BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
04/04/06 CBT WHEAT U.S. 1 13,906 3.6 200 0.1 387,384
NON U.S. 11 66,607 17.2 6,652 1.7
---- --------- ---- --------- ----
12 80,513 20.8 6,852 1.8
04/04/06 KCBT WHEAT U.S. 1 1,864 1.6 0 0.0 114,156
NON U.S. 6 5,726 5.0 300 0.3
---- --------- ---- --------- ----
7 7,590 6.6 300 0.3
04/04/06 CBT CORN U.S. 1 25,632 2.3 1,200 0.1 1,124,766
NON U.S. 9 105,952 9.4 13,290 1.2
---- --------- ---- --------- ----
10 131,584 11.7 14,490 1.3
04/04/06 CBT SOYBEANS U.S. 1 9,576 2.5 0 0.0 377,734
NON U.S. 8 20,543 5.4 1,899 0.5
---- --------- ---- --------- ----
9 30,119 8.0 1,899 0.5
04/04/06 CBT SOYBEAN OIL U.S. 1 5,330 2.8 0 0.0 189,934
NON U.S. 5 11,059 5.8 0 0.0
---- --------- ---- --------- ----
6 16,389 8.6 0 0.0
04/04/06 CBT U.S. TREASURY BONDS U.S. 3 14,158 2.2 11,423 1.7 656,553
NON U.S. 17 9,058 1.4 12,788 1.9
---- --------- ---- --------- ----
20 23,216 3.5 24,211 3.7
04/04/06 NYME EUR SING FUEL OIL 180 CAL SWAP U.S. 2 181 12.5 95 6.6 1,443
NON U.S. 3 132 9.1 30 2.1
---- --------- ---- --------- ----
5 313 21.7 125 8.7
04/04/06 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 2 7,531 4.6 609 0.4 163,365
NON U.S. 7 9,394 5.8 2,760 1.7
---- --------- ---- --------- ----
9 16,925 10.4 3,369 2.1
04/04/06 NYME NATURAL GAS U.S. 5 23,778 3.6 24,753 3.7 663,514
NON U.S. 13 29,720 4.5 53,902 8.1
---- --------- ---- --------- ----
18 53,498 8.1 78,655 11.9
04/04/06 NYME PERMIAN BASIS SWAP U.S. 4 7,795 12.5 2,569 4.1 62,231
NON U.S. 3 794 1.3 4,951 8.0
---- --------- ---- --------- ----
7 8,589 13.8 7,520 12.1
04/04/06 NYME MALIN BASIS SWAP U.S. 2 306 0.4 3,607 4.7 76,031
NON U.S. 4 7,559 9.9 3,729 4.9
---- --------- ---- --------- ----
6 7,865 10.3 7,336 9.6
04/04/06 NYME PG&E CITYGATE BASIS SWAP U.S. 3 1,807 2.8 1,941 3.0 64,602
NON U.S. 3 122 0.2 7,355 11.4
---- --------- ---- --------- ----
6 1,929 3.0 9,296 14.4
04/04/06 NYME NGPL TEXOK BASIS SWAP U.S. 3 3,314 3.2 788 0.8 103,669
NON U.S. 3 736 0.7 262 0.3
---- --------- ---- --------- ----
6 4,050 3.9 1,050 1.0
04/04/06 NYME SUMAS BASIS SWAP U.S. 3 3,822 9.7 62 0.2 39,380
NON U.S. 5 5,640 14.3 1,128 2.9
---- --------- ---- --------- ----
8 9,462 24.0 1,190 3.0
04/04/06 NYME WAHA BASIS SWAP U.S. 3 1,807 2.8 1,710 2.6 65,378
NON U.S. 3 0 0.0 5,190 7.9
---- --------- ---- --------- ----
6 1,807 2.8 6,900 10.6
04/04/06 NYME CIG BASIS SWAP U.S. 3 1,192 2.1 3,172 5.7 55,654
NON U.S. 6 245 0.4 20,270 36.4
---- --------- ---- --------- ----
9 1,437 2.6 23,442 42.1
04/04/06 CME 1-MONTH LIBOR RATE U.S. 4 4,656 6.4 7,748 10.7 72,465
NON U.S. 10 17,938 24.8 16,233 22.4
---- --------- ---- --------- ----
14 22,594 31.2 23,981 33.1
04/04/06 NYBT COTTON NO. 2 U.S. 1 4,748 3.4 0 0.0 137,879
NON U.S. 9 12,937 9.4 252 0.2
---- --------- ---- --------- ----
10 17,685 12.8 252 0.2
04/04/06 NYME ALBERTA BASIS SWAP U.S. 4 6,470 3.9 4,109 2.5 164,914
NON U.S. 7 9,648 5.9 51,381 31.2
