BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
08/01/06 CBT WHEAT U.S. 1 10,451 2.2 0 0.0 482,088
NON U.S. 13 70,195 14.6 3,389 0.7
---- --------- ---- --------- ----
14 80,646 16.7 3,389 0.7
08/01/06 KCBT WHEAT U.S. 1 1,610 0.9 0 0.0 170,722
NON U.S. 6 6,739 3.9 0 0.0
---- --------- ---- --------- ----
7 8,349 4.9 0 0.0
08/01/06 CBT CORN U.S. 1 23,045 1.6 0 0.0 1,399,222
NON U.S. 11 125,412 9.0 833 0.1
---- --------- ---- --------- ----
12 148,457 10.6 833 0.1
08/01/06 CBT SOYBEANS U.S. 1 8,765 2.6 0 0.0 342,520
NON U.S. 8 25,958 7.6 1,761 0.5
---- --------- ---- --------- ----
9 34,723 10.1 1,761 0.5
08/01/06 CBT SOYBEAN OIL U.S. 1 3,973 1.4 0 0.0 284,759
NON U.S. 6 13,816 4.9 2 0.0
---- --------- ---- --------- ----
7 17,789 6.2 2 0.0
08/01/06 CBT U.S. TREASURY BONDS U.S. 4 10,075 1.3 21,266 2.7 774,122
NON U.S. 19 17,967 2.3 24,679 3.2
---- --------- ---- --------- ----
23 28,042 3.6 45,945 5.9
08/01/06 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 4 7,766 4.3 625 0.3 179,526
NON U.S. 8 12,899 7.2 5,221 2.9
---- --------- ---- --------- ----
12 20,665 11.5 5,846 3.3
08/01/06 NYME NATURAL GAS U.S. 6 45,499 4.9 59,547 6.5 921,137
NON U.S. 11 34,717 3.8 77,668 8.4
---- --------- ---- --------- ----
17 80,216 8.7 137,215 14.9
08/01/06 NYME PERMIAN BASIS SWAP U.S. 4 6,882 16.1 2,248 5.3 42,649
NON U.S. 3 966 2.3 6,049 14.2
---- --------- ---- --------- ----
7 7,848 18.4 8,297 19.5
08/01/06 NYME M-3 BASIS SWAP U.S. 2 2,302 2.0 0 0.0 113,217
NON U.S. 3 3,733 3.3 1,996 1.8
---- --------- ---- --------- ----
5 6,035 5.3 1,996 1.8
08/01/06 NYME TCO BASIS SWAP U.S. 2 584 0.7 2,416 2.7 89,443
NON U.S. 3 122 0.1 1,600 1.8
---- --------- ---- --------- ----
5 706 0.8 4,016 4.5
08/01/06 NYME MALIN BASIS SWAP U.S. 1 610 0.9 2,785 4.0 69,912
NON U.S. 5 3,208 4.6 4,736 6.8
---- --------- ---- --------- ----
6 3,818 5.5 7,521 10.8
08/01/06 NYME PG&E CITYGATE BASIS SWAP U.S. 2 0 0.0 1,126 1.9 58,021
NON U.S. 3 486 0.8 5,291 9.1
---- --------- ---- --------- ----
5 486 0.8 6,417 11.1
08/01/06 NYME NGPL TEXOK BASIS SWAP U.S. 3 7,512 6.3 604 0.5 119,612
NON U.S. 3 368 0.3 864 0.7
---- --------- ---- --------- ----
6 7,880 6.6 1,468 1.2
08/01/06 NYME ANR OK BASIS SWAP U.S. 3 144 0.6 2,850 12.1 23,495
NON U.S. 2 184 0.8 5,441 23.2
---- --------- ---- --------- ----
5 328 1.4 8,291 35.3
08/01/06 NYME SUMAS BASIS SWAP U.S. 3 4,898 12.9 0 0.0 37,886
NON U.S. 6 5,720 15.1 2,715 7.2
---- --------- ---- --------- ----
9 10,618 28.0 2,715 7.2
08/01/06 NYME DOMINION BASIS SWAP U.S. 4 2,417 3.0 716 0.9 80,845
NON U.S. 2 0 0.0 1,177 1.5
---- --------- ---- --------- ----
6 2,417 3.0 1,893 2.3
