ---- --------- ----
5 4,046 4.1 3,929 4.0
07/03/07 NYME MALIN BASIS SWAP U.S. 2 122 0.2 60 0.1 71,988
NON U.S. 4 2,474 3.4 2,217 3.1
---- --------- ---- --------- ----
6 2,596 3.6 2,277 3.2
07/03/07 NYME PG&E CITYGATE BASIS SWAP U.S. 1 0 0.0 336 0.5 63,335
NON U.S. 4 912 1.4 2,876 4.5
---- --------- ---- --------- ----
5 912 1.4 3,212 5.1
07/03/07 NYME SUMAS BASIS SWAP U.S. 3 6,072 25.3 0 0.0 24,019
NON U.S. 5 4,288 17.9 965 4.0
---- --------- ---- --------- ----
8 10,360 43.1 965 4.0
07/03/07 NYME NGPL MID-CON BASIS SWAP U.S. 2 608 0.7 1,032 1.2 87,331
NON U.S. 4 4,008 4.6 1,386 1.6
---- --------- ---- --------- ----
6 4,616 5.3 2,418 2.8
07/03/07 NYME WAHA BASIS SWAP U.S. 4 934 0.8 16,573 15.0 110,814
NON U.S. 3 1,917 1.7 2,989 2.7
---- --------- ---- --------- ----
7 2,851 2.6 19,562 17.7
07/03/07 NYME CIG BASIS SWAP U.S. 4 185 0.3 6,727 12.0 56,030
NON U.S. 3 599 1.1 9,142 16.3
---- --------- ---- --------- ----
7 784 1.4 15,869 28.3
07/03/07 NYME CENTERPOINT BASIS SWAP U.S. 3 0 0.0 3,112 11.4 27,365
NON U.S. 2 368 1.3 3,536 12.9
---- --------- ---- --------- ----
5 368 1.3 6,648 24.3
07/03/07 CME 1-MONTH LIBOR RATE U.S. 1 12,317 14.3 3,295 3.8 86,387
NON U.S. 10 21,867 25.3 17,771 20.6
---- --------- ---- --------- ----
11 34,184 39.6 21,066 24.4
07/03/07 NYBT COTTON NO. 2 U.S. 1 3,266 1.6 0 0.0 208,627
NON U.S. 7 16,099 7.7 389 0.2
---- --------- ---- --------- ----
8 19,365 9.3 389 0.2
07/03/07 NYME ALBERTA BASIS SWAP U.S. 5 4,914 3.4 7,827 5.4 145,287
NON U.S. 9 18,034 12.4 32,793 22.6
---- --------- ---- --------- ----
14 22,948 15.8 40,620 28.0
07/03/07 NYME CHICAGO BASIS SWAP U.S. 1 31 0.0 0 0.0 88,974
NON U.S. 4 367 0.4 1,919 2.2
---- --------- ---- --------- ----
5 398 0.4 1,919 2.2
07/03/07 NYME HOUSTON SHIP CH BASIS SWAP U.S. 6 3,710 1.4 17,732 6.7 266,372
NON U.S. 5 6,623 2.5 15,592 5.9
---- --------- ---- --------- ----
11 10,333 3.9 33,324 12.5
07/03/07 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 14,028 8.3 13,159 7.8 169,756
NON U.S. 7 13,355 7.9 17,658 10.4
---- --------- ---- --------- ----
12 27,383 16.1 30,817 18.2
07/03/07 NYME PANHANDLE BASIS SWAP U.S. 6 5,869 3.5 9,075 5.3 169,980
NON U.S. 4 3,140 1.8 19,053 11.2
---- --------- ---- --------- ----
10 9,009 5.3 28,128 16.5
07/03/07 NYME SAN JUAN BASIS SWAP U.S. 5 16,130 28.2 3,131 5.5 57,299
NON U.S. 4 3,048 5.3 2,410 4.2
---- --------- ---- --------- ----
9 19,178 33.5 5,541 9.7
07/03/07 NYME SOCAL BASIS SWAP U.S. 5 30,465 13.0 9,021 3.8 235,028
NON U.S. 5 6,468 2.8 18,687 8.0
---- --------- ---- --------- ----
10 36,933 15.7 27,708 11.8
07/03/07 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 182 0.3 2,138 3.2 66,612
NON U.S. 4 2,750 4.1 633 1.0
---- --------- ---- --------- ----
6 2,932 4.4 2,771 4.2
07/03/07 NYME HENRY HUB GAS SWAP U.S. 5 195,482 7.6 234,801 9.1 2,586,711
NON U.S. 10 238,948 9.2 210,709 8.1
---- --------- ---- --------- ----
15 434,430 16.8 445,510 17.2