---- --------- ---- --------- ----
11 16,118 9.8 55,490 33.6
04/04/06 NYME CHICAGO BASIS SWAP U.S. 1 552 0.7 304 0.4 79,069
NON U.S. 4 7,009 8.9 670 0.8
---- --------- ---- --------- ----
5 7,561 9.6 974 1.2
04/04/06 NYME HOUSTON SHIP CH BASIS SWAP U.S. 5 4,941 2.4 13,623 6.6 205,736
NON U.S. 5 4,825 2.3 32,547 15.8
---- --------- ---- --------- ----
10 9,766 4.7 46,170 22.4
04/04/06 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 13,199 8.7 2,291 1.5 152,528
NON U.S. 6 6,478 4.2 17,550 11.5
---- --------- ---- --------- ----
11 19,677 12.9 19,841 13.0
04/04/06 NYME PANHANDLE BASIS SWAP U.S. 5 2,901 2.0 14,316 9.7 146,895
NON U.S. 5 15,927 10.8 3,834 2.6
---- --------- ---- --------- ----
10 18,828 12.8 18,150 12.4
04/04/06 NYME SAN JUAN BASIS SWAP U.S. 6 2,259 7.1 5,241 16.5 31,675
NON U.S. 4 486 1.5 5,774 18.2
---- --------- ---- --------- ----
10 2,745 8.7 11,015 34.8
04/04/06 NYME SOCAL BASIS SWAP U.S. 5 7,018 3.8 11,301 6.1 185,189
NON U.S. 5 3,480 1.9 10,755 5.8
---- --------- ---- --------- ----
10 10,498 5.7 22,056 11.9
04/04/06 NYME HENRY HUB GAS SWAP U.S. 6 68,887 4.2 177,781 10.9 1,625,729
NON U.S. 9 95,904 5.9 265,254 16.3
---- --------- ---- --------- ----
15 164,791 10.1 443,035 27.3
04/04/06 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 4 14,349 3.6 2,525 0.6 402,832
NON U.S. 7 116,683 29.0 125,714 31.2
---- --------- ---- --------- ----
11 131,032 32.5 128,239 31.8
04/04/06 CBT 2-YEAR U.S. TREASURY NOTES U.S. 4 12,369 2.6 15,568 3.3 473,532
NON U.S. 21 19,035 4.0 9,986 2.1
---- --------- ---- --------- ----
25 31,404 6.6 25,554 5.4
04/04/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 7 40,016 1.9 18,383 0.9 2,132,614
NON U.S. 35 69,476 3.3 91,385 4.3
---- --------- ---- --------- ----
42 109,492 5.1 109,768 5.1
04/04/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 11,888 1.0 11,875 1.0 1,195,170
NON U.S. 26 99,450 8.3 38,256 3.2
---- --------- ---- --------- ----
30 111,338 9.3 50,131 4.2
04/04/06 CBT 30-DAY FEDERAL FUNDS U.S. 5 59,316 11.6 24,352 4.8 510,718
NON U.S. 26 57,693 11.3 86,584 17.0
---- --------- ---- --------- ----
31 117,009 22.9 110,936 21.7
04/04/06 CME LEAN HOGS U.S. 1 6,730 4.7 0 0.0 143,750
NON U.S. 6 11,693 8.1 0 0.0
---- --------- ---- --------- ----
7 18,423 12.8 0 0.0
04/04/06 CME LIVE CATTLE U.S. 2 6,875 2.9 139 0.1 237,458
NON U.S. 5 12,196 5.1 0 0.0
---- --------- ---- --------- ----
7 19,071 8.0 139 0.1
04/04/06 NYME PJM ELECTRICITY MONTHLY U.S. 2 2,200 3.6 3,830 6.4 60,302
NON U.S. 3 1,954 3.2 866 1.4
---- --------- ---- --------- ----
5 4,154 6.9 4,696 7.8
04/04/06 NYME CRUDE OIL, LIGHT SWEET U.S. 5 32,171 3.3 57,107 5.9 967,908
NON U.S. 18 89,359 9.2 71,407 7.4
---- --------- ---- --------- ----
23 121,530 12.6 128,514 13.3
04/04/06 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 2 351 1.3 3,177 11.8 26,867
NON U.S. 3 1,449 5.4 1,377 5.1
---- --------- ---- --------- ----