08/01/06 NYME WAHA BASIS SWAP U.S. 3 3,272 4.0 1,281 1.5 82,682
NON U.S. 3 4,387 5.3 1,595 1.9
---- --------- ---- --------- ----
6 7,659 9.3 2,876 3.5
08/01/06 NYME CIG BASIS SWAP U.S. 4 2,482 3.7 9,672 14.4 67,048
NON U.S. 6 277 0.4 19,154 28.6
---- --------- ---- --------- ----
10 2,759 4.1 28,826 43.0
08/01/06 CME 1-MONTH LIBOR RATE U.S. 1 2,054 4.9 387 0.9 41,704
NON U.S. 6 5,449 13.1 7,289 17.5
---- --------- ---- --------- ----
7 7,503 18.0 7,676 18.4
08/01/06 NYBT COTTON NO. 2 U.S. 1 7,448 4.5 0 0.0 164,571
NON U.S. 9 15,275 9.3 333 0.2
---- --------- ---- --------- ----
10 22,723 13.8 333 0.2
08/01/06 NYME ALBERTA BASIS SWAP U.S. 5 7,760 4.4 13,492 7.7 175,885
NON U.S. 7 9,142 5.2 50,913 28.9
---- --------- ---- --------- ----
12 16,902 9.6 64,405 36.6
08/01/06 NYME CHICAGO BASIS SWAP U.S. 1 493 0.5 1,094 1.2 89,671
NON U.S. 4 3,619 4.0 1,067 1.2
---- --------- ---- --------- ----
5 4,112 4.6 2,161 2.4
08/01/06 NYME HOUSTON SHIP CH BASIS SWAP U.S. 6 6,694 2.6 13,759 5.4 255,871
NON U.S. 5 8,628 3.4 26,754 10.5
---- --------- ---- --------- ----
11 15,322 6.0 40,513 15.8
08/01/06 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 12,933 8.8 7,646 5.2 147,020
NON U.S. 6 11,371 7.7 17,523 11.9
---- --------- ---- --------- ----
11 24,304 16.5 25,169 17.1
08/01/06 NYME PANHANDLE BASIS SWAP U.S. 5 2,871 1.8 11,556 7.4 155,221
NON U.S. 5 12,200 7.9 7,550 4.9
---- --------- ---- --------- ----
10 15,071 9.7 19,106 12.3
08/01/06 NYME SAN JUAN BASIS SWAP U.S. 6 5,286 13.8 5,260 13.7 38,287
NON U.S. 4 1,337 3.5 4,600 12.0
---- --------- ---- --------- ----
10 6,623 17.3 9,860 25.8
08/01/06 NYME SOCAL BASIS SWAP U.S. 5 6,426 3.9 9,167 5.6 162,785
NON U.S. 5 5,018 3.1 10,038 6.2
---- --------- ---- --------- ----
10 11,444 7.0 19,205 11.8
08/01/06 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 1,902 3.5 484 0.9 53,740
NON U.S. 5 780 1.5 575 1.1
---- --------- ---- --------- ----
7 2,682 5.0 1,059 2.0
08/01/06 NYME HENRY HUB GAS SWAP U.S. 6 108,132 4.0 210,200 7.8 2,695,316
NON U.S. 8 241,110 8.9 494,550 18.3
---- --------- ---- --------- ----
14 349,242 13.0 704,750 26.1
08/01/06 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 4 13,146 1.9 53,498 7.8 686,757
NON U.S. 7 182,168 26.5 90,720 13.2
---- --------- ---- --------- ----
11 195,314 28.4 144,218 21.0
08/01/06 CBT 2-YEAR U.S. TREASURY NOTES U.S. 5 21,623 3.2 10,716 1.6 675,697
NON U.S. 29 21,636 3.2 48,318 7.2
---- --------- ---- --------- ----
34 43,259 6.4 59,034 8.7
08/01/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 7 13,369 0.6 26,653 1.3 2,118,976
NON U.S. 40 75,355 3.6 114,225 5.4
