BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
10/03/06 CBT WHEAT U.S. 1 11,246 2.3 0 0.0 495,828
NON U.S. 13 64,556 13.0 3,260 0.7
---- --------- ---- --------- ----
14 75,802 15.3 3,260 0.7
10/03/06 KCBT WHEAT U.S. 1 1,886 1.2 12 0.0 156,584
NON U.S. 6 6,541 4.2 169 0.1
---- --------- ---- --------- ----
7 8,427 5.4 181 0.1
10/03/06 CBT CORN U.S. 1 24,846 1.9 0 0.0 1,288,905
NON U.S. 11 125,923 9.8 1,458 0.1
---- --------- ---- --------- ----
12 150,769 11.7 1,458 0.1
10/03/06 CBT SOYBEANS U.S. 1 9,391 2.5 0 0.0 379,185
NON U.S. 9 24,709 6.5 1,374 0.4
---- --------- ---- --------- ----
10 34,100 9.0 1,374 0.4
10/03/06 CBT SOYBEAN OIL U.S. 1 3,926 1.5 0 0.0 254,395
NON U.S. 6 14,858 5.8 252 0.1
---- --------- ---- --------- ----
7 18,784 7.4 252 0.1
10/03/06 CBT U.S. TREASURY BONDS U.S. 3 8,018 1.0 13,944 1.8 773,507
NON U.S. 17 9,437 1.2 18,127 2.3
---- --------- ---- --------- ----
20 17,455 2.3 32,071 4.1
10/03/06 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 4 9,449 4.3 374 0.2 221,674
NON U.S. 8 15,049 6.8 4,705 2.1
---- --------- ---- --------- ----
12 24,498 11.1 5,079 2.3
10/03/06 NYME NATURAL GAS U.S. 6 46,806 4.9 62,092 6.6 946,291
NON U.S. 11 41,457 4.4 88,360 9.3
---- --------- ---- --------- ----
17 88,263 9.3 150,452 15.9
10/03/06 NYME PERMIAN BASIS SWAP U.S. 3 5,940 14.3 751 1.8 41,609
NON U.S. 3 604 1.5 6,336 15.2
---- --------- ---- --------- ----
6 6,544 15.7 7,087 17.0
10/03/06 NYME M-3 BASIS SWAP U.S. 3 3,954 3.5 0 0.0 114,514
NON U.S. 3 3,487 3.0 2,966 2.6
---- --------- ---- --------- ----
6 7,441 6.5 2,966 2.6
10/03/06 NYME MALIN BASIS SWAP U.S. 1 304 0.4 2,091 3.1 67,868
NON U.S. 5 4,599 6.8 3,592 5.3
---- --------- ---- --------- ----
6 4,903 7.2 5,683 8.4
10/03/06 NYME PG&E CITYGATE BASIS SWAP U.S. 3 0 0.0 1,865 3.2 57,688
NON U.S. 3 486 0.8 4,215 7.3
---- --------- ---- --------- ----
6 486 0.8 6,080 10.5
10/03/06 NYME ANR OK BASIS SWAP U.S. 4 56 0.3 4,169 23.0 18,107
NON U.S. 1 0 0.0 2,928 16.2
---- --------- ---- --------- ----
5 56 0.3 7,097 39.2
10/03/06 NYME SUMAS BASIS SWAP U.S. 3 3,994 12.9 214 0.7 31,030
NON U.S. 5 3,956 12.7 2,682 8.6
---- --------- ---- --------- ----
8 7,950 25.6 2,896 9.3
10/03/06 NYME DOMINION BASIS SWAP U.S. 3 1,963 3.0 216 0.3 64,927
NON U.S. 3 0 0.0 1,287 2.0
---- --------- ---- --------- ----
6 1,963 3.0 1,503 2.3
10/03/06 NYME WAHA BASIS SWAP U.S. 2 1,803 2.5 1,489 2.0 73,127
NON U.S. 3 3,109 4.3 244 0.3
---- --------- ---- --------- ----
5 4,912 6.7 1,733 2.4
10/03/06 NYME CIG BASIS SWAP U.S. 5 1,812 2.9 13,381 21.7 61,649
NON U.S. 6 569 0.9 14,832 24.1
---- --------- ---- --------- ----
11 2,381 3.9 28,213 45.8
