BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
03/06/07 CBT WHEAT U.S. 1 10,937 2.7 0 0.0 401,759
NON U.S. 13 58,648 14.6 7,221 1.8
---- --------- ---- --------- ----
14 69,585 17.3 7,221 1.8
03/06/07 KCBT WHEAT U.S. 1 2,732 2.4 0 0.0 113,339
NON U.S. 6 6,339 5.6 147 0.1
---- --------- ---- --------- ----
7 9,071 8.0 147 0.1
03/06/07 CBT CORN U.S. 1 19,942 1.4 0 0.0 1,441,888
NON U.S. 14 88,312 6.1 7,162 0.5
---- --------- ---- --------- ----
15 108,254 7.5 7,162 0.5
03/06/07 CBT SOYBEANS U.S. 1 8,870 1.9 0 0.0 464,840
NON U.S. 10 25,266 5.4 1,664 0.4
---- --------- ---- --------- ----
11 34,136 7.3 1,664 0.4
03/06/07 CBT SOYBEAN OIL U.S. 1 3,334 1.2 0 0.0 268,833
NON U.S. 7 15,891 5.9 2,003 0.7
---- --------- ---- --------- ----
8 19,225 7.2 2,003 0.7
03/06/07 CBT U.S. TREASURY BONDS U.S. 3 20,602 2.3 27,776 3.1 904,998
NON U.S. 21 14,337 1.6 28,455 3.1
---- --------- ---- --------- ----
24 34,939 3.9 56,231 6.2
03/06/07 NYME NY RES FUEL 1.0% SULFUR SWAP U.S. 2 6,423 43.2 210 1.4 14,872
NON U.S. 3 1,458 9.8 381 2.6
---- --------- ---- --------- ----
5 7,881 53.0 591 4.0
03/06/07 NYME EUR 3.5% FUEL OIL RTD CAL SWAP U.S. 1 127 6.9 70 3.8 1,828
NON U.S. 4 100 5.5 104 5.7
---- --------- ---- --------- ----
5 227 12.4 174 9.5
03/06/07 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 4 6,876 3.3 853 0.4 209,898
NON U.S. 10 18,606 8.9 10,777 5.1
---- --------- ---- --------- ----
14 25,482 12.1 11,630 5.5
03/06/07 NYME NATURAL GAS U.S. 5 53,161 7.0 37,506 5.0 755,533
NON U.S. 10 44,528 5.9 80,032 10.6
---- --------- ---- --------- ----
15 97,689 12.9 117,538 15.6
03/06/07 NYME PERMIAN BASIS SWAP U.S. 2 4,781 9.9 915 1.9 48,408
NON U.S. 4 2,509 5.2 4,146 8.6
---- --------- ---- --------- ----
6 7,290 15.1 5,061 10.5
03/06/07 NYME M-3 BASIS SWAP U.S. 2 1,711 1.4 898 0.8 119,265
NON U.S. 3 2,140 1.8 1,494 1.3
---- --------- ---- --------- ----
5 3,851 3.2 2,392 2.0
03/06/07 NYME TCO BASIS SWAP U.S. 3 480 0.7 1,262 1.9 66,398
NON U.S. 3 732 1.1 1,008 1.5
---- --------- ---- --------- ----
6 1,212 1.8 2,270 3.4
03/06/07 NYME MALIN BASIS SWAP U.S. 2 1,216 1.5 642 0.8 79,319
NON U.S. 4 5,571 7.0 3,641 4.6
---- --------- ---- --------- ----
6 6,787 8.6 4,283 5.4
03/06/07 NYME PG&E CITYGATE BASIS SWAP U.S. 2 0 0.0 1,175 1.7 68,900
NON U.S. 4 1,337 1.9 3,694 5.4
---- --------- ---- --------- ----
6 1,337 1.9 4,869 7.1
03/06/07 NYME SUMAS BASIS SWAP U.S. 3 2,511 9.5 214 0.8 26,490
NON U.S. 4 2,686 10.1 2,308 8.7
---- --------- ---- --------- ----
7 5,197 19.6 2,522 9.5
03/06/07 NYME NGPL MID-CON BASIS SWAP U.S. 2 2,916 3.4 366 0.4 87,017
NON U.S. 4 5,164 5.9 764 0.9
---- --------- ---- --------- ----
6 8,080 9.3 1,130 1.3
03/06/07 NYME WAHA BASIS SWAP U.S. 4 1,719 1.6 14,246 12.9 110,625
NON U.S. 2 1,923 1.7 244 0.2
---- --------- ---- --------- ----
6 3,642 3.3 14,490 13.1
03/06/07 NYME CIG BASIS SWAP U.S. 5 244 0.4 13,440 22.8 58,935
NON U.S. 4 538 0.9 12,674 21.5
---- --------- ---- --------- ----