---- --------- ---- --------- ----
47 88,724 4.2 140,878 6.6
08/01/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 16,246 1.2 38,059 2.8 1,350,029
NON U.S. 34 62,702 4.6 65,394 4.8
---- --------- ---- --------- ----
38 78,948 5.8 103,453 7.7
08/01/06 CBT 30-DAY FEDERAL FUNDS U.S. 8 37,612 6.5 20,509 3.5 581,846
NON U.S. 30 98,145 16.9 84,085 14.5
---- --------- ---- --------- ----
38 135,757 23.3 104,594 18.0
08/01/06 CME LEAN HOGS U.S. 1 4,934 3.1 0 0.0 161,543
NON U.S. 5 14,018 8.7 0 0.0
---- --------- ---- --------- ----
6 18,952 11.7 0 0.0
08/01/06 CME LIVE CATTLE U.S. 2 7,807 3.4 1,441 0.6 233,026
NON U.S. 5 15,053 6.5 16 0.0
---- --------- ---- --------- ----
7 22,860 9.8 1,457 0.6
08/01/06 CME FEEDER CATTLE U.S. 2 334 1.1 157 0.5 31,673
NON U.S. 4 1,043 3.3 0 0.0
---- --------- ---- --------- ----
6 1,377 4.3 157 0.5
08/01/06 NYME PJM ELECTRICITY MONTHLY U.S. 2 1,480 3.1 3,552 7.4 48,313
NON U.S. 3 1,768 3.7 852 1.8
---- --------- ---- --------- ----
5 3,248 6.7 4,404 9.1
08/01/06 NYME NYISO ZONE A LBMP SWAP U.S. 2 8,937 32.7 127 0.5 27,338
NON U.S. 3 252 0.9 2,838 10.4
---- --------- ---- --------- ----
5 9,189 33.6 2,965 10.8
08/01/06 NYME NYISO ZONE J LBMP SWAP U.S. 2 80 0.5 3,077 18.2 16,921
NON U.S. 3 0 0.0 1,994 11.8
---- --------- ---- --------- ----
5 80 0.5 5,071 30.0
08/01/06 NYME PJM CAL MONTH OFF PK LMP SWAP U.S. 2 4,640 17.6 292 1.1 26,419
NON U.S. 3 2,350 8.9 598 2.3
---- --------- ---- --------- ----
5 6,990 26.5 890 3.4
08/01/06 NYME CRUDE OIL, LIGHT SWEET U.S. 5 41,900 3.8 65,717 5.9 1,109,838
NON U.S. 15 73,999 6.7 72,420 6.5
---- --------- ---- --------- ----
20 115,899 10.4 138,137 12.4
08/01/06 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 2 629 1.1 2,680 4.9 55,209
NON U.S. 4 5,955 10.8 4,298 7.8
---- --------- ---- --------- ----
6 6,584 11.9 6,978 12.6
08/01/06 NYME WTI CRUDE OIL FINANCIAL U.S. 2 120 0.4 46 0.2 28,328
NON U.S. 5 4,532 16.0 2,543 9.0
---- --------- ---- --------- ----
7 4,652 16.4 2,589 9.1
08/01/06 NYBT COCOA U.S. 1 419 0.3 0 0.0 143,144
NON U.S. 8 4,398 3.1 3,545 2.5
---- --------- ---- --------- ----
9 4,817 3.4 3,545 2.5
08/01/06 NYME PALLADIUM U.S. 2 0 0.0 437 3.2 13,587
NON U.S. 10 393 2.9 2,842 20.9
---- --------- ---- --------- ----
12 393 2.9 3,279 24.1
08/01/06 NYME PLATINUM U.S. 1 0 0.0 126 1.4 9,272
NON U.S. 6 983 10.6 807 8.7
---- --------- ---- --------- ----
7 983 10.6 933 10.1
08/01/06 NYBT SUGAR NO. 11 U.S. 2 8,186 1.7 1,154 0.2 469,125
NON U.S. 10 39,791 8.5 24,526 5.2
---- --------- ---- --------- ----
12 47,977 10.2 25,680 5.5
08/01/06 NYBT COFFEE C U.S. 1 1,959 1.6 0 0.0 120,726
NON U.S. 11 8,643 7.2 5,749 4.8