10/03/06 NYME TETCO SOUTH TEXAS SWAP U.S. 2 3,669 38.7 0 0.0 9,481
NON U.S. 3 2,841 30.0 0 0.0
---- --------- ---- --------- ----
5 6,510 68.7 0 0.0
10/03/06 CME 1-MONTH LIBOR RATE U.S. 1 100 0.2 4,147 7.0 59,653
NON U.S. 5 2,566 4.3 8,247 13.8
---- --------- ---- --------- ----
6 2,666 4.5 12,394 20.8
10/03/06 NYBT COTTON NO. 2 U.S. 1 7,370 4.0 0 0.0 184,683
NON U.S. 10 15,806 8.6 383 0.2
---- --------- ---- --------- ----
11 23,176 12.5 383 0.2
10/03/06 NYME ALBERTA BASIS SWAP U.S. 5 7,455 4.5 11,294 6.8 166,805
NON U.S. 7 15,869 9.5 40,367 24.2
---- --------- ---- --------- ----
12 23,324 14.0 51,661 31.0
10/03/06 NYME HOUSTON SHIP CH BASIS SWAP U.S. 6 8,257 3.3 11,058 4.4 253,612
NON U.S. 5 8,953 3.5 24,161 9.5
---- --------- ---- --------- ----
11 17,210 6.8 35,219 13.9
10/03/06 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 16,053 10.2 5,703 3.6 157,385
NON U.S. 6 10,185 6.5 20,558 13.1
---- --------- ---- --------- ----
11 26,238 16.7 26,261 16.7
10/03/06 NYME PANHANDLE BASIS SWAP U.S. 5 2,390 1.4 13,075 7.8 167,417
NON U.S. 4 10,644 6.4 17,767 10.6
---- --------- ---- --------- ----
9 13,034 7.8 30,842 18.4
10/03/06 NYME SAN JUAN BASIS SWAP U.S. 6 6,610 14.7 5,353 11.9 44,929
NON U.S. 4 1,850 4.1 6,337 14.1
---- --------- ---- --------- ----
10 8,460 18.8 11,690 26.0
10/03/06 NYME SOCAL BASIS SWAP U.S. 5 8,617 5.2 14,939 8.9 166,984
NON U.S. 5 3,361 2.0 13,386 8.0
---- --------- ---- --------- ----
10 11,978 7.2 28,325 17.0
10/03/06 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 927 1.6 3,292 5.8 56,386
NON U.S. 5 1,106 2.0 514 0.9
---- --------- ---- --------- ----
7 2,033 3.6 3,806 6.7
10/03/06 NYME HENRY HUB GAS SWAP U.S. 6 133,035 4.1 175,327 5.4 3,261,779
NON U.S. 8 305,483 9.4 318,286 9.8
---- --------- ---- --------- ----
14 438,518 13.4 493,613 15.1
10/03/06 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 5 19,204 2.7 43,003 5.9 724,583
NON U.S. 7 171,198 23.6 118,804 16.4
---- --------- ---- --------- ----
12 190,402 26.3 161,807 22.3
10/03/06 CBT 2-YEAR U.S. TREASURY NOTES U.S. 4 23,072 3.3 23,205 3.3 696,293
NON U.S. 28 29,896 4.3 67,217 9.7
---- --------- ---- --------- ----
32 52,968 7.6 90,422 13.0
10/03/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 7 14,865 0.7 61,980 2.8 2,241,109
NON U.S. 46 94,149 4.2 109,831 4.9
---- --------- ---- --------- ----
53 109,014 4.9 171,811 7.7
10/03/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 18,048 1.3 27,237 1.9 1,419,017
NON U.S. 32 72,532 5.1 60,506 4.3
---- --------- ---- --------- ----
36 90,580 6.4 87,743 6.2
10/03/06 CBT 30-DAY FEDERAL FUNDS U.S. 5 39,043 8.2 19,385 4.1 476,644