07/03/07 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 5 101,970 9.7 8,510 0.8 1,048,847
NON U.S. 9 303,763 29.0 181,028 17.3
---- --------- ---- --------- ----
14 405,733 38.7 189,538 18.1
07/03/07 CBT 2-YEAR U.S. TREASURY NOTES U.S. 4 15,463 1.6 16,518 1.7 991,318
NON U.S. 40 82,426 8.3 131,371 13.3
---- --------- ---- --------- ----
44 97,889 9.9 147,889 14.9
07/03/07 CBT 10-YEAR U.S. TREASURY NOTES U.S. 5 53,729 1.9 22,020 0.8 2,783,537
NON U.S. 50 203,549 7.3 132,082 4.7
---- --------- ---- --------- ----
55 257,278 9.2 154,102 5.5
07/03/07 CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 7,830 0.5 30,683 2.0 1,553,245
NON U.S. 33 78,575 5.1 105,153 6.8
---- --------- ---- --------- ----
36 86,405 5.6 135,836 8.7
07/03/07 CBT 30-DAY FEDERAL FUNDS U.S. 4 34,816 8.0 28,263 6.5 435,583
NON U.S. 24 95,149 21.8 120,125 27.6
---- --------- ---- --------- ----
28 129,965 29.8 148,388 34.1
07/03/07 CME LEAN HOGS U.S. 1 3,342 2.0 0 0.0 169,436
NON U.S. 6 12,828 7.6 215 0.1
---- --------- ---- --------- ----
7 16,170 9.5 215 0.1
07/03/07 CME LIVE CATTLE U.S. 2 7,188 3.3 1,928 0.9 220,243
NON U.S. 5 17,248 7.8 0 0.0
---- --------- ---- --------- ----
7 24,436 11.1 1,928 0.9
07/03/07 CME FEEDER CATTLE U.S. 2 500 2.1 58 0.2 23,510
NON U.S. 3 667 2.8 0 0.0
---- --------- ---- --------- ----
5 1,167 5.0 58 0.2
07/03/07 NYME PJM ELECTRICITY MONTHLY U.S. 2 2,594 6.7 4,194 10.8 38,742
NON U.S. 3 671 1.7 1,640 4.2
---- --------- ---- --------- ----
5 3,265 8.4 5,834 15.1
07/03/07 NYME ISO NEW ENGLAND LMP SWAP U.S. 2 1,595 8.0 2,859 14.4 19,877
NON U.S. 4 641 3.2 1,464 7.4
---- --------- ---- --------- ----
6 2,236 11.2 4,323 21.7
07/03/07 NYME CRUDE OIL, LIGHT SWEET U.S. 5 28,880 1.9 55,331 3.7 1,499,897
NON U.S. 18 114,830 7.7 105,214 7.0
---- --------- ---- --------- ----
23 143,710 9.6 160,545 10.7
07/03/07 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 3 3,386 3.8 3,252 3.6 89,718
NON U.S. 9 12,627 14.1 24,282 27.1
---- --------- ---- --------- ----
12 16,013 17.8 27,534 30.7
07/03/07 NYME WTI CRUDE OIL FINANCIAL U.S. 2 4,634 5.7 1,951 2.4 81,895
NON U.S. 9 18,795 23.0 9,942 12.1
---- --------- ---- --------- ----
11 23,429 28.6 11,893 14.5
07/03/07 NYME WTI-BRENT CALENDAR SWAP NON U.S. 6 4,604 24.4 4,761 25.2 18,895
07/03/07 NYME BRENT (ICE) CALENDAR SWAP U.S. 1 872 4.7 0 0.0 18,565
NON U.S. 5 2,155 11.6 1,515 8.2
---- --------- ---- --------- ----
6 3,027 16.3 1,515 8.2
07/03/07 NYBT COCOA U.S. 1 2,275 1.4 0 0.0 166,954
NON U.S. 8 2,703 1.6 7,091 4.2
---- --------- ---- --------- ----
9 4,978 3.0 7,091 4.2
07/03/07 NYME PALLADIUM U.S. 2 0 0.0 3,380 19.3 17,549
NON U.S. 9 771 4.4 2,526 14.4
---- --------- ---- --------- ----
11 771 4.4 5,906 33.7
07/03/07 NYME PLATINUM U.S. 2 0 0.0 425 2.9 14,533
NON U.S. 7 1,211 8.3 811 5.6
---- --------- ---- --------- ----
9 1,211 8.3 1,236 8.5
07/03/07 NYBT SUGAR NO. 11 U.S. 2 8,645 1.3 2,042 0.3 653,368