9 782 1.3 26,114 44.3
03/06/07 CME 1-MONTH LIBOR RATE U.S. 1 5,158 9.5 1,050 1.9 54,354
NON U.S. 7 16,804 30.9 11,788 21.7
---- --------- ---- --------- ----
8 21,962 40.4 12,838 23.6
03/06/07 NYBT COTTON NO. 2 U.S. 1 5,464 2.7 0 0.0 205,721
NON U.S. 8 17,278 8.4 307 0.1
---- --------- ---- --------- ----
9 22,742 11.1 307 0.1
03/06/07 NYME ALBERTA BASIS SWAP U.S. 5 6,763 3.9 8,488 4.9 172,803
NON U.S. 9 16,187 9.4 50,388 29.2
---- --------- ---- --------- ----
14 22,950 13.3 58,876 34.1
03/06/07 NYME CHICAGO BASIS SWAP U.S. 1 31 0.0 0 0.0 80,547
NON U.S. 4 855 1.1 1,097 1.4
---- --------- ---- --------- ----
5 886 1.1 1,097 1.4
03/06/07 NYME HOUSTON SHIP CH BASIS SWAP U.S. 6 3,866 1.4 12,181 4.4 276,369
NON U.S. 5 4,204 1.5 22,633 8.2
---- --------- ---- --------- ----
11 8,070 2.9 34,814 12.6
03/06/07 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 14,025 8.4 10,021 6.0 166,366
NON U.S. 7 11,554 6.9 21,237 12.8
---- --------- ---- --------- ----
12 25,579 15.4 31,258 18.8
03/06/07 NYME PANHANDLE BASIS SWAP U.S. 6 1,895 1.0 15,157 8.3 182,769
NON U.S. 3 3,175 1.7 23,116 12.6
---- --------- ---- --------- ----
9 5,070 2.8 38,273 20.9
03/06/07 NYME SAN JUAN BASIS SWAP U.S. 5 10,662 24.2 4,186 9.5 44,066
NON U.S. 4 1,310 3.0 3,416 7.8
---- --------- ---- --------- ----
9 11,972 27.2 7,602 17.3
03/06/07 NYME SOCAL BASIS SWAP U.S. 5 32,994 14.2 8,957 3.8 232,682
NON U.S. 5 8,398 3.6 18,967 8.2
---- --------- ---- --------- ----
10 41,392 17.8 27,924 12.0
03/06/07 NYME HENRY HUB GAS SWAP U.S. 5 142,585 5.3 256,201 9.6 2,679,719
NON U.S. 9 271,311 10.1 222,423 8.3
---- --------- ---- --------- ----
14 413,896 15.4 478,624 17.9
03/06/07 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 5 125,582 15.1 9,148 1.1 830,493
NON U.S. 9 161,576 19.5 180,425 21.7
---- --------- ---- --------- ----
14 287,158 34.6 189,573 22.8
03/06/07 CBT 2-YEAR U.S. TREASURY NOTES U.S. 4 12,746 1.5 62,907 7.5 838,026
NON U.S. 42 50,066 6.0 94,992 11.3
---- --------- ---- --------- ----
46 62,812 7.5 157,899 18.8
03/06/07 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 47,882 2.2 25,790 1.2 2,164,423
NON U.S. 46 119,869 5.5 122,000 5.6
---- --------- ---- --------- ----
52 167,751 7.8 147,790 6.8
03/06/07 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 17,557 1.2 29,888 2.1 1,419,779
NON U.S. 32 54,968 3.9 47,465 3.3
---- --------- ---- --------- ----
36 72,525 5.1 77,353 5.4
03/06/07 CBT 30-DAY FEDERAL FUNDS U.S. 4 24,895 4.8 56,421 10.8 523,627
NON U.S. 27 69,135 13.2 102,008 19.5
---- --------- ---- --------- ----
31 94,030 18.0 158,429 30.3
03/06/07 CME LEAN HOGS U.S. 1 4,658 2.6 0 0.0 180,816
NON U.S. 5 13,749 7.6 0 0.0
---- --------- ---- --------- ----
6 18,407 10.2 0 0.0
03/06/07 CME LIVE CATTLE U.S. 2 8,170 2.9 1,659 0.6 285,021
NON U.S. 5 18,828 6.6 0 0.0
---- --------- ---- --------- ----
7 26,998 9.5 1,659 0.6
03/06/07 CME FEEDER CATTLE U.S. 2 428 1.2 79 0.2 35,846
