BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
11/07/06 CBT WHEAT U.S. 1 11,364 2.5 0 0.0 457,491
NON U.S. 14 63,302 13.8 3,843 0.8
---- --------- ---- --------- ----
15 74,666 16.3 3,843 0.8
11/07/06 KCBT WHEAT U.S. 1 2,048 1.5 0 0.0 134,287
NON U.S. 6 6,836 5.1 169 0.1
---- --------- ---- --------- ----
7 8,884 6.6 169 0.1
11/07/06 CBT CORN U.S. 1 23,704 1.7 0 0.0 1,408,139
NON U.S. 12 114,434 8.1 2,386 0.2
---- --------- ---- --------- ----
13 138,138 9.8 2,386 0.2
11/07/06 CBT SOYBEANS U.S. 1 8,963 2.3 0 0.0 385,229
NON U.S. 9 23,839 6.2 875 0.2
---- --------- ---- --------- ----
10 32,802 8.5 875 0.2
11/07/06 CBT SOYBEAN OIL U.S. 1 3,619 1.4 0 0.0 267,084
NON U.S. 6 15,316 5.7 28 0.0
---- --------- ---- --------- ----
7 18,935 7.1 28 0.0
11/07/06 CBT U.S. TREASURY BONDS U.S. 3 10,241 1.3 8,677 1.1 772,984
NON U.S. 12 5,000 0.6 12,241 1.6
---- --------- ---- --------- ----
15 15,241 2.0 20,918 2.7
11/07/06 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 4 8,846 3.9 816 0.4 227,431
NON U.S. 8 14,480 6.4 3,359 1.5
---- --------- ---- --------- ----
12 23,326 10.3 4,175 1.8
11/07/06 NYME NATURAL GAS U.S. 6 45,418 5.0 60,240 6.7 903,951
NON U.S. 12 42,231 4.7 78,919 8.7
---- --------- ---- --------- ----
18 87,649 9.7 139,159 15.4
11/07/06 NYME PERMIAN BASIS SWAP U.S. 4 4,903 11.5 1,543 3.6 42,815
NON U.S. 3 973 2.3 5,612 13.1
---- --------- ---- --------- ----
7 5,876 13.7 7,155 16.7
11/07/06 NYME M-3 BASIS SWAP U.S. 3 3,716 3.0 0 0.0 125,867
NON U.S. 3 3,949 3.1 2,301 1.8
---- --------- ---- --------- ----
6 7,665 6.1 2,301 1.8
11/07/06 NYME MALIN BASIS SWAP U.S. 1 304 0.4 1,821 2.7 67,879
NON U.S. 5 5,323 7.8 3,813 5.6
---- --------- ---- --------- ----
6 5,627 8.3 5,634 8.3
11/07/06 NYME PG&E CITYGATE BASIS SWAP U.S. 3 0 0.0 1,657 2.7 60,496
NON U.S. 3 426 0.7 4,251 7.0
---- --------- ---- --------- ----
6 426 0.7 5,908 9.8
11/07/06 NYME ANR OK BASIS SWAP U.S. 4 28 0.1 4,591 23.6 19,486
NON U.S. 1 0 0.0 2,928 15.0
---- --------- ---- --------- ----
5 28 0.1 7,519 38.6
11/07/06 NYME SUMAS BASIS SWAP U.S. 2 1,972 6.7 0 0.0 29,484
NON U.S. 4 4,950 16.8 975 3.3
---- --------- ---- --------- ----
6 6,922 23.5 975 3.3
11/07/06 NYME NGPL MID-CON BASIS SWAP U.S. 2 3,048 4.3 428 0.6 70,852
NON U.S. 3 4,373 6.2 550 0.8
---- --------- ---- --------- ----
5 7,421 10.5 978 1.4
11/07/06 NYME DOMINION BASIS SWAP U.S. 3 1,573 2.5 180 0.3 63,504
NON U.S. 3 0 0.0 1,380 2.2
---- --------- ---- --------- ----
6 1,573 2.5 1,560 2.5
11/07/06 NYME WAHA BASIS SWAP U.S. 2 2,260 2.8 3,216 4.0 80,236
NON U.S. 3 3,109 3.9 366 0.5
---- --------- ---- --------- ----
5 5,369 6.7 3,582 4.5
11/07/06 NYME CIG BASIS SWAP U.S. 5 1,749 2.8 15,398 24.4 63,200
