BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
12/05/06 CBT WHEAT U.S. 1 10,979 2.6 0 0.0 424,124
NON U.S. 13 61,140 14.4 4,693 1.1
---- --------- ---- --------- ----
14 72,119 17.0 4,693 1.1
12/05/06 KCBT WHEAT U.S. 1 2,072 1.7 0 0.0 121,976
NON U.S. 6 6,353 5.2 169 0.1
---- --------- ---- --------- ----
7 8,425 6.9 169 0.1
12/05/06 CBT CORN U.S. 1 21,141 1.5 0 0.0 1,374,454
NON U.S. 10 108,473 7.9 3,575 0.3
---- --------- ---- --------- ----
11 129,614 9.4 3,575 0.3
12/05/06 CBT SOYBEANS U.S. 1 8,590 2.1 0 0.0 418,234
NON U.S. 8 23,517 5.6 1,914 0.5
---- --------- ---- --------- ----
9 32,107 7.7 1,914 0.5
12/05/06 CBT SOYBEAN OIL U.S. 1 3,460 1.2 0 0.0 283,039
NON U.S. 6 15,388 5.4 0 0.0
---- --------- ---- --------- ----
7 18,848 6.7 0 0.0
12/05/06 CBT U.S. TREASURY BONDS U.S. 4 13,639 1.6 30,127 3.6 847,924
NON U.S. 13 15,366 1.8 18,358 2.2
---- --------- ---- --------- ----
17 29,005 3.4 48,485 5.7
12/05/06 NYME NY RES FUEL 1.0% SULFUR SWAP U.S. 1 0 0.0 135 1.7 7,868
NON U.S. 4 665 8.5 795 10.1
---- --------- ---- --------- ----
5 665 8.5 930 11.8
12/05/06 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 4 8,608 4.0 957 0.4 217,467
NON U.S. 8 15,146 7.0 4,405 2.0
---- --------- ---- --------- ----
12 23,754 10.9 5,362 2.5
12/05/06 NYME NATURAL GAS U.S. 6 45,720 5.1 56,333 6.3 895,884
NON U.S. 11 39,105 4.4 79,359 8.9
---- --------- ---- --------- ----
17 84,825 9.5 135,692 15.1
12/05/06 NYME PERMIAN BASIS SWAP U.S. 4 4,830 12.7 1,547 4.1 37,982
NON U.S. 3 849 2.2 4,778 12.6
---- --------- ---- --------- ----
7 5,679 15.0 6,325 16.7
12/05/06 NYME M-3 BASIS SWAP U.S. 3 2,667 2.1 337 0.3 125,760
NON U.S. 3 3,092 2.5 1,998 1.6
---- --------- ---- --------- ----
6 5,759 4.6 2,335 1.9
12/05/06 NYME MALIN BASIS SWAP U.S. 1 850 1.2 1,720 2.4 70,534
NON U.S. 5 5,895 8.4 3,089 4.4
---- --------- ---- --------- ----
6 6,745 9.6 4,809 6.8
12/05/06 NYME PG&E CITYGATE BASIS SWAP U.S. 3 804 1.3 1,102 1.8 62,611
NON U.S. 3 882 1.4 3,484 5.6
---- --------- ---- --------- ----
6 1,686 2.7 4,586 7.3
12/05/06 NYME SUMAS BASIS SWAP U.S. 2 1,979 7.2 0 0.0 27,489
NON U.S. 5 5,545 20.2 1,251 4.6
---- --------- ---- --------- ----
7 7,524 27.4 1,251 4.6
12/05/06 NYME NGPL MID-CON BASIS SWAP U.S. 2 3,048 4.4 304 0.4 69,613
NON U.S. 3 4,280 6.1 550 0.8
---- --------- ---- --------- ----
5 7,328 10.5 854 1.2
12/05/06 NYME DOMINION BASIS SWAP U.S. 3 3,242 5.3 144 0.2 61,102
NON U.S. 4 0 0.0 2,050 3.4
---- --------- ---- --------- ----
7 3,242 5.3 2,194 3.6
12/05/06 NYME WAHA BASIS SWAP U.S. 3 3,122 3.8 2,452 3.0 81,803
NON U.S. 2 3,109 3.8 180 0.2
---- --------- ---- --------- ----
5 6,231 7.6 2,632 3.2
12/05/06 NYME CIG BASIS SWAP U.S. 5 1,042 1.8 15,398 26.7 57,579
NON U.S. 3 508 0.9 12,908 22.4
---- --------- ---- --------- ----
8 1,550 2.7 28,306 49.2
12/05/06 NYME TETCO SOUTH TEXAS SWAP U.S. 1 2,207 23.3 0 0.0 9,487