NON U.S. 5 1,105 3.1 25 0.1
---- --------- ---- --------- ----
7 1,533 4.3 104 0.3
03/06/07 NYME PJM ELECTRICITY MONTHLY U.S. 2 3,219 9.0 3,920 10.9 35,930
NON U.S. 3 1,189 3.3 1,406 3.9
---- --------- ---- --------- ----
5 4,408 12.3 5,326 14.8
03/06/07 NYME ISO NEW ENGLAND LMP SWAP U.S. 2 1,715 9.7 3,139 17.7 17,733
NON U.S. 3 1,040 5.9 1,184 6.7
---- --------- ---- --------- ----
5 2,755 15.5 4,323 24.4
03/06/07 NYME NORTH ILL CAL MONTH LMP SWAP U.S. 2 1,160 7.7 1,873 12.5 14,993
NON U.S. 3 740 4.9 462 3.1
---- --------- ---- --------- ----
5 1,900 12.7 2,335 15.6
03/06/07 NYME NORTH ILL OFF PK LMP SWAP U.S. 2 3,732 13.9 50 0.2 26,890
NON U.S. 3 488 1.8 4,166 15.5
---- --------- ---- --------- ----
5 4,220 15.7 4,216 15.7
03/06/07 NYME CRUDE OIL, LIGHT SWEET U.S. 5 50,141 3.9 57,812 4.5 1,275,194
NON U.S. 21 119,789 9.4 97,787 7.7
---- --------- ---- --------- ----
26 169,930 13.3 155,599 12.2
03/06/07 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 3 600 0.7 7,703 8.8 87,297
NON U.S. 8 12,735 14.6 28,396 32.5
---- --------- ---- --------- ----
11 13,335 15.3 36,099 41.4
03/06/07 NYME WTI CRUDE OIL FINANCIAL U.S. 5 4,486 8.0 3,288 5.9 55,929
NON U.S. 7 11,197 20.0 7,341 13.1
---- --------- ---- --------- ----
12 15,683 28.0 10,629 19.0
03/06/07 NYME WTI-BRENT CALENDAR SWAP NON U.S. 6 2,252 12.8 5,009 28.4 17,631
03/06/07 NYME BRENT (ICE) CALENDAR SWAP U.S. 1 932 4.2 0 0.0 22,043
NON U.S. 5 2,622 11.9 1,392 6.3
---- --------- ---- --------- ----
6 3,554 16.1 1,392 6.3
03/06/07 NYBT COCOA U.S. 1 1,373 0.8 0 0.0 169,153
NON U.S. 10 3,992 2.4 9,783 5.8
---- --------- ---- --------- ----
11 5,365 3.2 9,783 5.8
03/06/07 NYME PALLADIUM U.S. 2 0 0.0 264 1.7 15,612
NON U.S. 12 960 6.1 4,137 26.5
---- --------- ---- --------- ----
14 960 6.1 4,401 28.2
03/06/07 NYME PLATINUM U.S. 2 0 0.0 307 2.8 10,978
NON U.S. 8 1,496 13.6 462 4.2
---- --------- ---- --------- ----
10 1,496 13.6 769 7.0
03/06/07 NYBT SUGAR NO. 11 U.S. 2 11,025 1.7 1,927 0.3 650,161
NON U.S. 9 53,315 8.2 35,424 5.4
---- --------- ---- --------- ----
11 64,340 9.9 37,351 5.7
03/06/07 NYBT COFFEE C U.S. 1 2,138 1.6 0 0.0 132,106
NON U.S. 10 8,899 6.7 5,190 3.9
---- --------- ---- --------- ----
11 11,037 8.4 5,190 3.9
03/06/07 CMX SILVER U.S. 3 3,881 3.4 12,613 10.9 115,412
NON U.S. 10 6,529 5.7 6,573 5.7
---- --------- ---- --------- ----
13 10,410 9.0 19,186 16.6
03/06/07 CMX COPPER-GRADE #1 U.S. 1 2,078 3.2 0 0.0 65,495
NON U.S. 8 5,794 8.8 415 0.6
---- --------- ---- --------- ----
9 7,872 12.0 415 0.6
03/06/07 CBT GOLD, 100 TROY OZ U.S. 3 2,011 4.9 2,199 5.4 40,957
NON U.S. 11 2,641 6.4 4,928 12.0
---- --------- ---- --------- ----
14 4,652 11.4 7,127 17.4
03/06/07 CMX GOLD U.S. 5 1,823 0.5 29,749 7.8 382,550
NON U.S. 22 22,843 6.0 69,176 18.1
---- --------- ---- --------- ----
27 24,666 6.4 98,925 25.9
03/06/07 CME RUSSIAN RUBLE NON U.S. 5 7,451 64.8 10,844 94.2 11,506
03/06/07 CME CANADIAN DOLLAR U.S. 3 0 0.0 3,463 2.2 156,871