NON U.S. 6 539 0.9 13,706 21.7
---- --------- ---- --------- ----
11 2,288 3.6 29,104 46.1
11/07/06 NYME TETCO SOUTH TEXAS SWAP U.S. 2 3,769 33.7 0 0.0 11,180
NON U.S. 4 4,465 39.9 0 0.0
---- --------- ---- --------- ----
6 8,234 73.6 0 0.0
11/07/06 CME 1-MONTH LIBOR RATE U.S. 1 1,200 2.9 2,439 5.8 41,987
NON U.S. 7 4,217 10.0 10,618 25.3
---- --------- ---- --------- ----
8 5,417 12.9 13,057 31.1
11/07/06 NYBT COTTON NO. 2 U.S. 1 7,288 4.0 0 0.0 183,796
NON U.S. 10 16,253 8.8 365 0.2
---- --------- ---- --------- ----
11 23,541 12.8 365 0.2
11/07/06 NYME ALBERTA BASIS SWAP U.S. 5 7,588 4.1 10,981 6.0 184,200
NON U.S. 7 14,535 7.9 46,025 25.0
---- --------- ---- --------- ----
12 22,123 12.0 57,006 30.9
11/07/06 NYME HOUSTON SHIP CH BASIS SWAP U.S. 6 6,091 2.2 12,739 4.6 274,586
NON U.S. 5 8,413 3.1 23,959 8.7
---- --------- ---- --------- ----
11 14,504 5.3 36,698 13.4
11/07/06 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 16,067 8.8 5,867 3.2 181,662
NON U.S. 6 13,029 7.2 21,720 12.0
---- --------- ---- --------- ----
11 29,096 16.0 27,587 15.2
11/07/06 NYME PANHANDLE BASIS SWAP U.S. 6 2,653 1.6 13,670 8.1 169,783
NON U.S. 4 8,890 5.2 21,827 12.9
---- --------- ---- --------- ----
10 11,543 6.8 35,497 20.9
11/07/06 NYME SAN JUAN BASIS SWAP U.S. 6 6,417 15.2 4,363 10.3 42,222
NON U.S. 4 1,700 4.0 5,767 13.7
---- --------- ---- --------- ----
10 8,117 19.2 10,130 24.0
11/07/06 NYME SOCAL BASIS SWAP U.S. 5 11,409 6.3 15,482 8.5 182,319
NON U.S. 5 3,514 1.9 13,570 7.4
---- --------- ---- --------- ----
10 14,923 8.2 29,052 15.9
11/07/06 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 344 0.6 2,474 4.6 53,607
NON U.S. 5 504 0.9 938 1.7
---- --------- ---- --------- ----
7 848 1.6 3,412 6.4
11/07/06 NYME HENRY HUB GAS SWAP U.S. 6 123,753 3.9 179,643 5.7 3,143,063
NON U.S. 8 286,773 9.1 324,780 10.3
---- --------- ---- --------- ----
14 410,526 13.1 504,423 16.0
11/07/06 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 5 21,268 2.8 37,421 5.0 747,514
NON U.S. 7 149,265 20.0 205,229 27.5
---- --------- ---- --------- ----
12 170,533 22.8 242,650 32.5
11/07/06 CBT 2-YEAR U.S. TREASURY NOTES U.S. 3 22,700 3.4 10,538 1.6 661,030
NON U.S. 29 44,822 6.8 61,810 9.4
---- --------- ---- --------- ----
32 67,522 10.2 72,348 10.9
11/07/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 20,015 0.8 66,372 2.8 2,387,678
NON U.S. 44 133,721 5.6 101,853 4.3
---- --------- ---- --------- ----
50 153,736 6.4 168,225 7.0
11/07/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 20,454 1.5 18,089 1.3 1,386,411
NON U.S. 34 47,659 3.4 68,118 4.9
---- --------- ---- --------- ----
37 68,113 4.9 86,207 6.2
11/07/06 CBT 30-DAY FEDERAL FUNDS U.S. 3 35,508 9.2 15,902 4.1 384,191