NON U.S. 4 4,004 42.2 0 0.0
---- --------- ---- --------- ----
5 6,211 65.5 0 0.0
12/05/06 CME 1-MONTH LIBOR RATE U.S. 1 1,222 3.7 2,169 6.5 33,340
NON U.S. 6 3,235 9.7 9,982 29.9
---- --------- ---- --------- ----
7 4,457 13.4 12,151 36.4
12/05/06 NYBT COTTON NO. 2 U.S. 1 6,472 4.0 0 0.0 160,164
NON U.S. 10 16,209 10.1 386 0.2
---- --------- ---- --------- ----
11 22,681 14.2 386 0.2
12/05/06 NYME ALBERTA BASIS SWAP U.S. 5 7,337 4.0 10,232 5.5 184,986
NON U.S. 8 14,539 7.9 50,724 27.4
---- --------- ---- --------- ----
13 21,876 11.8 60,956 33.0
12/05/06 NYME HOUSTON SHIP CH BASIS SWAP U.S. 6 5,814 2.1 12,758 4.6 275,218
NON U.S. 5 8,320 3.0 23,044 8.4
---- --------- ---- --------- ----
11 14,134 5.1 35,802 13.0
12/05/06 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 13,199 8.0 8,877 5.4 165,373
NON U.S. 6 12,657 7.7 22,899 13.8
---- --------- ---- --------- ----
11 25,856 15.6 31,776 19.2
12/05/06 NYME PANHANDLE BASIS SWAP U.S. 6 2,300 1.3 14,638 8.5 171,616
NON U.S. 4 7,717 4.5 25,141 14.6
---- --------- ---- --------- ----
10 10,017 5.8 39,779 23.2
12/05/06 NYME SAN JUAN BASIS SWAP U.S. 5 6,352 15.2 5,829 13.9 41,792
NON U.S. 4 1,848 4.4 5,178 12.4
---- --------- ---- --------- ----
9 8,200 19.6 11,007 26.3
12/05/06 NYME SOCAL BASIS SWAP U.S. 5 11,676 5.7 13,175 6.5 204,029
NON U.S. 5 4,957 2.4 11,839 5.8
---- --------- ---- --------- ----
10 16,633 8.2 25,014 12.3
12/05/06 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 302 0.6 2,434 4.8 50,457
NON U.S. 4 380 0.8 752 1.5
---- --------- ---- --------- ----
6 682 1.4 3,186 6.3
12/05/06 NYME HENRY HUB GAS SWAP U.S. 5 125,221 4.1 180,749 5.9 3,050,753
NON U.S. 8 282,211 9.3 292,759 9.6
---- --------- ---- --------- ----
13 407,432 13.4 473,508 15.5
12/05/06 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 5 50,450 6.7 24,878 3.3 750,790
NON U.S. 8 120,896 16.1 188,542 25.1
---- --------- ---- --------- ----
13 171,346 22.8 213,420 28.4
12/05/06 CBT 2-YEAR U.S. TREASURY NOTES U.S. 3 28,618 3.8 30,505 4.0 754,838
NON U.S. 29 31,804 4.2 72,400 9.6
---- --------- ---- --------- ----
32 60,422 8.0 102,905 13.6
12/05/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 7 13,144 0.6 52,413 2.3 2,269,869
NON U.S. 41 106,927 4.7 84,697 3.7
---- --------- ---- --------- ----
48 120,071 5.3 137,110 6.0
12/05/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 25,320 1.7 28,128 1.9 1,517,112
NON U.S. 33 42,750 2.8 61,791 4.1
---- --------- ---- --------- ----
38 68,070 4.5 89,919 5.9
12/05/06 CBT 30-DAY FEDERAL FUNDS U.S. 4 29,091 8.1 17,476 4.8 360,489
NON U.S. 28 71,078 19.7 43,190 12.0
---- --------- ---- --------- ----
32 100,169 27.8 60,666 16.8
12/05/06 CME LEAN HOGS U.S. 1 4,877 2.7 0 0.0 183,624
NON U.S. 6 14,282 7.8 0 0.0
---- --------- ---- --------- ----
7 19,159 10.4 0 0.0
12/05/06 CME LIVE CATTLE U.S. 2 6,985 3.1 1,248 0.6 221,763
NON U.S. 5 15,692 7.1 0 0.0
