BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
09/05/06 CBT WHEAT U.S. 1 10,616 2.4 0 0.0 446,047
NON U.S. 13 66,990 15.0 2,617 0.6
---- --------- ---- --------- ----
14 77,606 17.4 2,617 0.6
09/05/06 KCBT WHEAT U.S. 1 1,666 1.0 0 0.0 161,110
NON U.S. 6 6,980 4.3 25 0.0
---- --------- ---- --------- ----
7 8,646 5.4 25 0.0
09/05/06 CBT CORN U.S. 1 23,608 1.8 0 0.0 1,310,702
NON U.S. 10 129,331 9.9 458 0.0
---- --------- ---- --------- ----
11 152,939 11.7 458 0.0
09/05/06 CBT SOYBEANS U.S. 1 9,047 2.5 0 0.0 358,095
NON U.S. 8 24,810 6.9 489 0.1
---- --------- ---- --------- ----
9 33,857 9.5 489 0.1
09/05/06 CBT SOYBEAN OIL U.S. 1 3,911 1.5 0 0.0 254,328
NON U.S. 6 14,784 5.8 0 0.0
---- --------- ---- --------- ----
7 18,695 7.4 0 0.0
09/05/06 CBT U.S. TREASURY BONDS U.S. 4 7,761 1.0 13,948 1.8 794,591
NON U.S. 13 10,633 1.3 16,205 2.0
---- --------- ---- --------- ----
17 18,394 2.3 30,153 3.8
09/05/06 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 4 8,658 4.5 294 0.2 192,578
NON U.S. 8 14,246 7.4 5,263 2.7
---- --------- ---- --------- ----
12 22,904 11.9 5,557 2.9
09/05/06 NYME NATURAL GAS U.S. 6 49,976 5.5 61,038 6.7 916,352
NON U.S. 12 40,248 4.4 82,429 9.0
---- --------- ---- --------- ----
18 90,224 9.8 143,467 15.7
09/05/06 NYME PERMIAN BASIS SWAP U.S. 4 6,102 14.5 1,062 2.5 42,029
NON U.S. 3 728 1.7 5,841 13.9
---- --------- ---- --------- ----
7 6,830 16.3 6,903 16.4
09/05/06 NYME M-3 BASIS SWAP U.S. 3 1,760 1.6 744 0.7 113,305
NON U.S. 3 3,673 3.2 2,002 1.8
---- --------- ---- --------- ----
6 5,433 4.8 2,746 2.4
09/05/06 NYME TCO BASIS SWAP U.S. 3 1,512 2.1 2,416 3.3 72,662
NON U.S. 2 62 0.1 1,476 2.0
---- --------- ---- --------- ----
5 1,574 2.2 3,892 5.4
09/05/06 NYME MALIN BASIS SWAP U.S. 1 304 0.4 2,458 3.4 73,130
NON U.S. 5 3,961 5.4 3,383 4.6
---- --------- ---- --------- ----
6 4,265 5.8 5,841 8.0
09/05/06 NYME PG&E CITYGATE BASIS SWAP U.S. 2 0 0.0 980 1.7 56,803
NON U.S. 3 486 0.9 4,833 8.5
---- --------- ---- --------- ----
5 486 0.9 5,813 10.2
09/05/06 NYME NGPL TEXOK BASIS SWAP U.S. 3 6,230 5.5 302 0.3 114,182
NON U.S. 3 124 0.1 444 0.4
---- --------- ---- --------- ----
6 6,354 5.6 746 0.7
09/05/06 NYME ANR OK BASIS SWAP U.S. 3 86 0.4 2,604 13.3 19,573
NON U.S. 2 62 0.3 5,337 27.3
---- --------- ---- --------- ----
5 148 0.8 7,941 40.6
09/05/06 NYME SUMAS BASIS SWAP U.S. 3 4,636 13.5 214 0.6 34,345
NON U.S. 6 4,134 12.0 3,672 10.7
---- --------- ---- --------- ----
9 8,770 25.5 3,886 11.3
09/05/06 NYME DOMINION BASIS SWAP U.S. 4 2,025 2.7 216 0.3 74,927
NON U.S. 3 62 0.1 1,287 1.7
---- --------- ---- --------- ----
7 2,087 2.8 1,503 2.0
09/05/06 NYME WAHA BASIS SWAP U.S. 3 2,629 3.3 1,643 2.1 79,714
NON U.S. 3 3,109 3.9 802 1.0
---- --------- ---- --------- ----