NON U.S. 10 19,837 12.6 16,661 10.6
---- --------- ---- --------- ----
13 19,837 12.6 20,124 12.8
03/06/07 CME SWISS FRANC U.S. 5 4,850 5.8 3,177 3.8 83,320
NON U.S. 6 37,031 44.4 13,056 15.7
---- --------- ---- --------- ----
11 41,881 50.3 16,233 19.5
03/06/07 CME MEXICAN PESO U.S. 4 10,987 10.8 1,678 1.6 102,082
NON U.S. 8 21,006 20.6 29,761 29.2
---- --------- ---- --------- ----
12 31,993 31.3 31,439 30.8
03/06/07 CME BRITISH POUND STERLING U.S. 5 3,381 2.2 18,495 12.1 152,524
NON U.S. 6 31,188 20.4 6,960 4.6
---- --------- ---- --------- ----
11 34,569 22.7 25,455 16.7
03/06/07 CME JAPANESE YEN U.S. 4 12,622 4.5 14,879 5.3 278,491
NON U.S. 11 100,708 36.2 37,862 13.6
---- --------- ---- --------- ----
15 113,330 40.7 52,741 18.9
03/06/07 NYBT EURO FX/AUS DOLLAR XRATE U.S. 2 298 5.3 493 8.8 5,581
NON U.S. 3 2,160 38.7 1,214 21.8
---- --------- ---- --------- ----
5 2,458 44.0 1,707 30.6
03/06/07 CME EURO FX U.S. 5 9,840 4.9 18,296 9.1 201,319
NON U.S. 23 16,934 8.4 18,462 9.2
---- --------- ---- --------- ----
28 26,774 13.3 36,758 18.3
03/06/07 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 2 3,118 1.9 94 0.1 166,182
NON U.S. 12 8,497 5.1 5,341 3.2
---- --------- ---- --------- ----
14 11,615 7.0 5,435 3.3
03/06/07 NYBT NEW ZEALAND DOLLAR U.S. 1 0 0.0 1,764 30.0 5,884
NON U.S. 5 142 2.4 1,571 26.7
---- --------- ---- --------- ----
6 142 2.4 3,335 56.7
03/06/07 CME NEW ZEALAND DOLLAR U.S. 1 0 0.0 233 1.1 21,159
NON U.S. 4 2,153 10.2 12,338 58.3
---- --------- ---- --------- ----
5 2,153 10.2 12,571 59.4
03/06/07 E VIX FUTURES U.S. 1 250 0.6 10 0.0 38,748
NON U.S. 4 555 1.4 272 0.7
---- --------- ---- --------- ----
5 805 2.1 282 0.7
03/06/07 NYBT SOUTH AFRICAN RAND U.S. 2 52 2.5 103 4.9 2,105
NON U.S. 3 765 36.3 3 0.1
---- --------- ---- --------- ----
5 817 38.8 106 5.0
03/06/07 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 3 2,581 3.5 0 0.0 72,764
NON U.S. 7 2,143 2.9 11,462 15.8
---- --------- ---- --------- ----
10 4,724 6.5 11,462 15.8
03/06/07 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2 962 0.7 0 0.0 136,391
NON U.S. 8 4,628 3.4 610 0.4
---- --------- ---- --------- ----
10 5,590 4.1 610 0.4
03/06/07 CME EUROZONE HICP U.S. 1 30 3.8 0 0.0 780
NON U.S. 5 465 59.6 575 73.7
---- --------- ---- --------- ----
6 495 63.5 575 73.7
03/06/07 CME 3-MONTH EURODOLLARS U.S. 12 719,849 6.5 1,469,059 13.2 11,156,583
NON U.S. 72 2,068,154 18.5 1,260,776 11.3
---- --------- ---- --------- ----
84 2,788,003 25.0 2,729,835 24.5
03/06/07 CME S&P 500 STOCK INDEX U.S. 6 13,415 2.0 1,908 0.3 668,743
NON U.S. 22 10,661 1.6 81,687 12.2
---- --------- ---- --------- ----
28 24,076 3.6 83,595 12.5
03/06/07 CME E-MINI S&P 500 STOCK INDEX U.S. 8 9,713 0.5 13,282 0.6 2,101,358
NON U.S. 35 73,764 3.5 165,281 7.9
---- --------- ---- --------- ----
43 83,477 4.0 178,563 8.5
03/06/07 NYBT BRIT POUND/SWISS FRANC XRATE U.S. 1 1,406 33.4 1,082 25.7 4,214