NON U.S. 25 76,085 19.8 50,430 13.1
---- --------- ---- --------- ----
28 111,593 29.0 66,332 17.3
11/07/06 CME LEAN HOGS U.S. 1 5,149 2.7 0 0.0 191,291
NON U.S. 7 14,161 7.4 0 0.0
---- --------- ---- --------- ----
8 19,310 10.1 0 0.0
11/07/06 CME LIVE CATTLE U.S. 2 6,625 3.3 1,273 0.6 198,160
NON U.S. 6 15,814 8.0 0 0.0
---- --------- ---- --------- ----
8 22,439 11.3 1,273 0.6
11/07/06 CME FEEDER CATTLE U.S. 1 444 1.8 0 0.0 24,889
NON U.S. 4 1,094 4.4 0 0.0
---- --------- ---- --------- ----
5 1,538 6.2 0 0.0
11/07/06 NYME PJM ELECTRICITY MONTHLY U.S. 2 1,080 2.5 3,316 7.7 43,178
NON U.S. 3 1,162 2.7 1,338 3.1
---- --------- ---- --------- ----
5 2,242 5.2 4,654 10.8
11/07/06 NYME NYISO ZONE A LBMP SWAP U.S. 2 5,625 23.8 41 0.2 23,602
NON U.S. 3 82 0.3 2,838 12.0
---- --------- ---- --------- ----
5 5,707 24.2 2,879 12.2
11/07/06 NYME ISO NEW ENGLAND LMP SWAP U.S. 2 3,492 17.3 3,072 15.3 20,142
NON U.S. 3 1,476 7.3 1,348 6.7
---- --------- ---- --------- ----
5 4,968 24.7 4,420 21.9
11/07/06 NYME PJM CAL MONTH OFF PK LMP SWAP U.S. 2 3,980 14.7 188 0.7 27,070
NON U.S. 3 2,422 8.9 826 3.1
---- --------- ---- --------- ----
5 6,402 23.6 1,014 3.7
11/07/06 NYME CRUDE OIL, LIGHT SWEET U.S. 5 32,110 2.8 58,448 5.0 1,160,833
NON U.S. 17 100,579 8.7 79,717 6.9
---- --------- ---- --------- ----
22 132,689 11.4 138,165 11.9
11/07/06 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 2 400 0.5 2,472 3.3 74,110
NON U.S. 5 6,839 9.2 22,618 30.5
---- --------- ---- --------- ----
7 7,239 9.8 25,090 33.9
11/07/06 NYME WTI CRUDE OIL FINANCIAL U.S. 2 145 0.4 127 0.4 33,240
NON U.S. 7 4,455 13.4 8,511 25.6
---- --------- ---- --------- ----
9 4,600 13.8 8,638 26.0
11/07/06 NYBT COCOA U.S. 1 541 0.4 0 0.0 145,174
NON U.S. 8 3,589 2.5 4,115 2.8
---- --------- ---- --------- ----
9 4,130 2.8 4,115 2.8
11/07/06 NYME PALLADIUM U.S. 1 78 0.6 0 0.0 12,963
NON U.S. 13 717 5.5 3,129 24.1
---- --------- ---- --------- ----
14 795 6.1 3,129 24.1
11/07/06 NYME PLATINUM U.S. 1 0 0.0 120 1.3 9,085
NON U.S. 8 1,682 18.5 326 3.6
---- --------- ---- --------- ----
9 1,682 18.5 446 4.9
11/07/06 NYBT SUGAR NO. 11 U.S. 2 9,302 1.9 1,757 0.4 487,900
NON U.S. 9 45,230 9.3 27,878 5.7
---- --------- ---- --------- ----
11 54,532 11.2 29,635 6.1
11/07/06 NYBT COFFEE C U.S. 1 1,997 1.6 0 0.0 122,312
NON U.S. 14 8,990 7.4 5,537 4.5
---- --------- ---- --------- ----
15 10,987 9.0 5,537 4.5
11/07/06 CBT SILVER, 5000 TROY OZ U.S. 3 0 0.0 1,961 21.5 9,115
NON U.S. 4 229 2.5 2,520 27.6
---- --------- ---- --------- ----
7 229 2.5 4,481 49.2
11/07/06 CMX SILVER U.S. 4 2,388 2.1 5,500 4.8 113,697
NON U.S. 9 3,050 2.7 9,529 8.4
---- --------- ---- --------- ----