---- --------- ---- --------- ----
7 22,677 10.2 1,248 0.6
12/05/06 CME FEEDER CATTLE U.S. 1 412 1.5 0 0.0 27,444
NON U.S. 5 1,073 3.9 10 0.0
---- --------- ---- --------- ----
6 1,485 5.4 10 0.0
12/05/06 NYME PJM ELECTRICITY MONTHLY U.S. 2 2,520 5.8 4,753 10.9 43,628
NON U.S. 3 1,756 4.0 1,286 2.9
---- --------- ---- --------- ----
5 4,276 9.8 6,039 13.8
12/05/06 NYME NYISO ZONE A LBMP SWAP U.S. 2 5,205 23.6 20 0.1 22,073
NON U.S. 3 40 0.2 2,712 12.3
---- --------- ---- --------- ----
5 5,245 23.8 2,732 12.4
12/05/06 NYME ISO NEW ENGLAND LMP SWAP U.S. 2 3,472 18.0 2,748 14.3 19,272
NON U.S. 3 1,342 7.0 1,280 6.6
---- --------- ---- --------- ----
5 4,814 25.0 4,028 20.9
12/05/06 NYME NORTH ILL CAL MONTH LMP SWAP U.S. 2 2,200 14.3 720 4.7 15,380
NON U.S. 3 664 4.3 470 3.1
---- --------- ---- --------- ----
5 2,864 18.6 1,190 7.7
12/05/06 NYME PJM CAL MONTH OFF PK LMP SWAP U.S. 2 4,020 15.1 104 0.4 26,648
NON U.S. 3 2,440 9.2 802 3.0
---- --------- ---- --------- ----
5 6,460 24.2 906 3.4
12/05/06 NYME CRUDE OIL, LIGHT SWEET U.S. 5 31,733 2.6 59,989 4.9 1,218,680
NON U.S. 18 91,578 7.5 87,772 7.2
---- --------- ---- --------- ----
23 123,311 10.1 147,761 12.1
12/05/06 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 3 1,725 2.0 3,543 4.2 84,398
NON U.S. 6 7,805 9.2 27,350 32.4
---- --------- ---- --------- ----
9 9,530 11.3 30,893 36.6
12/05/06 NYME WTI CRUDE OIL FINANCIAL U.S. 3 446 1.5 469 1.6 30,213
NON U.S. 5 6,248 20.7 3,347 11.1
---- --------- ---- --------- ----
8 6,694 22.2 3,816 12.6
12/05/06 NYBT COCOA U.S. 1 514 0.4 0 0.0 135,071
NON U.S. 9 3,214 2.4 3,344 2.5
---- --------- ---- --------- ----
10 3,728 2.8 3,344 2.5
12/05/06 NYME PALLADIUM U.S. 1 0 0.0 1 0.0 11,042
NON U.S. 11 631 5.7 2,887 26.1
---- --------- ---- --------- ----
12 631 5.7 2,888 26.2
12/05/06 NYME PLATINUM U.S. 1 0 0.0 277 3.5 8,015
NON U.S. 7 1,532 19.1 525 6.6
---- --------- ---- --------- ----
8 1,532 19.1 802 10.0
12/05/06 NYBT SUGAR NO. 11 U.S. 2 8,975 1.6 1,249 0.2 550,143
NON U.S. 10 45,544 8.3 29,777 5.4
---- --------- ---- --------- ----
12 54,519 9.9 31,026 5.6
12/05/06 NYBT COFFEE C U.S. 1 1,915 1.6 0 0.0 118,588
NON U.S. 11 8,108 6.8 4,062 3.4
---- --------- ---- --------- ----
12 10,023 8.5 4,062 3.4
12/05/06 CBT SILVER, 5000 TROY OZ U.S. 2 0 0.0 1,694 15.0 11,327
NON U.S. 4 53 0.5 1,489 13.1
---- --------- ---- --------- ----
6 53 0.5 3,183 28.1
12/05/06 CMX SILVER U.S. 4 59 0.1 11,126 10.4 106,839
NON U.S. 8 2,273 2.1 8,893 8.3
---- --------- ---- --------- ----
12 2,332 2.2 20,019 18.7
12/05/06 CMX COPPER-GRADE #1 U.S. 1 2,021 2.9 0 0.0 68,793
NON U.S. 8 5,669 8.2 190 0.3
---- --------- ---- --------- ----
9 7,690 11.2 190 0.3
12/05/06 CBT GOLD, 100 TROY OZ U.S. 3 0 0.0 9,491 20.0 47,355
NON U.S. 8 2,002 4.2 5,385 11.4
---- --------- ---- --------- ----
11 2,002 4.2 14,876 31.4
12/05/06 CMX GOLD U.S. 5 2,482 0.8 30,047 9.1 330,530