6 5,738 7.2 2,445 3.1
09/05/06 NYME CIG BASIS SWAP U.S. 5 2,449 4.0 12,744 20.9 61,022
NON U.S. 6 92 0.2 16,534 27.1
---- --------- ---- --------- ----
11 2,541 4.2 29,278 48.0
09/05/06 CME 1-MONTH LIBOR RATE U.S. 1 1,000 3.4 0 0.0 29,764
NON U.S. 5 2,220 7.5 6,461 21.7
---- --------- ---- --------- ----
6 3,220 10.8 6,461 21.7
09/05/06 NYBT COTTON NO. 2 U.S. 1 7,364 4.3 0 0.0 173,161
NON U.S. 10 15,703 9.1 383 0.2
---- --------- ---- --------- ----
11 23,067 13.3 383 0.2
09/05/06 NYME ALBERTA BASIS SWAP U.S. 5 7,672 4.4 11,742 6.7 175,161
NON U.S. 7 13,245 7.6 48,861 27.9
---- --------- ---- --------- ----
12 20,917 11.9 60,603 34.6
09/05/06 NYME CHICAGO BASIS SWAP U.S. 1 1,641 1.8 600 0.6 93,598
NON U.S. 4 2,633 2.8 1,067 1.1
---- --------- ---- --------- ----
5 4,274 4.6 1,667 1.8
09/05/06 NYME HOUSTON SHIP CH BASIS SWAP U.S. 6 6,659 2.5 12,123 4.6 263,631
NON U.S. 5 8,326 3.2 27,758 10.5
---- --------- ---- --------- ----
11 14,985 5.7 39,881 15.1
09/05/06 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 12,087 8.5 9,949 7.0 141,584
NON U.S. 6 10,127 7.2 20,530 14.5
---- --------- ---- --------- ----
11 22,214 15.7 30,479 21.5
09/05/06 NYME PANHANDLE BASIS SWAP U.S. 5 2,341 1.5 10,969 6.9 158,497
NON U.S. 5 10,484 6.6 16,444 10.4
---- --------- ---- --------- ----
10 12,825 8.1 27,413 17.3
09/05/06 NYME SAN JUAN BASIS SWAP U.S. 6 6,318 14.9 4,444 10.5 42,386
NON U.S. 4 1,185 2.8 6,018 14.2
---- --------- ---- --------- ----
10 7,503 17.7 10,462 24.7
09/05/06 NYME SOCAL BASIS SWAP U.S. 5 8,750 5.3 10,547 6.4 163,721
NON U.S. 5 4,684 2.9 9,726 5.9
---- --------- ---- --------- ----
10 13,434 8.2 20,273 12.4
09/05/06 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 1 752 1.4 180 0.3 54,203
NON U.S. 5 990 1.8 545 1.0
---- --------- ---- --------- ----
6 1,742 3.2 725 1.3
09/05/06 NYME HENRY HUB GAS SWAP U.S. 6 152,517 5.0 192,825 6.3 3,042,431
NON U.S. 8 283,302 9.3 394,973 13.0
---- --------- ---- --------- ----
14 435,819 14.3 587,798 19.3
09/05/06 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 4 9,588 1.3 42,700 5.6 765,265
NON U.S. 7 225,438 29.5 120,098 15.7
---- --------- ---- --------- ----
11 235,026 30.7 162,798 21.3
09/05/06 CBT 2-YEAR U.S. TREASURY NOTES U.S. 4 22,031 3.1 12,384 1.8 700,935
NON U.S. 26 24,625 3.5 59,158 8.4
---- --------- ---- --------- ----
30 46,656 6.7 71,542 10.2
09/05/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 7 23,694 1.0 38,996 1.7 2,270,848
NON U.S. 41 97,921 4.3 110,751 4.9
---- --------- ---- --------- ----
48 121,615 5.4 149,747 6.6
09/05/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 20,711 1.5 37,791 2.8 1,373,728
NON U.S. 32 70,452 5.1 81,879 6.0
---- --------- ---- --------- ----
37 91,163 6.6 119,670 8.7
