BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
02/07/06 CBT WHEAT U.S. 1 12,600 3.4 0 0.0 374,200
NON U.S. 10 61,262 16.4 3,969 1.1
---- --------- ---- --------- ----
11 73,862 19.7 3,969 1.1
02/07/06 KCBT WHEAT U.S. 1 1,675 1.1 0 0.0 147,559
NON U.S. 6 4,768 3.2 428 0.3
---- --------- ---- --------- ----
7 6,443 4.4 428 0.3
02/07/06 CBT CORN U.S. 1 22,245 2.2 416 0.0 1,028,170
NON U.S. 9 96,611 9.4 2,460 0.2
---- --------- ---- --------- ----
10 118,856 11.6 2,876 0.3
02/07/06 CBT SOYBEANS U.S. 1 9,268 2.6 0 0.0 351,064
NON U.S. 7 20,921 6.0 1,344 0.4
---- --------- ---- --------- ----
8 30,189 8.6 1,344 0.4
02/07/06 CBT SOYBEAN OIL U.S. 1 5,331 2.9 0 0.0 185,257
NON U.S. 6 11,851 6.4 55 0.0
---- --------- ---- --------- ----
7 17,182 9.3 55 0.0
02/07/06 CBT U.S. TREASURY BONDS U.S. 3 14,175 2.2 9,998 1.5 658,500
NON U.S. 17 9,634 1.5 24,137 3.7
---- --------- ---- --------- ----
20 23,809 3.6 34,135 5.2
02/07/06 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 2 6,085 3.8 781 0.5 159,244
NON U.S. 8 12,201 7.7 1,992 1.3
---- --------- ---- --------- ----
10 18,286 11.5 2,773 1.7
02/07/06 NYME NATURAL GAS U.S. 5 24,290 4.4 23,699 4.2 558,073
NON U.S. 15 24,360 4.4 43,867 7.9
---- --------- ---- --------- ----
20 48,650 8.7 67,566 12.1
02/07/06 NYME PERMIAN BASIS SWAP U.S. 3 7,242 13.1 914 1.7 55,227
NON U.S. 3 1,224 2.2 5,588 10.1
---- --------- ---- --------- ----
6 8,466 15.3 6,502 11.8
02/07/06 NYME MALIN BASIS SWAP U.S. 2 0 0.0 5,450 7.5 72,188
NON U.S. 4 6,447 8.9 3,986 5.5
---- --------- ---- --------- ----
6 6,447 8.9 9,436 13.1
02/07/06 NYME PG&E CITYGATE BASIS SWAP U.S. 2 1,007 1.4 1,595 2.3 70,107
NON U.S. 3 854 1.2 8,082 11.5
---- --------- ---- --------- ----
5 1,861 2.7 9,677 13.8
02/07/06 NYME NGPL TEXOK BASIS SWAP U.S. 3 2,700 2.9 368 0.4 94,692
NON U.S. 2 62 0.1 238 0.3
---- --------- ---- --------- ----
5 2,762 2.9 606 0.6
02/07/06 NYME SUMAS BASIS SWAP U.S. 4 3,797 8.9 93 0.2 42,679
NON U.S. 5 4,200 9.8 1,420 3.3
---- --------- ---- --------- ----
9 7,997 18.7 1,513 3.5
02/07/06 NYME WAHA BASIS SWAP U.S. 4 682 1.1 3,153 5.2 60,833
NON U.S. 3 341 0.6 6,038 9.9
---- --------- ---- --------- ----
7 1,023 1.7 9,191 15.1
02/07/06 NYME CIG BASIS SWAP U.S. 4 1,276 2.5 2,579 5.0 51,765
NON U.S. 5 895 1.7 20,870 40.3
---- --------- ---- --------- ----
9 2,171 4.2 23,449 45.3
02/07/06 CME 1-MONTH LIBOR RATE U.S. 3 2,096 4.6 4,041 8.9 45,525
NON U.S. 11 5,444 12.0 25,002 54.9
---- --------- ---- --------- ----
14 7,540 16.6 29,043 63.8
02/07/06 NYBT COTTON NO. 2 U.S. 1 4,256 3.2 0 0.0 131,823
NON U.S. 9 12,073 9.2 151 0.1
---- --------- ---- --------- ----
10 16,329 12.4 151 0.1
02/07/06 NYME ALBERTA BASIS SWAP U.S. 4 8,260 5.2 1,091 0.7 158,896
NON U.S. 6 6,315 4.0 53,916 33.9
---- --------- ---- --------- ----
10 14,575 9.2 55,007 34.6
02/07/06 NYME CHICAGO BASIS SWAP U.S. 1 120 0.1 62 0.1 80,423