NON U.S. 21 16,223 4.9 50,202 15.2
---- --------- ---- --------- ----
26 18,705 5.7 80,249 24.3
12/05/06 CME RUSSIAN RUBLE NON U.S. 5 2,819 20.6 11,980 87.8 13,652
12/05/06 CME CANADIAN DOLLAR U.S. 4 13,461 10.2 132 0.1 131,624
NON U.S. 11 32,973 25.1 10,884 8.3
---- --------- ---- --------- ----
15 46,434 35.3 11,016 8.4
12/05/06 CME SWISS FRANC U.S. 4 7 0.0 8,035 9.9 80,908
NON U.S. 6 14,211 17.6 10,838 13.4
---- --------- ---- --------- ----
10 14,218 17.6 18,873 23.3
12/05/06 CME MEXICAN PESO U.S. 4 1,638 2.2 6,782 9.2 73,822
NON U.S. 10 2,501 3.4 37,927 51.4
---- --------- ---- --------- ----
14 4,139 5.6 44,709 60.6
12/05/06 CME BRITISH POUND STERLING U.S. 5 544 0.4 10,223 6.7 151,959
NON U.S. 6 1,243 0.8 40,029 26.3
---- --------- ---- --------- ----
11 1,787 1.2 50,252 33.1
12/05/06 CME JAPANESE YEN U.S. 5 7,216 2.7 3,050 1.1 268,136
NON U.S. 12 58,156 21.7 63,378 23.6
---- --------- ---- --------- ----
17 65,372 24.4 66,428 24.8
12/05/06 CME EURO FX U.S. 4 3,604 1.6 9,915 4.4 223,733
NON U.S. 21 11,163 5.0 77,646 34.7
---- --------- ---- --------- ----
25 14,767 6.6 87,561 39.1
12/05/06 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 2 2,444 2.0 0 0.0 121,496
NON U.S. 9 7,193 5.9 2,645 2.2
---- --------- ---- --------- ----
11 9,637 7.9 2,645 2.2
12/05/06 NYBT NEW ZEALAND DOLLAR U.S. 1 1,048 20.0 0 0.0 5,243
NON U.S. 6 57 1.1 2,943 56.1
---- --------- ---- --------- ----
7 1,105 21.1 2,943 56.1
12/05/06 CME NEW ZEALAND DOLLAR U.S. 1 0 0.0 300 1.5 19,768
NON U.S. 4 0 0.0 11,705 59.2
---- --------- ---- --------- ----
5 0 0.0 12,005 60.7
12/05/06 NYBT SOUTH AFRICAN RAND U.S. 3 278 10.2 875 32.1 2,725
NON U.S. 4 481 17.7 296 10.9
---- --------- ---- --------- ----
7 759 27.9 1,171 43.0
12/05/06 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 4,580 7.0 0 0.0 65,253
NON U.S. 6 2,279 3.5 7,939 12.2
---- --------- ---- --------- ----
10 6,859 10.5 7,939 12.2
12/05/06 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2 0 0.0 7,301 6.0 121,384
NON U.S. 6 334 0.3 9,844 8.1
---- --------- ---- --------- ----
8 334 0.3 17,145 14.1
12/05/06 CME 3-MONTH EURODOLLARS U.S. 12 419,861 3.8 1,304,551 11.9 10,945,536
NON U.S. 73 1,752,788 16.0 1,213,568 11.1
---- --------- ---- --------- ----
85 2,172,649 19.8 2,518,119 23.0
12/05/06 CME S&P 500 STOCK INDEX U.S. 5 12,375 1.8 2,892 0.4 696,094
NON U.S. 21 10,896 1.6 87,160 12.5
---- --------- ---- --------- ----
26 23,271 3.3 90,052 12.9
12/05/06 CME E-MINI S&P 500 STOCK INDEX U.S. 8 14,389 0.7 19,062 1.0 1,961,863
NON U.S. 38 58,400 3.0 94,080 4.8
---- --------- ---- --------- ----
46 72,789 3.7 113,142 5.8
12/05/06 CME NASDAQ-100 STOCK INDEX U.S. 6 8,034 11.3 1,890 2.7 71,300
NON U.S. 10 3,301 4.6 3,292 4.6
---- --------- ---- --------- ----
16 11,335 15.9 5,182 7.3
12/05/06 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 5 16,657 3.1 11,906 2.2 532,332