NON U.S. 26 74,566 15.6 43,908 9.2
---- --------- ---- --------- ----
31 113,609 23.8 63,293 13.3
10/03/06 CME LEAN HOGS U.S. 1 5,310 3.1 0 0.0 172,741
NON U.S. 6 14,201 8.2 0 0.0
---- --------- ---- --------- ----
7 19,511 11.3 0 0.0
10/03/06 CME LIVE CATTLE U.S. 2 8,749 3.9 2,890 1.3 221,700
NON U.S. 5 15,432 7.0 0 0.0
---- --------- ---- --------- ----
7 24,181 10.9 2,890 1.3
10/03/06 CME FEEDER CATTLE U.S. 2 422 1.7 127 0.5 24,841
NON U.S. 3 1,003 4.0 2 0.0
---- --------- ---- --------- ----
5 1,425 5.7 129 0.5
10/03/06 NYME PJM ELECTRICITY MONTHLY U.S. 2 1,080 2.4 3,372 7.3 45,921
NON U.S. 3 1,218 2.7 1,176 2.6
---- --------- ---- --------- ----
5 2,298 5.0 4,548 9.9
10/03/06 NYME NYISO ZONE A LBMP SWAP U.S. 2 6,043 24.4 41 0.2 24,792
NON U.S. 3 126 0.5 2,460 9.9
---- --------- ---- --------- ----
5 6,169 24.9 2,501 10.1
10/03/06 NYME ISO NEW ENGLAND LMP SWAP U.S. 2 3,512 14.7 3,756 15.7 23,884
NON U.S. 3 1,620 6.8 1,236 5.2
---- --------- ---- --------- ----
5 5,132 21.5 4,992 20.9
10/03/06 NYME PJM CAL MONTH OFF PK LMP SWAP U.S. 2 3,980 15.0 252 0.9 26,612
NON U.S. 3 2,502 9.4 978 3.7
---- --------- ---- --------- ----
5 6,482 24.4 1,230 4.6
10/03/06 NYME CRUDE OIL, LIGHT SWEET U.S. 5 39,539 3.4 61,730 5.3 1,173,630
NON U.S. 16 89,139 7.6 70,331 6.0
---- --------- ---- --------- ----
21 128,678 11.0 132,061 11.3
10/03/06 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 2 606 1.1 2,469 4.4 55,758
NON U.S. 4 8,944 16.0 7,718 13.8
---- --------- ---- --------- ----
6 9,550 17.1 10,187 18.3
10/03/06 NYME WTI CRUDE OIL FINANCIAL U.S. 2 145 0.6 0 0.0 26,116
NON U.S. 5 4,338 16.6 1,969 7.5
---- --------- ---- --------- ----
7 4,483 17.2 1,969 7.5
10/03/06 NYBT COCOA U.S. 1 416 0.3 0 0.0 146,930
NON U.S. 9 4,574 3.1 4,130 2.8
---- --------- ---- --------- ----
10 4,990 3.4 4,130 2.8
10/03/06 NYME PALLADIUM U.S. 2 162 1.4 138 1.2 11,344
NON U.S. 12 645 5.7 2,622 23.1
---- --------- ---- --------- ----
14 807 7.1 2,760 24.3
10/03/06 NYME PLATINUM NON U.S. 7 1,323 17.2 296 3.9 7,682
10/03/06 NYBT SUGAR NO. 11 U.S. 2 8,919 2.1 1,724 0.4 432,984
NON U.S. 9 43,361 10.0 23,562 5.4
---- --------- ---- --------- ----
11 52,280 12.1 25,286 5.8
10/03/06 NYBT COFFEE C U.S. 1 2,037 1.8 0 0.0 110,868
NON U.S. 13 8,740 7.9 5,644 5.1
---- --------- ---- --------- ----
14 10,777 9.7 5,644 5.1
10/03/06 CBT SILVER, 5000 TROY OZ U.S. 3 0 0.0 3,002 29.5 10,180
NON U.S. 5 1,189 11.7 2,471 24.3
---- --------- ---- --------- ----
8 1,189 11.7 5,473 53.8
10/03/06 CMX SILVER U.S. 3 4,167 4.2 5,477 5.5 98,967
NON U.S. 10 4,444 4.5 6,444 6.5
---- --------- ---- --------- ----
13 8,611 8.7 11,921 12.0