NON U.S. 4 8,258 10.3 608 0.8
---- --------- ---- --------- ----
5 8,378 10.4 670 0.8
02/07/06 NYME HOUSTON SHIP CH BASIS SWAP U.S. 5 2,861 1.5 9,663 5.2 186,715
NON U.S. 5 4,661 2.5 25,336 13.6
---- --------- ---- --------- ----
10 7,522 4.0 34,999 18.7
02/07/06 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 13,898 8.6 793 0.5 160,695
NON U.S. 6 7,965 5.0 21,958 13.7
---- --------- ---- --------- ----
11 21,863 13.6 22,751 14.2
02/07/06 NYME PANHANDLE BASIS SWAP U.S. 5 4,016 2.8 12,530 8.9 141,364
NON U.S. 4 17,463 12.4 1,414 1.0
---- --------- ---- --------- ----
9 21,479 15.2 13,944 9.9
02/07/06 NYME SAN JUAN BASIS SWAP U.S. 5 2,229 7.1 4,786 15.4 31,176
NON U.S. 4 578 1.9 6,748 21.6
---- --------- ---- --------- ----
9 2,807 9.0 11,534 37.0
02/07/06 NYME SOCAL BASIS SWAP U.S. 4 7,326 4.4 2,895 1.7 167,376
NON U.S. 5 4,087 2.4 11,899 7.1
---- --------- ---- --------- ----
9 11,413 6.8 14,794 8.8
02/07/06 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 299 0.6 984 2.0 49,154
NON U.S. 4 857 1.7 306 0.6
---- --------- ---- --------- ----
6 1,156 2.4 1,290 2.6
02/07/06 NYME HENRY HUB GAS SWAP U.S. 6 30,912 2.2 180,158 12.8 1,406,365
NON U.S. 8 93,143 6.6 256,061 18.2
---- --------- ---- --------- ----
14 124,055 8.8 436,219 31.0
02/07/06 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 4 12,999 4.4 1,987 0.7 298,033
NON U.S. 7 65,153 21.9 91,850 30.8
---- --------- ---- --------- ----
11 78,152 26.2 93,837 31.5
02/07/06 CBT 2-YEAR U.S. TREASURY NOTES U.S. 5 10,547 2.2 4,551 0.9 481,350
NON U.S. 20 41,468 8.6 20,924 4.3
---- --------- ---- --------- ----
25 52,015 10.8 25,475 5.3
02/07/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 39,812 2.0 14,993 0.7 2,017,112
NON U.S. 39 43,861 2.2 112,324 5.6
---- --------- ---- --------- ----
45 83,673 4.1 127,317 6.3
02/07/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 24,572 1.8 11,299 0.8 1,334,193
NON U.S. 28 110,866 8.3 55,220 4.1
---- --------- ---- --------- ----
33 135,438 10.2 66,519 5.0
02/07/06 CBT 30-DAY FEDERAL FUNDS U.S. 6 32,518 6.9 17,697 3.8 470,718
NON U.S. 28 72,861 15.5 95,084 20.2
---- --------- ---- --------- ----
34 105,379 22.4 112,781 24.0
02/07/06 CME LEAN HOGS U.S. 1 6,401 4.5 25 0.0 142,329
NON U.S. 5 12,472 8.8 0 0.0
---- --------- ---- --------- ----
6 18,873 13.3 25 0.0
02/07/06 CME LIVE CATTLE U.S. 2 6,515 2.9 791 0.3 227,304
NON U.S. 5 12,777 5.6 0 0.0
---- --------- ---- --------- ----
7 19,292 8.5 791 0.3
02/07/06 CME FEEDER CATTLE U.S. 2 403 1.2 208 0.6 33,559
NON U.S. 3 774 2.3 0 0.0
---- --------- ---- --------- ----
5 1,177 3.5 208 0.6
02/07/06 NYME PJM ELECTRICITY MONTHLY U.S. 2 2,790 4.0 2,880 4.1 69,677
NON U.S. 3 1,852 2.7 1,196 1.7
---- --------- ---- --------- ----
5 4,642 6.7 4,076 5.8
02/07/06 NYME NYISO ZONE A LBMP SWAP U.S. 2 6,940 29.2 319 1.3 23,801
NON U.S. 3 506 2.1 3,438 14.4