NON U.S. 14 56,966 8.7 30,369 4.6
---- --------- ---- --------- ----
16 65,611 10.0 32,411 5.0
07/03/07 NYBT COFFEE C U.S. 1 1,534 1.0 0 0.0 158,500
NON U.S. 12 9,644 6.1 5,808 3.7
---- --------- ---- --------- ----
13 11,178 7.1 5,808 3.7
07/03/07 CMX SILVER U.S. 4 1,861 1.6 2,262 1.9 117,290
NON U.S. 10 6,459 5.5 2,588 2.2
---- --------- ---- --------- ----
14 8,320 7.1 4,850 4.1
07/03/07 CMX COPPER-GRADE #1 U.S. 1 1,856 2.3 0 0.0 81,852
NON U.S. 9 6,841 8.4 1,229 1.5
---- --------- ---- --------- ----
10 8,697 10.6 1,229 1.5
07/03/07 CBT GOLD, 100 TROY OZ U.S. 2 313 1.5 679 3.2 21,155
NON U.S. 5 1,411 6.7 2,393 11.3
---- --------- ---- --------- ----
7 1,724 8.1 3,072 14.5
07/03/07 CMX GOLD U.S. 5 5,914 1.6 28,585 7.6 375,642
NON U.S. 17 17,623 4.7 49,343 13.1
---- --------- ---- --------- ----
22 23,537 6.3 77,928 20.7
07/03/07 CME CANADIAN DOLLAR U.S. 2 753 0.5 239 0.2 143,135
NON U.S. 8 7,175 5.0 23,054 16.1
---- --------- ---- --------- ----
10 7,928 5.5 23,293 16.3
07/03/07 CME SWISS FRANC U.S. 2 8 0.0 4,182 4.4 95,030
NON U.S. 4 28,329 29.8 6,873 7.2
---- --------- ---- --------- ----
6 28,337 29.8 11,055 11.6
07/03/07 CME MEXICAN PESO U.S. 3 3,042 3.2 1,013 1.1 94,589
NON U.S. 6 2,230 2.4 35,774 37.8
---- --------- ---- --------- ----
9 5,272 5.6 36,787 38.9
07/03/07 CME BRITISH POUND STERLING U.S. 5 1,278 0.8 5,598 3.4 164,639
NON U.S. 5 82 0.0 38,482 23.4
---- --------- ---- --------- ----
10 1,360 0.8 44,080 26.8
07/03/07 CME JAPANESE YEN U.S. 4 2,428 0.7 28,388 8.7 326,811
NON U.S. 7 50,894 15.6 3,460 1.1
---- --------- ---- --------- ----
11 53,322 16.3 31,848 9.7
07/03/07 CME EURO FX U.S. 5 2,208 1.1 8,113 4.2 195,000
NON U.S. 17 12,545 6.4 17,697 9.1
---- --------- ---- --------- ----
22 14,753 7.6 25,810 13.2
07/03/07 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 2 1,804 1.0 214 0.1 179,638
NON U.S. 10 7,402 4.1 8,597 4.8
---- --------- ---- --------- ----
12 9,206 5.1 8,811 4.9
07/03/07 CME NEW ZEALAND DOLLAR U.S. 1 200 0.5 0 0.0 41,316
NON U.S. 4 97 0.2 17,330 41.9
---- --------- ---- --------- ----
5 297 0.7 17,330 41.9
07/03/07 E VIX FUTURES U.S. 1 455 0.9 722 1.4 49,924
NON U.S. 9 2,159 4.3 272 0.5
---- --------- ---- --------- ----
10 2,614 5.2 994 2.0
07/03/07 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 2 3,181 10.1 0 0.0 31,548
NON U.S. 7 2,463 7.8 939 3.0
---- --------- ---- --------- ----
9 5,644 17.9 939 3.0
07/03/07 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 3 1,736 2.2 0 0.0 80,098
NON U.S. 5 520 0.6 1,490 1.9
---- --------- ---- --------- ----
8 2,256 2.8 1,490 1.9
07/03/07 CME 3-MONTH EURODOLLARS U.S. 10 683,979 6.5 1,142,437 10.8 10,584,967
NON U.S. 68 1,460,918 13.8 1,364,675 12.9
---- --------- ---- --------- ----
78 2,144,897 20.3 2,507,112 23.7
07/03/07 CME S&P 500 STOCK INDEX U.S. 5 9,511 1.6 1,166 0.2 596,688
NON U.S. 19 7,531 1.3 87,624 14.7
---- --------- ---- --------- ----