5 1,800 6.7 4,554 17.0
04/04/06 NYBT COCOA U.S. 1 537 0.4 0 0.0 127,059
NON U.S. 7 2,674 2.1 7,437 5.9
---- --------- ---- --------- ----
8 3,211 2.5 7,437 5.9
04/04/06 NYME PALLADIUM U.S. 2 0 0.0 420 2.5 17,125
NON U.S. 11 939 5.5 4,562 26.6
---- --------- ---- --------- ----
13 939 5.5 4,982 29.1
04/04/06 NYME PLATINUM U.S. 1 0 0.0 96 1.1 9,103
NON U.S. 7 1,013 11.1 556 6.1
---- --------- ---- --------- ----
8 1,013 11.1 652 7.2
04/04/06 NYBT SUGAR NO. 11 U.S. 1 10,424 2.1 0 0.0 487,062
NON U.S. 9 32,058 6.6 29,349 6.0
---- --------- ---- --------- ----
10 42,482 8.7 29,349 6.0
04/04/06 NYBT COFFEE C U.S. 1 2,532 2.4 25 0.0 106,170
NON U.S. 11 7,397 7.0 5,537 5.2
---- --------- ---- --------- ----
12 9,929 9.4 5,562 5.2
04/04/06 CMX SILVER U.S. 4 336 0.2 9,854 7.0 140,419
NON U.S. 12 3,621 2.6 18,330 13.1
---- --------- ---- --------- ----
16 3,957 2.8 28,184 20.1
04/04/06 CMX COPPER-GRADE #1 U.S. 3 3,501 3.5 123 0.1 100,249
NON U.S. 8 6,757 6.7 2,163 2.2
---- --------- ---- --------- ----
11 10,258 10.2 2,286 2.3
04/04/06 CMX GOLD U.S. 5 541 0.2 47,941 14.0 342,721
NON U.S. 20 10,003 2.9 79,973 23.3
---- --------- ---- --------- ----
25 10,544 3.1 127,914 37.3
04/04/06 CME RUSSIAN RUBLE NON U.S. 5 3,169 61.3 4,888 94.6 5,168
04/04/06 CME CANADIAN DOLLAR U.S. 6 4,854 5.8 6,583 7.8 84,301
NON U.S. 9 15,992 19.0 3,709 4.4
---- --------- ---- --------- ----
15 20,846 24.7 10,292 12.2
04/04/06 CME SWISS FRANC U.S. 4 829 1.0 4,939 6.3 79,020
NON U.S. 6 12,803 16.2 895 1.1
---- --------- ---- --------- ----
10 13,632 17.3 5,834 7.4
04/04/06 CME MEXICAN PESO U.S. 4 21,586 27.0 1,330 1.7 79,909
NON U.S. 8 2,114 2.6 31,031 38.8
---- --------- ---- --------- ----
12 23,700 29.7 32,361 40.5
04/04/06 CME BRITISH POUND STERLING U.S. 5 3,705 4.7 2,262 2.8 79,371
NON U.S. 7 11,260 14.2 30 0.0
---- --------- ---- --------- ----
12 14,965 18.9 2,292 2.9
04/04/06 CME JAPANESE YEN U.S. 5 30,384 16.0 15 0.0 189,732
NON U.S. 9 28,715 15.1 9,099 4.8
---- --------- ---- --------- ----
14 59,099 31.1 9,114 4.8
04/04/06 NYBT JAPANESE YEN - SMALL U.S. 1 0 0.0 2,397 70.4 3,406
NON U.S. 4 2,018 59.2 871 25.6
---- --------- ---- --------- ----
5 2,018 59.2 3,268 95.9
04/04/06 NYBT EURO FX/AUS DOLLAR XRATE NON U.S. 5 2,186 58.4 2,446 65.3 3,745
04/04/06 CME EURO FX U.S. 5 823 0.5 9,652 6.0 161,921
NON U.S. 20 4,573 2.8 29,528 18.2
---- --------- ---- --------- ----
25 5,396 3.3 39,180 24.2
04/04/06 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 1 4,917 4.0 471 0.4 123,675
NON U.S. 7 7,895 6.4 1,249 1.0
---- --------- ---- --------- ----
8 12,812 10.4 1,720 1.4
04/04/06 CME NEW ZEALAND DOLLAR U.S. 2 941 7.5 200 1.6 12,473
NON U.S. 6 3,374 27.1 100 0.8
---- --------- ---- --------- ----
8 4,315 34.6 300 2.4
04/04/06 NYBT SOUTH AFRICAN RAND NON U.S. 6 2,710 83.5 0 0.0 3,244
04/04/06 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 3,972 10.0 1,155 2.9 39,682
NON U.S. 7 1,607 4.0 4,055 10.2