---- --------- ---- --------- ----
5 7,446 31.3 3,757 15.8
02/07/06 NYME CRUDE OIL, LIGHT SWEET U.S. 5 27,521 2.9 62,029 6.6 941,180
NON U.S. 17 91,166 9.7 62,943 6.7
---- --------- ---- --------- ----
22 118,687 12.6 124,972 13.3
02/07/06 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 2 385 1.6 3,387 14.0 24,191
NON U.S. 3 1,463 6.0 1,877 7.8
---- --------- ---- --------- ----
5 1,848 7.6 5,264 21.8
02/07/06 NYBT COCOA U.S. 1 649 0.5 0 0.0 135,885
NON U.S. 7 2,258 1.7 6,185 4.6
---- --------- ---- --------- ----
8 2,907 2.1 6,185 4.6
02/07/06 NYME PALLADIUM U.S. 2 0 0.0 389 2.4 16,206
NON U.S. 10 765 4.7 3,551 21.9
---- --------- ---- --------- ----
12 765 4.7 3,940 24.3
02/07/06 NYME PLATINUM U.S. 1 85 0.7 0 0.0 11,384
NON U.S. 7 556 4.9 338 3.0
---- --------- ---- --------- ----
8 641 5.6 338 3.0
02/07/06 NYBT SUGAR NO. 11 U.S. 1 9,843 1.9 0 0.0 516,881
NON U.S. 7 27,409 5.3 22,427 4.3
---- --------- ---- --------- ----
8 37,252 7.2 22,427 4.3
02/07/06 NYBT COFFEE C U.S. 1 2,347 2.2 0 0.0 108,355
NON U.S. 11 7,702 7.1 4,409 4.1
---- --------- ---- --------- ----
12 10,049 9.3 4,409 4.1
02/07/06 CMX SILVER U.S. 4 722 0.6 16,286 12.5 130,754
NON U.S. 12 3,145 2.4 18,781 14.4
---- --------- ---- --------- ----
16 3,867 3.0 35,067 26.8
02/07/06 CMX COPPER-GRADE #1 U.S. 2 3,437 3.5 22 0.0 99,049
NON U.S. 9 7,016 7.1 2,384 2.4
---- --------- ---- --------- ----
11 10,453 10.6 2,406 2.4
02/07/06 CMX GOLD U.S. 5 482 0.1 59,579 17.4 341,727
NON U.S. 21 9,432 2.8 68,960 20.2
---- --------- ---- --------- ----
26 9,914 2.9 128,539 37.6
02/07/06 CME CANADIAN DOLLAR U.S. 6 2,822 2.3 6,304 5.2 121,889
NON U.S. 10 5,160 4.2 28,722 23.6
---- --------- ---- --------- ----
16 7,982 6.5 35,026 28.7
02/07/06 CME SWISS FRANC U.S. 5 5,010 5.4 805 0.9 92,132
NON U.S. 5 8,729 9.5 7,939 8.6
---- --------- ---- --------- ----
10 13,739 14.9 8,744 9.5
02/07/06 CME MEXICAN PESO U.S. 3 1,740 1.5 10,717 9.1 117,623
NON U.S. 6 2,845 2.4 35,837 30.5
---- --------- ---- --------- ----
9 4,585 3.9 46,554 39.6
02/07/06 CME BRITISH POUND STERLING U.S. 5 6,099 6.5 1,549 1.7 93,793
NON U.S. 4 14,694 15.7 3,770 4.0
---- --------- ---- --------- ----
9 20,793 22.2 5,319 5.7
02/07/06 CME JAPANESE YEN U.S. 6 38,844 19.6 5,233 2.6 197,898
NON U.S. 9 27,658 14.0 20,096 10.2
---- --------- ---- --------- ----
15 66,502 33.6 25,329 12.8
02/07/06 NYBT JAPANESE YEN - SMALL NON U.S. 5 978 49.3 1,831 92.3 1,984
02/07/06 CME EURO FX U.S. 6 2,045 1.5 10,759 7.7 140,121
NON U.S. 16 9,926 7.1 25,392 18.1
---- --------- ---- --------- ----
22 11,971 8.5 36,151 25.8
02/07/06 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 1 4,110 2.6 58 0.0 157,229
NON U.S. 10 8,621 5.5 1,862 1.2
---- --------- ---- --------- ----
11 12,731 8.1 1,920 1.2
02/07/06 NYBT NEW ZEALAND DOLLAR NON U.S. 5 1,063 40.2 528 20.0 2,643
02/07/06 CME NEW ZEALAND DOLLAR U.S. 2 469 3.1 4 0.0 15,200