---- --------- ---- --------- ----
12 10,602 8.8 5,749 4.8
08/01/06 CMX SILVER U.S. 3 2,349 2.4 5,327 5.4 98,685
NON U.S. 8 2,573 2.6 4,573 4.6
---- --------- ---- --------- ----
11 4,922 5.0 9,900 10.0
08/01/06 CMX COPPER-GRADE #1 U.S. 3 2,383 3.3 101 0.1 71,537
NON U.S. 7 6,211 8.7 1,285 1.8
---- --------- ---- --------- ----
10 8,594 12.0 1,386 1.9
08/01/06 CBT GOLD, 100 TROY OZ U.S. 2 305 1.2 5,148 21.0 24,512
NON U.S. 4 2 0.0 2,637 10.8
---- --------- ---- --------- ----
6 307 1.3 7,785 31.8
08/01/06 CMX GOLD U.S. 5 1,799 0.6 31,888 10.5 304,907
NON U.S. 19 6,545 2.1 60,673 19.9
---- --------- ---- --------- ----
24 8,344 2.7 92,561 30.4
08/01/06 CME RUSSIAN RUBLE NON U.S. 6 1,130 9.9 10,700 93.3 11,465
08/01/06 CME CANADIAN DOLLAR U.S. 5 5,579 6.5 6,921 8.0 86,048
NON U.S. 11 12,453 14.5 6,660 7.7
---- --------- ---- --------- ----
16 18,032 21.0 13,581 15.8
08/01/06 CME SWISS FRANC U.S. 3 127 0.2 401 0.6 65,105
NON U.S. 6 34,363 52.8 3,286 5.0
---- --------- ---- --------- ----
9 34,490 53.0 3,687 5.7
08/01/06 CME MEXICAN PESO U.S. 4 2,943 3.4 31,348 36.2 86,532
NON U.S. 8 4,349 5.0 30,722 35.5
---- --------- ---- --------- ----
12 7,292 8.4 62,070 71.7
08/01/06 CME BRITISH POUND STERLING U.S. 4 3,884 3.4 5,115 4.5 114,075
NON U.S. 7 531 0.5 40,912 35.9
---- --------- ---- --------- ----
11 4,415 3.9 46,027 40.3
08/01/06 CME JAPANESE YEN U.S. 8 22,889 11.7 1,632 0.8 195,626
NON U.S. 9 34,679 17.7 6,961 3.6
---- --------- ---- --------- ----
17 57,568 29.4 8,593 4.4
08/01/06 CME EURO FX U.S. 5 189 0.1 10,184 6.5 157,856
NON U.S. 19 5,377 3.4 47,832 30.3
---- --------- ---- --------- ----
24 5,566 3.5 58,016 36.8
08/01/06 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 1 1,036 2.0 0 0.0 52,495
NON U.S. 6 2,958 5.6 207 0.4
---- --------- ---- --------- ----
7 3,994 7.6 207 0.4
08/01/06 CME NEW ZEALAND DOLLAR U.S. 2 0 0.0 1,023 5.6 18,160
NON U.S. 5 2,849 15.7 6,639 36.6
---- --------- ---- --------- ----
7 2,849 15.7 7,662 42.2
08/01/06 NYBT SOUTH AFRICAN RAND U.S. 2 0 0.0 149 7.1 2,096
NON U.S. 4 271 12.9 1,638 78.1
---- --------- ---- --------- ----
6 271 12.9 1,787 85.3
08/01/06 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 3,595 6.2 3,913 6.8 57,602
NON U.S. 9 4,007 7.0 6,324 11.0
---- --------- ---- --------- ----
13 7,602 13.2 10,237 17.8
08/01/06 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2 208 0.2 162 0.2 95,049
NON U.S. 5 7,641 8.0 317 0.3
---- --------- ---- --------- ----
7 7,849 8.3 479 0.5
08/01/06 CME 3-MONTH EURODOLLARS U.S. 13 497,057 5.0 1,119,322 11.3 9,899,184
NON U.S. 67 1,104,749 11.2 1,116,303 11.3
---- --------- ---- --------- ----