10/03/06 CMX COPPER-GRADE #1 U.S. 2 2,175 3.1 71 0.1 69,400
NON U.S. 8 5,585 8.0 494 0.7
---- --------- ---- --------- ----
10 7,760 11.2 565 0.8
10/03/06 CBT GOLD, 100 TROY OZ U.S. 3 0 0.0 5,246 13.4 39,005
NON U.S. 7 6,498 16.7 2,526 6.5
---- --------- ---- --------- ----
10 6,498 16.7 7,772 19.9
10/03/06 CMX GOLD U.S. 5 1,142 0.3 18,124 5.5 330,065
NON U.S. 23 15,624 4.7 48,689 14.8
---- --------- ---- --------- ----
28 16,766 5.1 66,813 20.2
10/03/06 CME RUSSIAN RUBLE NON U.S. 5 4,195 33.6 11,356 91.0 12,475
10/03/06 CME CANADIAN DOLLAR U.S. 4 8,073 8.1 1,321 1.3 100,141
NON U.S. 11 5,265 5.3 18,803 18.8
---- --------- ---- --------- ----
15 13,338 13.3 20,124 20.1
10/03/06 CME SWISS FRANC U.S. 2 8 0.0 3,377 4.6 72,687
NON U.S. 5 35,410 48.7 1,028 1.4
---- --------- ---- --------- ----
7 35,418 48.7 4,405 6.1
10/03/06 CME MEXICAN PESO U.S. 3 2,820 4.6 1,640 2.7 61,683
NON U.S. 7 4,200 6.8 24,478 39.7
---- --------- ---- --------- ----
10 7,020 11.4 26,118 42.3
10/03/06 CME BRITISH POUND STERLING U.S. 4 5 0.0 5,297 5.1 104,665
NON U.S. 4 513 0.5 15,508 14.8
---- --------- ---- --------- ----
8 518 0.5 20,805 19.9
10/03/06 CME JAPANESE YEN U.S. 4 11,104 4.6 0 0.0 243,819
NON U.S. 13 58,629 24.0 1,050 0.4
---- --------- ---- --------- ----
17 69,733 28.6 1,050 0.4
10/03/06 CME EURO FX U.S. 5 1,591 1.1 5,655 4.0 142,202
NON U.S. 17 6,296 4.4 22,633 15.9
---- --------- ---- --------- ----
22 7,887 5.5 28,288 19.9
10/03/06 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 1 688 1.9 287 0.8 36,966
NON U.S. 4 3,208 8.7 121 0.3
---- --------- ---- --------- ----
5 3,896 10.5 408 1.1
10/03/06 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 1 2,339 2.5 557 0.6 92,034
NON U.S. 7 5,430 5.9 1,358 1.5
---- --------- ---- --------- ----
8 7,769 8.4 1,915 2.1
10/03/06 NYBT SOUTH AFRICAN RAND U.S. 2 73 2.8 394 15.3 2,579
NON U.S. 5 293 11.4 807 31.3
---- --------- ---- --------- ----
7 366 14.2 1,201 46.6
10/03/06 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 3,617 6.0 684 1.1 59,809
NON U.S. 7 2,712 4.5 6,292 10.5
---- --------- ---- --------- ----
11 6,329 10.6 6,976 11.7
10/03/06 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 3 680 0.6 6,729 5.7 118,580
NON U.S. 7 538 0.5 1,180 1.0
---- --------- ---- --------- ----
10 1,218 1.0 7,909 6.7
10/03/06 CME 3-MONTH EURODOLLARS U.S. 13 455,797 4.6 1,363,582 13.9 9,814,814
NON U.S. 64 1,283,278 13.1 1,132,677 11.5
---- --------- ---- --------- ----
77 1,739,075 17.7 2,496,259 25.4
10/03/06 CME S&P 500 STOCK INDEX U.S. 6 10,172 1.7 6,299 1.1 597,103
NON U.S. 20 8,512 1.4 70,037 11.7
---- --------- ---- --------- ----
26 18,684 3.1 76,336 12.8