09/05/06 CBT 30-DAY FEDERAL FUNDS U.S. 4 32,729 6.8 25,019 5.2 481,737
NON U.S. 25 77,272 16.0 46,729 9.7
---- --------- ---- --------- ----
29 110,001 22.8 71,748 14.9
09/05/06 CME LEAN HOGS U.S. 1 4,986 2.7 0 0.0 184,821
NON U.S. 5 14,092 7.6 0 0.0
---- --------- ---- --------- ----
6 19,078 10.3 0 0.0
09/05/06 CME LIVE CATTLE U.S. 2 7,027 3.3 1,877 0.9 209,993
NON U.S. 5 15,328 7.3 0 0.0
---- --------- ---- --------- ----
7 22,355 10.6 1,877 0.9
09/05/06 CME FEEDER CATTLE U.S. 2 357 1.2 171 0.6 29,760
NON U.S. 4 1,095 3.7 0 0.0
---- --------- ---- --------- ----
6 1,452 4.9 171 0.6
09/05/06 NYME PJM ELECTRICITY MONTHLY U.S. 2 720 1.6 3,532 7.8 45,170
NON U.S. 3 1,628 3.6 1,136 2.5
---- --------- ---- --------- ----
5 2,348 5.2 4,668 10.3
09/05/06 NYME NYISO ZONE A LBMP SWAP U.S. 2 8,249 29.4 61 0.2 28,070
NON U.S. 3 166 0.6 2,580 9.2
---- --------- ---- --------- ----
5 8,415 30.0 2,641 9.4
09/05/06 NYME PJM CAL MONTH OFF PK LMP SWAP U.S. 2 3,920 15.0 332 1.3 26,079
NON U.S. 3 2,480 9.5 558 2.1
---- --------- ---- --------- ----
5 6,400 24.5 890 3.4
09/05/06 NYME CRUDE OIL, LIGHT SWEET U.S. 5 52,742 4.5 77,195 6.6 1,170,266
NON U.S. 14 81,394 7.0 74,286 6.3
---- --------- ---- --------- ----
19 134,136 11.5 151,481 12.9
09/05/06 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 2 635 1.1 2,514 4.4 57,509
NON U.S. 3 5,453 9.5 4,399 7.6
---- --------- ---- --------- ----
5 6,088 10.6 6,913 12.0
09/05/06 NYME WTI CRUDE OIL FINANCIAL U.S. 1 120 0.4 0 0.0 31,345
NON U.S. 5 4,560 14.5 1,503 4.8
---- --------- ---- --------- ----
6 4,680 14.9 1,503 4.8
09/05/06 NYBT COCOA U.S. 1 432 0.3 0 0.0 134,548
NON U.S. 9 4,537 3.4 4,136 3.1
---- --------- ---- --------- ----
10 4,969 3.7 4,136 3.1
09/05/06 NYME PALLADIUM U.S. 2 30 0.3 148 1.3 11,444
NON U.S. 9 389 3.4 2,703 23.6
---- --------- ---- --------- ----
11 419 3.7 2,851 24.9
09/05/06 NYME PLATINUM U.S. 1 0 0.0 103 1.0 10,269
NON U.S. 9 1,236 12.0 662 6.4
---- --------- ---- --------- ----
10 1,236 12.0 765 7.4
09/05/06 NYBT SUGAR NO. 11 U.S. 2 8,565 1.7 1,685 0.3 505,361
NON U.S. 10 41,368 8.2 24,222 4.8
---- --------- ---- --------- ----
12 49,933 9.9 25,907 5.1
09/05/06 NYBT COFFEE C U.S. 1 1,952 1.9 0 0.0 101,785
NON U.S. 12 8,743 8.6 4,425 4.3
---- --------- ---- --------- ----
13 10,695 10.5 4,425 4.3
09/05/06 CBT SILVER, 5000 TROY OZ U.S. 3 0 0.0 1,631 19.8 8,232
NON U.S. 4 0 0.0 1,920 23.3
---- --------- ---- --------- ----
7 0 0.0 3,551 43.1
09/05/06 CMX SILVER U.S. 3 0 0.0 6,139 5.7 108,132
NON U.S. 9 3,429 3.2 7,985 7.4
---- --------- ---- --------- ----
12 3,429 3.2 14,124 13.1
09/05/06 CMX COPPER-GRADE #1 U.S. 3 2,368 3.4 61 0.1 69,247
NON U.S. 9 5,473 7.9 592 0.9
---- --------- ---- --------- ----
12 7,841 11.3 653 0.9
09/05/06 CBT GOLD, 100 TROY OZ U.S. 3 0 0.0 5,960 17.6 33,795