NON U.S. 32 11,553 2.2 25,933 4.9
---- --------- ---- --------- ----
37 28,210 5.3 37,839 7.1
12/05/06 CME AUSTRALIAN DOLLAR U.S. 4 0 0.0 4,262 3.3 129,455
NON U.S. 6 149 0.1 62,225 48.1
---- --------- ---- --------- ----
10 149 0.1 66,487 51.4
12/05/06 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 4 358 0.8 3,891 9.2 42,390
NON U.S. 7 3,733 8.8 2,035 4.8
---- --------- ---- --------- ----
11 4,091 9.7 5,926 14.0
12/05/06 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 4 8,027 1.9 7,026 1.7 424,809
NON U.S. 14 24,514 5.8 11,664 2.7
---- --------- ---- --------- ----
18 32,541 7.7 18,690 4.4
12/05/06 CME NIKKEI STOCK AVERAGE U.S. 1 0 0.0 2,201 4.1 53,697
NON U.S. 18 7,590 14.1 9,187 17.1
---- --------- ---- --------- ----
19 7,590 14.1 11,388 21.2
12/05/06 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 4 3,279 6.0 1,503 2.8 54,531
NON U.S. 9 5,152 9.4 2,140 3.9
---- --------- ---- --------- ----
13 8,431 15.5 3,643 6.7
12/05/06 NYBT BRITISH POUND/JPN YEN XRATE U.S. 1 0 0.0 23 0.3 7,457
NON U.S. 4 74 1.0 2,884 38.7
---- --------- ---- --------- ----
5 74 1.0 2,907 39.0
12/05/06 NYBT EURO FX/JAPANESE YEN XRATE U.S. 3 9,581 19.1 8,976 17.9 50,094
NON U.S. 8 2,186 4.4 9,964 19.9
---- --------- ---- --------- ----
11 11,767 23.5 18,940 37.8
12/05/06 CME S&P 400 MIDCAP STOCK INDEX U.S. 2 185 1.7 301 2.7 11,021
NON U.S. 3 167 1.5 250 2.3
---- --------- ---- --------- ----
5 352 3.2 551 5.0
12/05/06 CME E-MINI S&P 400 STOCK INDEX U.S. 2 143 0.2 4,247 4.9 87,506
NON U.S. 4 7,812 8.9 716 0.8
---- --------- ---- --------- ----
6 7,955 9.1 4,963 5.7
12/05/06 NYBT EURO FX/SWEDISH KRONA XRATE U.S. 3 1,311 11.0 53 0.4 11,873
NON U.S. 3 8,025 67.6 3,702 31.2
---- --------- ---- --------- ----
6 9,336 78.6 3,755 31.6
12/05/06 CME EURO FX/JAPANESE YEN XRATE U.S. 1 0 0.0 46 0.4 11,237
NON U.S. 4 3,433 30.6 4,357 38.8
---- --------- ---- --------- ----
5 3,433 30.6 4,403 39.2
12/05/06 NYBT EURO FX/SWISS FRANC XRATE U.S. 2 625 4.4 4,722 33.5 14,094
NON U.S. 4 846 6.0 2,761 19.6
---- --------- ---- --------- ----
6 1,471 10.4 7,483 53.1
12/05/06 CME 3-MO. EUROYEN TIBOR U.S. 6 906 1.6 3,268 5.9 55,705
NON U.S. 22 12,200 21.9 15,555 27.9
---- --------- ---- --------- ----
28 13,106 23.5 18,823 33.8
12/05/06 NYBT EURO FX/BRITISH POUND XRATE U.S. 3 2,200 19.7 807 7.2 11,168
NON U.S. 5 5,398 48.3 2 0.0
---- --------- ---- --------- ----
8 7,598 68.0 809 7.2
12/05/06 NYBT EURO FX/CDN DOLLAR XRATE U.S. 1 0 0.0 686 17.0 4,047
NON U.S. 4 1,169 28.9 2,666 65.9
---- --------- ---- --------- ----
5 1,169 28.9 3,352 82.8
12/05/06 NYBT EURO FX/NORWEGIAN KRONE XRATE U.S. 1 235 7.4 0 0.0 3,159
NON U.S. 4 1,002 31.7 328 10.4
---- --------- ---- --------- ----
5 1,237 39.2 328 10.4
12/05/06 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 2 515 5.2 725 7.3 9,938
NON U.S. 4 1,614 16.2 1,720 17.3
---- --------- ---- --------- ----
6 2,129 21.4 2,445 24.6