10/03/06 CME E-MINI S&P 500 STOCK INDEX U.S. 7 30,104 2.1 6,678 0.5 1,453,775
NON U.S. 34 48,138 3.3 86,768 6.0
---- --------- ---- --------- ----
41 78,242 5.4 93,446 6.4
10/03/06 CME NASDAQ-100 STOCK INDEX U.S. 5 549 1.2 6,060 12.9 47,064
NON U.S. 6 3,266 6.9 253 0.5
---- --------- ---- --------- ----
11 3,815 8.1 6,313 13.4
10/03/06 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 5 47,498 11.0 7,835 1.8 430,732
NON U.S. 32 9,855 2.3 12,462 2.9
---- --------- ---- --------- ----
37 57,353 13.3 20,297 4.7
10/03/06 CME AUSTRALIAN DOLLAR U.S. 4 925 1.6 1,706 3.0 56,292
NON U.S. 5 88 0.2 9,552 17.0
---- --------- ---- --------- ----
9 1,013 1.8 11,258 20.0
10/03/06 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 3 361 1.0 3,519 10.0 35,177
NON U.S. 6 3,850 10.9 1,205 3.4
---- --------- ---- --------- ----
9 4,211 12.0 4,724 13.4
10/03/06 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 3 2,929 0.7 17,741 4.2 423,611
NON U.S. 15 43,695 10.3 10,846 2.6
---- --------- ---- --------- ----
18 46,624 11.0 28,587 6.7
10/03/06 CME NIKKEI STOCK AVERAGE U.S. 1 0 0.0 2,123 5.0 42,146
NON U.S. 17 4,204 10.0 3,101 7.4
---- --------- ---- --------- ----
18 4,204 10.0 5,224 12.4
10/03/06 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 4 1,804 5.2 0 0.0 34,882
NON U.S. 7 1,360 3.9 390 1.1
---- --------- ---- --------- ----
11 3,164 9.1 390 1.1
10/03/06 NYBT BRITISH POUND/JPN YEN XRATE U.S. 1 0 0.0 29 0.5 5,791
NON U.S. 4 0 0.0 1,697 29.3
---- --------- ---- --------- ----
5 0 0.0 1,726 29.8
10/03/06 NYBT EURO FX/JAPANESE YEN XRATE U.S. 2 601 1.9 722 2.2 32,267
NON U.S. 7 1,106 3.4 6,395 19.8
---- --------- ---- --------- ----
9 1,707 5.3 7,117 22.1
10/03/06 CME S&P 400 MIDCAP STOCK INDEX U.S. 2 28 0.3 301 3.8 8,005
NON U.S. 3 172 2.1 250 3.1
---- --------- ---- --------- ----
5 200 2.5 551 6.9
10/03/06 CME E-MINI S&P 400 STOCK INDEX U.S. 1 0 0.0 4,210 6.5 65,074
NON U.S. 5 13,240 20.3 628 1.0
---- --------- ---- --------- ----
6 13,240 20.3 4,838 7.4
10/03/06 NYBT EURO FX/SWISS FRANC XRATE U.S. 2 0 0.0 4,083 32.4 12,586
NON U.S. 4 1,621 12.9 2,985 23.7
---- --------- ---- --------- ----
6 1,621 12.9 7,068 56.2
10/03/06 CME 3-MO. EUROYEN TIBOR U.S. 6 1,024 2.0 2,481 4.8 52,131
NON U.S. 21 9,314 17.9 13,105 25.1
---- --------- ---- --------- ----
27 10,338 19.8 15,586 29.9
10/03/06 NYBT EURO FX/BRITISH POUND XRATE U.S. 2 1,474 9.9 0 0.0 14,927
NON U.S. 4 8,311 55.7 0 0.0
---- --------- ---- --------- ----
6 9,785 65.6 0 0.0
10/03/06 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 2 230 2.6 185 2.1 8,692
NON U.S. 3 1,111 12.8 379 4.4
---- --------- ---- --------- ----
5 1,341 15.4 564 6.5