---- --------- ---- --------- ----
11 5,579 14.1 5,210 13.1
04/04/06 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2 0 0.0 5,722 7.9 72,151
NON U.S. 6 3,571 4.9 3,958 5.5
---- --------- ---- --------- ----
8 3,571 4.9 9,680 13.4
04/04/06 CME 3-MONTH EURODOLLARS U.S. 12 684,474 7.2 922,745 9.7 9,531,734
NON U.S. 59 1,367,261 14.3 1,407,209 14.8
---- --------- ---- --------- ----
71 2,051,735 21.5 2,329,954 24.4
04/04/06 CME S&P 500 STOCK INDEX U.S. 7 15,775 2.4 2,487 0.4 646,184
NON U.S. 18 6,841 1.1 130,090 20.1
---- --------- ---- --------- ----
25 22,616 3.5 132,577 20.5
04/04/06 CME E-MINI S&P 500 STOCK INDEX U.S. 6 49,038 4.3 2,399 0.2 1,151,679
NON U.S. 31 50,288 4.4 29,460 2.6
---- --------- ---- --------- ----
37 99,326 8.6 31,859 2.8
04/04/06 CME NASDAQ-100 STOCK INDEX U.S. 4 2,283 3.8 12,540 21.0 59,732
NON U.S. 18 10,226 17.1 2,315 3.9
---- --------- ---- --------- ----
22 12,509 20.9 14,855 24.9
04/04/06 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 5 6,238 2.2 2,928 1.0 286,260
NON U.S. 27 42,862 15.0 5,276 1.8
---- --------- ---- --------- ----
32 49,100 17.2 8,204 2.9
04/04/06 CME AUSTRALIAN DOLLAR U.S. 4 1,613 2.5 4,178 6.4 65,124
NON U.S. 9 13,492 20.7 1,011 1.6
---- --------- ---- --------- ----
13 15,105 23.2 5,189 8.0
04/04/06 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 4 300 1.0 1,189 3.9 30,604
NON U.S. 6 3,309 10.8 300 1.0
---- --------- ---- --------- ----
10 3,609 11.8 1,489 4.9
04/04/06 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 4 499 0.2 23,565 7.8 301,727
NON U.S. 8 46,081 15.3 5,049 1.7
---- --------- ---- --------- ----
12 46,580 15.4 28,614 9.5
04/04/06 CME NIKKEI STOCK AVERAGE U.S. 1 0 0.0 1,086 2.1 51,591
NON U.S. 16 2,896 5.6 5,323 10.3
---- --------- ---- --------- ----
17 2,896 5.6 6,409 12.4
04/04/06 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 2 2,269 6.6 0 0.0 34,521
NON U.S. 9 2,948 8.5 1,188 3.4
---- --------- ---- --------- ----
11 5,217 15.1 1,188 3.4
04/04/06 NYBT EURO FX/JAPANESE YEN XRATE U.S. 2 510 2.3 938 4.2 22,172
NON U.S. 6 2 0.0 4,638 20.9
---- --------- ---- --------- ----
8 512 2.3 5,576 25.1
04/04/06 CME S&P 400 MIDCAP STOCK INDEX U.S. 3 57 0.5 1,154 10.4 11,091
NON U.S. 3 147 1.3 331 3.0
---- --------- ---- --------- ----
6 204 1.8 1,485 13.4
04/04/06 NYBT EURO FX/SWEDISH KRONA XRATE U.S. 1 0 0.0 240 12.7 1,896
NON U.S. 4 1 0.1 655 34.5
---- --------- ---- --------- ----
5 1 0.1 895 47.2
04/04/06 NYBT EURO FX/SWISS FRANC XRATE U.S. 3 198 2.0 1,810 18.2 9,937
NON U.S. 3 133 1.3 2,721 27.4
---- --------- ---- --------- ----
6 331 3.3 4,531 45.6
04/04/06 CME 3-MO. EUROYEN TIBOR U.S. 4 1,055 2.7 896 2.3 39,137
NON U.S. 22 5,922 15.1 11,093 28.3
---- --------- ---- --------- ----
26 6,977 17.8 11,989 30.6
04/04/06 NYBT EURO FX/BRITISH POUND XRATE U.S. 1 2,095 16.5 0 0.0 12,695
NON U.S. 8 2,210 17.4 5,463 43.0
---- --------- ---- --------- ----
9 4,305 33.9 5,463 43.0