13 5,438 4.8 15,029 13.2
11/07/06 CMX COPPER-GRADE #1 U.S. 1 2,095 2.9 0 0.0 72,371
NON U.S. 10 5,754 8.0 555 0.8
---- --------- ---- --------- ----
11 7,849 10.8 555 0.8
11/07/06 CBT GOLD, 100 TROY OZ U.S. 3 0 0.0 11,562 22.1 52,364
NON U.S. 8 3,297 6.3 4,949 9.5
---- --------- ---- --------- ----
11 3,297 6.3 16,511 31.5
11/07/06 CMX GOLD U.S. 5 532 0.2 24,610 7.3 335,036
NON U.S. 22 18,435 5.5 52,086 15.5
---- --------- ---- --------- ----
27 18,967 5.7 76,696 22.9
11/07/06 CME RUSSIAN RUBLE NON U.S. 5 2,789 23.0 11,035 91.0 12,133
11/07/06 CME CANADIAN DOLLAR U.S. 4 14,425 13.9 378 0.4 103,426
NON U.S. 11 15,385 14.9 18,406 17.8
---- --------- ---- --------- ----
15 29,810 28.8 18,784 18.2
11/07/06 CME SWISS FRANC U.S. 3 770 0.7 1,810 1.8 103,184
NON U.S. 6 57,521 55.7 1,649 1.6
---- --------- ---- --------- ----
9 58,291 56.5 3,459 3.4
11/07/06 CME MEXICAN PESO U.S. 4 1,114 1.2 10,520 11.7 90,298
NON U.S. 8 2,979 3.3 45,877 50.8
---- --------- ---- --------- ----
12 4,093 4.5 56,397 62.5
11/07/06 CME BRITISH POUND STERLING U.S. 5 87 0.1 7,780 5.1 152,030
NON U.S. 7 523 0.3 43,744 28.8
---- --------- ---- --------- ----
12 610 0.4 51,524 33.9
11/07/06 CME JAPANESE YEN U.S. 4 8,869 3.9 1 0.0 229,063
NON U.S. 12 37,154 16.2 10,627 4.6
---- --------- ---- --------- ----
16 46,023 20.1 10,628 4.6
11/07/06 CME EURO FX U.S. 5 3,067 1.7 6,635 3.7 178,237
NON U.S. 19 9,172 5.1 46,358 26.0
---- --------- ---- --------- ----
24 12,239 6.9 52,993 29.7
11/07/06 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 1 2,637 2.3 821 0.7 112,876
NON U.S. 8 6,937 6.1 2,301 2.0
---- --------- ---- --------- ----
9 9,574 8.5 3,122 2.8
11/07/06 NYBT NEW ZEALAND DOLLAR U.S. 1 1,048 21.5 0 0.0 4,878
NON U.S. 5 0 0.0 1,698 34.8
---- --------- ---- --------- ----
6 1,048 21.5 1,698 34.8
11/07/06 E VIX FUTURES NON U.S. 5 1,420 3.1 527 1.2 45,390
11/07/06 NYBT SOUTH AFRICAN RAND U.S. 3 219 10.8 875 43.3 2,022
NON U.S. 3 271 13.4 297 14.7
---- --------- ---- --------- ----
6 490 24.2 1,172 58.0
11/07/06 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 3,116 4.9 684 1.1 63,187
NON U.S. 7 2,665 4.2 6,312 10.0
---- --------- ---- --------- ----
11 5,781 9.1 6,996 11.1
11/07/06 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2 0 0.0 7,300 5.6 131,339
NON U.S. 7 589 0.4 8,843 6.7
---- --------- ---- --------- ----
9 589 0.4 16,143 12.3
11/07/06 CME 3-MONTH EURODOLLARS U.S. 12 400,463 3.9 1,435,874 14.0 10,257,548
NON U.S. 68 1,442,697 14.1 1,083,195 10.6
---- --------- ---- --------- ----
80 1,843,160 18.0 2,519,069 24.6
11/07/06 CME S&P 500 STOCK INDEX U.S. 5 11,078 1.8 4,790 0.8 628,889
NON U.S. 21 8,199 1.3 81,024 12.9
---- --------- ---- --------- ----