80 1,601,806 16.2 2,235,625 22.6
08/01/06 CME S&P 500 STOCK INDEX U.S. 6 6,724 1.1 5,280 0.9 619,115
NON U.S. 20 6,811 1.1 76,431 12.3
---- --------- ---- --------- ----
26 13,535 2.2 81,711 13.2
08/01/06 CME E-MINI S&P 500 STOCK INDEX U.S. 7 26,448 1.9 8,804 0.6 1,386,714
NON U.S. 35 56,328 4.1 74,846 5.4
---- --------- ---- --------- ----
42 82,776 6.0 83,650 6.0
08/01/06 CME NASDAQ-100 STOCK INDEX U.S. 4 1,247 2.2 7,180 12.9 55,500
NON U.S. 15 12,969 23.4 4,629 8.3
---- --------- ---- --------- ----
19 14,216 25.6 11,809 21.3
08/01/06 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 7 7,594 1.8 8,454 2.0 420,045
NON U.S. 25 27,141 6.5 3,810 0.9
---- --------- ---- --------- ----
32 34,735 8.3 12,264 2.9
08/01/06 CME AUSTRALIAN DOLLAR U.S. 3 214 0.3 1,097 1.6 67,931
NON U.S. 7 686 1.0 25,438 37.4
---- --------- ---- --------- ----
10 900 1.3 26,535 39.1
08/01/06 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 4 427 1.1 1,808 4.5 40,450
NON U.S. 7 1,268 3.1 1,360 3.4
---- --------- ---- --------- ----
11 1,695 4.2 3,168 7.8
08/01/06 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 4 434 0.1 31,759 7.0 455,254
NON U.S. 12 60,324 13.3 13,061 2.9
---- --------- ---- --------- ----
16 60,758 13.3 44,820 9.8
08/01/06 CME NIKKEI STOCK AVERAGE U.S. 1 0 0.0 227 0.6 40,846
NON U.S. 17 3,261 8.0 7,165 17.5
---- --------- ---- --------- ----
18 3,261 8.0 7,392 18.1
08/01/06 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 4 2,944 7.3 0 0.0 40,180
NON U.S. 10 4,554 11.3 310 0.8
---- --------- ---- --------- ----
14 7,498 18.7 310 0.8
08/01/06 NYBT BRITISH POUND/JPN YEN XRATE U.S. 2 0 0.0 411 4.3 9,637
NON U.S. 4 764 7.9 2,689 27.9
---- --------- ---- --------- ----
6 764 7.9 3,100 32.2
08/01/06 NYBT EURO FX/JAPANESE YEN XRATE U.S. 2 0 0.0 2,340 7.1 32,927
NON U.S. 8 142 0.4 6,811 20.7
---- --------- ---- --------- ----
10 142 0.4 9,151 27.8
08/01/06 CME E-MINI S&P 400 STOCK INDEX U.S. 1 0 0.0 1,749 2.5 70,131
NON U.S. 4 14,444 20.6 439 0.6
---- --------- ---- --------- ----
5 14,444 20.6 2,188 3.1
08/01/06 NYBT EURO FX/SWISS FRANC XRATE U.S. 1 0 0.0 603 5.7 10,502
NON U.S. 4 0 0.0 3,718 35.4
---- --------- ---- --------- ----
5 0 0.0 4,321 41.1
08/01/06 CME 3-MO. EUROYEN TIBOR U.S. 5 1,997 4.8 2,535 6.1 41,889
NON U.S. 21 4,660 11.1 12,182 29.1
---- --------- ---- --------- ----
26 6,657 15.9 14,717 35.1
08/01/06 NYBT EURO FX/BRITISH POUND XRATE NON U.S. 7 6,427 51.8 1,165 9.4 12,419
08/01/06 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 2 260 4.9 335 6.3 5,331
NON U.S. 3 265 5.0 661 12.4
---- --------- ---- --------- ----
5 525 9.8 996 18.7