24 17,042 2.9 88,790 14.9
07/03/07 CME E-MINI S&P 500 STOCK INDEX U.S. 9 32,495 2.0 14,026 0.9 1,619,924
NON U.S. 39 80,041 4.9 195,954 12.1
---- --------- ---- --------- ----
48 112,536 6.9 209,980 13.0
07/03/07 CME NASDAQ-100 STOCK INDEX U.S. 6 3,137 5.0 7,329 11.7 62,484
NON U.S. 9 6,058 9.7 344 0.6
---- --------- ---- --------- ----
15 9,195 14.7 7,673 12.3
07/03/07 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 6 11,990 3.0 1,614 0.4 395,201
NON U.S. 27 4,260 1.1 20,107 5.1
---- --------- ---- --------- ----
33 16,250 4.1 21,721 5.5
07/03/07 CME AUSTRALIAN DOLLAR U.S. 2 0 0.0 415 0.4 109,147
NON U.S. 5 635 0.6 9,423 8.6
---- --------- ---- --------- ----
7 635 0.6 9,838 9.0
07/03/07 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 2 227 0.6 2,213 6.0 36,756
NON U.S. 7 430 1.2 968 2.6
---- --------- ---- --------- ----
9 657 1.8 3,181 8.7
07/03/07 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 7 36 0.0 10,568 2.0 541,443
NON U.S. 18 1,074 0.2 23,888 4.4
---- --------- ---- --------- ----
25 1,110 0.2 34,456 6.4
07/03/07 CME NIKKEI STOCK AVERAGE U.S. 2 720 1.4 5,610 10.9 51,326
NON U.S. 20 6,801 13.3 8,735 17.0
---- --------- ---- --------- ----
22 7,521 14.7 14,345 27.9
07/03/07 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 2 2,690 6.8 0 0.0 39,803
NON U.S. 12 2,502 6.3 6,579 16.5
---- --------- ---- --------- ----
14 5,192 13.0 6,579 16.5
07/03/07 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 2 8,284 13.1 9,033 14.3 63,361
NON U.S. 3 2,173 3.4 0 0.0
---- --------- ---- --------- ----
5 10,457 16.5 9,033 14.3
07/03/07 NYBT EURO FX/CZECH KORUNA XRATE U.S. 1 0 0.0 225 4.0 5,666
NON U.S. 4 0 0.0 4,149 73.2
---- --------- ---- --------- ----
5 0 0.0 4,374 77.2
07/03/07 NYBT BRITISH POUND/JPN YEN XRATE U.S. 2 13 0.2 2,808 46.8 6,002
NON U.S. 3 190 3.2 570 9.5
---- --------- ---- --------- ----
5 203 3.4 3,378 56.3
07/03/07 NYBT EURO FX/JAPANESE YEN XRATE U.S. 2 593 2.0 900 3.0 29,807
NON U.S. 5 28 0.1 8,759 29.4
---- --------- ---- --------- ----
7 621 2.1 9,659 32.4
07/03/07 CME E-MINI S&P 400 STOCK INDEX U.S. 3 334 0.4 530 0.6 90,150
NON U.S. 5 113 0.1 3,390 3.8
---- --------- ---- --------- ----
8 447 0.5 3,920 4.3
07/03/07 CME EURO FX/JAPANESE YEN XRATE U.S. 1 53 0.8 0 0.0 6,489
NON U.S. 5 1,652 25.5 366 5.6
---- --------- ---- --------- ----
6 1,705 26.3 366 5.6
07/03/07 CME 3-MO. EUROYEN TIBOR U.S. 4 1,122 2.9 2,609 6.8 38,534
NON U.S. 16 13,230 34.3 10,443 27.1
---- --------- ---- --------- ----
20 14,352 37.2 13,052 33.9
07/03/07 NYBT EURO FX/BRITISH POUND XRATE NON U.S. 5 2,378 30.4 0 0.0 7,834
07/03/07 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 2 450 3.6 405 3.2 12,534
NON U.S. 5 1,684 13.4 1,401 11.2
---- --------- ---- --------- ----
7 2,134 17.0 1,806 14.4
07/03/07 NYME RBOB CRACK SPREAD SWAP U.S. 1 150 1.3 0 0.0 11,545
NON U.S. 5 810 7.0 2,820 24.4
---- --------- ---- --------- ----
6 960 8.3 2,820 24.4