26 19,277 3.1 85,814 13.6
11/07/06 CME E-MINI S&P 500 STOCK INDEX U.S. 8 24,835 1.5 9,923 0.6 1,697,597
NON U.S. 35 55,181 3.3 90,709 5.3
---- --------- ---- --------- ----
43 80,016 4.7 100,632 5.9
11/07/06 CME NASDAQ-100 STOCK INDEX U.S. 6 6,822 10.4 3,183 4.9 65,417
NON U.S. 9 4,122 6.3 2,174 3.3
---- --------- ---- --------- ----
15 10,944 16.7 5,357 8.2
11/07/06 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 7 9,521 2.0 10,876 2.3 473,590
NON U.S. 32 8,082 1.7 19,890 4.2
---- --------- ---- --------- ----
39 17,603 3.7 30,766 6.5
11/07/06 CME AUSTRALIAN DOLLAR U.S. 4 0 0.0 3,347 2.7 123,491
NON U.S. 6 29 0.0 54,151 43.9
---- --------- ---- --------- ----
10 29 0.0 57,498 46.6
11/07/06 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 3 347 0.9 3,521 9.3 37,889
NON U.S. 6 4,167 11.0 1,221 3.2
---- --------- ---- --------- ----
9 4,514 11.9 4,742 12.5
11/07/06 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 3 6,037 1.5 11,814 2.9 407,790
NON U.S. 15 34,978 8.6 12,152 3.0
---- --------- ---- --------- ----
18 41,015 10.1 23,966 5.9
11/07/06 CME NIKKEI STOCK AVERAGE U.S. 1 0 0.0 2,531 5.5 45,908
NON U.S. 17 5,266 11.5 5,363 11.7
---- --------- ---- --------- ----
18 5,266 11.5 7,894 17.2
11/07/06 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 4 1,805 4.1 0 0.0 43,532
NON U.S. 7 3,534 8.1 1 0.0
---- --------- ---- --------- ----
11 5,339 12.3 1 0.0
11/07/06 NYBT BRITISH POUND/JPN YEN XRATE U.S. 1 187 3.0 0 0.0 6,194
NON U.S. 4 0 0.0 1,600 25.8
---- --------- ---- --------- ----
5 187 3.0 1,600 25.8
11/07/06 NYBT EURO FX/JAPANESE YEN XRATE U.S. 3 1,797 4.2 1,117 2.6 43,094
NON U.S. 7 1,097 2.5 10,003 23.2
---- --------- ---- --------- ----
10 2,894 6.7 11,120 25.8
11/07/06 CME E-MINI S&P 400 STOCK INDEX U.S. 1 0 0.0 4,225 5.8 73,426
NON U.S. 4 9,555 13.0 721 1.0
---- --------- ---- --------- ----
5 9,555 13.0 4,946 6.7
11/07/06 CME EURO FX/JAPANESE YEN XRATE U.S. 1 60 0.8 0 0.0 7,493
NON U.S. 4 1,616 21.6 2,291 30.6
---- --------- ---- --------- ----
5 1,676 22.4 2,291 30.6
11/07/06 NYBT EURO FX/SWISS FRANC XRATE U.S. 2 0 0.0 4,095 30.5 13,409
NON U.S. 4 0 0.0 3,387 25.3
---- --------- ---- --------- ----
6 0 0.0 7,482 55.8
11/07/06 CME 3-MO. EUROYEN TIBOR U.S. 6 974 1.7 2,736 4.7 58,160
NON U.S. 19 10,295 17.7 13,458 23.1
---- --------- ---- --------- ----
25 11,269 19.4 16,194 27.8
11/07/06 NYBT EURO FX/BRITISH POUND XRATE U.S. 3 1,693 10.6 0 0.0 16,004
NON U.S. 4 9,566 59.8 0 0.0
---- --------- ---- --------- ----
7 11,259 70.4 0 0.0
11/07/06 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 2 190 2.1 160 1.8 8,926
NON U.S. 3 1,067 12.0 773 8.7
---- --------- ---- --------- ----
5 1,257 14.1 933 10.5