NON U.S. 4 162 3.8 1,820 43.2
---- --------- ---- --------- ----
5 1,568 37.2 2,902 68.9
03/06/07 CME NASDAQ-100 STOCK INDEX U.S. 6 988 1.7 4,277 7.4 57,607
NON U.S. 10 2,711 4.7 1,975 3.4
---- --------- ---- --------- ----
16 3,699 6.4 6,252 10.9
03/06/07 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 8 15,166 3.5 6,666 1.5 438,592
NON U.S. 31 24,483 5.6 23,003 5.2
---- --------- ---- --------- ----
39 39,649 9.0 29,669 6.8
03/06/07 CME AUSTRALIAN DOLLAR U.S. 4 3,996 3.3 4,133 3.4 120,959
NON U.S. 5 10,636 8.8 10,325 8.5
---- --------- ---- --------- ----
9 14,632 12.1 14,458 12.0
03/06/07 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 4 251 0.6 3,087 7.0 44,076
NON U.S. 7 1,680 3.8 1,302 3.0
---- --------- ---- --------- ----
11 1,931 4.4 4,389 10.0
03/06/07 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 5 196 0.0 25,177 5.2 486,855
NON U.S. 19 2,635 0.5 21,521 4.4
---- --------- ---- --------- ----
24 2,831 0.6 46,698 9.6
03/06/07 CME NIKKEI STOCK AVERAGE U.S. 1 0 0.0 5,369 7.7 70,004
NON U.S. 20 4,936 7.1 9,474 13.5
---- --------- ---- --------- ----
21 4,936 7.1 14,843 21.2
03/06/07 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 3 6,120 6.9 1,770 2.0 88,406
NON U.S. 16 3,860 4.4 23,228 26.3
---- --------- ---- --------- ----
19 9,980 11.3 24,998 28.3
03/06/07 NYBT BRITISH POUND/JPN YEN XRATE U.S. 2 1,755 22.9 857 11.2 7,649
NON U.S. 5 140 1.8 3,293 43.1
---- --------- ---- --------- ----
7 1,895 24.8 4,150 54.3
03/06/07 NYBT EURO FX/JAPANESE YEN XRATE U.S. 4 5,682 20.1 6,299 22.3 28,229
NON U.S. 8 2,770 9.8 10,189 36.1
---- --------- ---- --------- ----
12 8,452 29.9 16,488 58.4
03/06/07 NYBT AUSSIE DOLLAR/JPN YEN XRATE U.S. 2 1,294 27.8 1,757 37.8 4,654
NON U.S. 4 910 19.6 1,830 39.3
---- --------- ---- --------- ----
6 2,204 47.4 3,587 77.1
03/06/07 CME E-MINI S&P 400 STOCK INDEX U.S. 2 524 0.7 0 0.0 78,687
NON U.S. 4 117 0.1 996 1.3
---- --------- ---- --------- ----
6 641 0.8 996 1.3
03/06/07 CME EURO FX/JAPANESE YEN XRATE U.S. 2 113 1.0 600 5.1 11,801
NON U.S. 4 8,274 70.1 2,259 19.1
---- --------- ---- --------- ----
6 8,387 71.1 2,859 24.2
03/06/07 CME 3-MO. EUROYEN TIBOR U.S. 6 1,474 2.2 4,582 6.8 67,734
NON U.S. 19 13,803 20.4 15,978 23.6
---- --------- ---- --------- ----
25 15,277 22.6 20,560 30.4
03/06/07 NYBT EURO FX/BRITISH POUND XRATE U.S. 2 1,408 14.1 960 9.6 9,961
NON U.S. 5 5,087 51.1 1,725 17.3
---- --------- ---- --------- ----
7 6,495 65.2 2,685 27.0
03/06/07 NYBT EURO FX/NORWEGIAN KRONE XRATE U.S. 2 1,681 35.8 1,504 32.0 4,698
NON U.S. 4 290 6.2 481 10.2
---- --------- ---- --------- ----
6 1,971 42.0 1,985 42.3
03/06/07 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 2 450 3.7 595 4.8 12,318
NON U.S. 5 3,021 24.5 1,616 13.1
---- --------- ---- --------- ----
7 3,471 28.2 2,211 17.9
03/06/07 NYME RBOB CRACK SPREAD SWAP U.S. 2 325 4.0 174 2.1 8,163
NON U.S. 5 2,015 24.7 1,700 20.8
---- --------- ---- --------- ----
7 2,340 28.7 1,874 23.0