NON U.S. 5 0 0.0 6,147 18.2
---- --------- ---- --------- ----
8 0 0.0 12,107 35.8
09/05/06 CMX GOLD U.S. 4 1,440 0.5 25,961 8.1 319,998
NON U.S. 21 8,667 2.7 59,393 18.6
---- --------- ---- --------- ----
25 10,107 3.2 85,354 26.7
09/05/06 CME RUSSIAN RUBLE NON U.S. 5 2,932 22.7 10,794 83.5 12,920
09/05/06 CME CANADIAN DOLLAR U.S. 6 4,077 3.6 6,802 6.1 111,705
NON U.S. 13 13,864 12.4 23,151 20.7
---- --------- ---- --------- ----
19 17,941 16.1 29,953 26.8
09/05/06 CME SWISS FRANC U.S. 5 1,188 1.7 1,559 2.2 70,053
NON U.S. 8 41,367 59.1 5,888 8.4
---- --------- ---- --------- ----
13 42,555 60.7 7,447 10.6
09/05/06 CME MEXICAN PESO U.S. 4 2,964 3.5 29,201 34.8 83,830
NON U.S. 7 2,610 3.1 29,527 35.2
---- --------- ---- --------- ----
11 5,574 6.6 58,728 70.1
09/05/06 CME BRITISH POUND STERLING U.S. 6 3,267 2.5 8,376 6.4 131,836
NON U.S. 7 1,829 1.4 54,921 41.7
---- --------- ---- --------- ----
13 5,096 3.9 63,297 48.0
09/05/06 CME JAPANESE YEN U.S. 7 20,647 9.0 905 0.4 228,792
NON U.S. 9 48,715 21.3 3,070 1.3
---- --------- ---- --------- ----
16 69,362 30.3 3,975 1.7
09/05/06 CME EURO FX U.S. 6 3,097 1.8 10,318 6.0 171,026
NON U.S. 20 9,062 5.3 60,845 35.6
---- --------- ---- --------- ----
26 12,159 7.1 71,163 41.6
09/05/06 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 1 1,318 2.3 431 0.7 58,205
NON U.S. 4 4,741 8.1 243 0.4
---- --------- ---- --------- ----
5 6,059 10.4 674 1.2
09/05/06 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 1 2,191 3.0 401 0.6 72,886
NON U.S. 6 5,321 7.3 699 1.0
---- --------- ---- --------- ----
7 7,512 10.3 1,100 1.5
09/05/06 NYBT NEW ZEALAND DOLLAR U.S. 2 3,158 80.6 1,589 40.6 3,916
NON U.S. 4 352 9.0 329 8.4
---- --------- ---- --------- ----
6 3,510 89.6 1,918 49.0
09/05/06 CME NEW ZEALAND DOLLAR U.S. 3 400 2.1 2,878 15.3 18,852
NON U.S. 6 1,918 10.2 8,512 45.2
---- --------- ---- --------- ----
9 2,318 12.3 11,390 60.4
09/05/06 NYBT SOUTH AFRICAN RAND U.S. 2 0 0.0 340 9.6 3,543
NON U.S. 4 331 9.3 1,932 54.5
---- --------- ---- --------- ----
6 331 9.3 2,272 64.1
09/05/06 CME SOUTH AFRICAN RAND U.S. 1 396 9.5 0 0.0 4,188
NON U.S. 4 1,150 27.5 1 0.0
---- --------- ---- --------- ----
5 1,546 36.9 1 0.0
09/05/06 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 3,455 5.6 3,913 6.4 61,234
NON U.S. 8 3,805 6.2 6,270 10.2
---- --------- ---- --------- ----
12 7,260 11.9 10,183 16.6
09/05/06 CBT DOW JONES INDUSTRIAL AVG- x $5 NON U.S. 6 3,150 2.9 1,517 1.4 107,183
09/05/06 CME 3-MONTH EURODOLLARS U.S. 14 679,426 6.4 1,186,485 11.2 10,587,550
NON U.S. 67 1,242,633 11.7 1,265,837 12.0
---- --------- ---- --------- ----
81 1,922,059 18.2 2,452,322 23.2
09/05/06 CME S&P 500 STOCK INDEX U.S. 6 6,808 1.1 6,371 1.0 647,167
NON U.S. 22 9,089 1.4 79,990 12.4
---- --------- ---- --------- ----
28 15,897 2.5 86,361 13.3
09/05/06 CME E-MINI S&P 500 STOCK INDEX U.S. 8 20,921 1.3 23,664 1.4 1,672,748
NON U.S. 34 64,339 3.8 74,311 4.4
---- --------- ---- --------- ----
42 85,260 5.1 97,975 5.9
09/05/06 CME NASDAQ-100 STOCK INDEX U.S. 5 1,154 2.0 7,537 13.3 56,572
NON U.S. 11 13,110 23.2 1,920 3.4
---- --------- ---- --------- ----
16 14,264 25.2 9,457 16.7
09/05/06 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 6 6,095 1.5 4,652 1.1 410,662
NON U.S. 31 23,709 5.8 16,198 3.9
---- --------- ---- --------- ----
37 29,804 7.3 20,850 5.1
09/05/06 CME AUSTRALIAN DOLLAR U.S. 2 138 0.2 305 0.4 81,372
NON U.S. 9 496 0.6 36,633 45.0
---- --------- ---- --------- ----
11 634 0.8 36,938 45.4
09/05/06 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 4 656 1.5 1,807 4.3 42,511
NON U.S. 7 787 1.9 1,901 4.5
---- --------- ---- --------- ----
11 1,443 3.4 3,708 8.7
09/05/06 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 4 933 0.2 31,327 6.8 459,590
NON U.S. 13 58,322 12.7 11,866 2.6
---- --------- ---- --------- ----
17 59,255 12.9 43,193 9.4
09/05/06 CME NIKKEI STOCK AVERAGE U.S. 1 0 0.0 2,332 3.8 61,361
NON U.S. 18 4,624 7.5 9,859 16.1
---- --------- ---- --------- ----
19 4,624 7.5 12,191 19.9
09/05/06 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 4 2,194 4.5 0 0.0 48,496
NON U.S. 11 5,322 11.0 1,484 3.1
---- --------- ---- --------- ----
15 7,516 15.5 1,484 3.1
09/05/06 NYBT BRITISH POUND/JPN YEN XRATE U.S. 2 76 0.9 524 5.9 8,913
NON U.S. 4 886 9.9 2,476 27.8
---- --------- ---- --------- ----
6 962 10.8 3,000 33.7
09/05/06 NYBT EURO FX/JAPANESE YEN XRATE U.S. 3 722 1.9 3,656 9.5 38,687
NON U.S. 8 16 0.0 9,431 24.4
---- --------- ---- --------- ----
11 738 1.9 13,087 33.8
09/05/06 CME E-MINI S&P 400 STOCK INDEX U.S. 1 0 0.0 1,135 1.6 70,414
NON U.S. 4 11,995 17.0 439 0.6
---- --------- ---- --------- ----
5 11,995 17.0 1,574 2.2
09/05/06 NYBT EURO FX/SWISS FRANC XRATE U.S. 3 1,321 10.8 1,733 14.1 12,276
NON U.S. 4 6 0.0 4,187 34.1
---- --------- ---- --------- ----
7 1,327 10.8 5,920 48.2
09/05/06 CME 3-MO. EUROYEN TIBOR U.S. 6 5,532 9.9 3,315 5.9 55,786
NON U.S. 24 9,632 17.3 15,569 27.9
---- --------- ---- --------- ----
30 15,164 27.2 18,884 33.9
09/05/06 NYBT EURO FX/BRITISH POUND XRATE U.S. 3 2,197 14.7 1,065 7.1 14,971
NON U.S. 7 6,107 40.8 1,681 11.2
---- --------- ---- --------- ----
10 8,304 55.5 2,746 18.3
09/05/06 NYBT EURO FX/NORWEGIAN KRONE XRATE U.S. 1 0 0.0 468 9.8 4,763
NON U.S. 4 0 0.0 1,707 35.8
---- --------- ---- --------- ----
5 0 0.0 2,175 45.7
09/05/06 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 2 245 4.6 260 4.9 5,287
NON U.S. 3 391 7.4 454 8.6
---- --------- ---- --------- ----
5 636 12.0 714 13.5