NON U.S. 5 1,956 12.9 3,262 21.5
---- --------- ---- --------- ----
7 2,425 16.0 3,266 21.5
02/07/06 NYBT SOUTH AFRICAN RAND NON U.S. 6 1,383 34.9 0 0.0 3,965
02/07/06 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 3,532 9.2 3,466 9.0 38,482
NON U.S. 11 3,205 8.3 6,365 16.5
---- --------- ---- --------- ----
15 6,737 17.5 9,831 25.5
02/07/06 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2 0 0.0 825 0.9 89,430
NON U.S. 5 25,416 28.4 519 0.6
---- --------- ---- --------- ----
7 25,416 28.4 1,344 1.5
02/07/06 CME 3-MONTH EURODOLLARS U.S. 12 561,345 6.0 864,305 9.3 9,319,955
NON U.S. 60 1,418,854 15.2 1,270,874 13.6
---- --------- ---- --------- ----
72 1,980,199 21.2 2,135,179 22.9
02/07/06 CME S&P 500 STOCK INDEX U.S. 7 15,923 2.4 1,673 0.3 662,796
NON U.S. 17 9,294 1.4 127,225 19.2
---- --------- ---- --------- ----
24 25,217 3.8 128,898 19.4
02/07/06 CME E-MINI S&P 500 STOCK INDEX U.S. 5 63,460 5.4 1,490 0.1 1,183,852
NON U.S. 27 28,475 2.4 74,297 6.3
---- --------- ---- --------- ----
32 91,935 7.8 75,787 6.4
02/07/06 NYBT BRIT POUND/SWISS FRANC XRATE U.S. 1 0 0.0 1,371 35.3 3,889
NON U.S. 4 391 10.1 2,019 51.9
---- --------- ---- --------- ----
5 391 10.1 3,390 87.2
02/07/06 CME NASDAQ-100 STOCK INDEX U.S. 6 1,717 2.8 14,507 23.8 61,046
NON U.S. 16 4,609 7.6 1,842 3.0
---- --------- ---- --------- ----
22 6,326 10.4 16,349 26.8
02/07/06 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 5 732 0.2 8,248 2.3 357,859
NON U.S. 27 64,834 18.1 4,356 1.2
---- --------- ---- --------- ----
32 65,566 18.3 12,604 3.5
02/07/06 CME AUSTRALIAN DOLLAR U.S. 5 2,590 3.8 4,423 6.5 68,525
NON U.S. 5 7,902 11.5 7,650 11.2
---- --------- ---- --------- ----
10 10,492 15.3 12,073 17.6
02/07/06 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 4 321 1.1 2,766 9.4 29,398
NON U.S. 4 1,833 6.2 288 1.0
---- --------- ---- --------- ----
8 2,154 7.3 3,054 10.4
02/07/06 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 3 1,292 0.5 14,923 5.5 271,551
NON U.S. 8 53,678 19.8 1,272 0.5
---- --------- ---- --------- ----
11 54,970 20.2 16,195 6.0
02/07/06 CME NIKKEI STOCK AVERAGE U.S. 1 0 0.0 4,001 6.8 59,178
NON U.S. 16 2,384 4.0 7,323 12.4
---- --------- ---- --------- ----
17 2,384 4.0 11,324 19.1
02/07/06 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 2 2,254 6.1 0 0.0 36,764
NON U.S. 6 1,494 4.1 298 0.8
---- --------- ---- --------- ----
8 3,748 10.2 298 0.8
02/07/06 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 3 0 0.0 10,812 32.8 32,959
NON U.S. 2 0 0.0 2,101 6.4
---- --------- ---- --------- ----
5 0 0.0 12,913 39.2
02/07/06 NYBT BRITISH POUND/JPN YEN XRATE NON U.S. 5 1,316 15.5 1,686 19.8 8,495
02/07/06 NYBT EURO FX/JAPANESE YEN XRATE U.S. 3 0 0.0 2,212 7.4 29,800
NON U.S. 6 2,793 9.4 10,219 34.3
---- --------- ---- --------- ----
9 2,793 9.4 12,431 41.7
02/07/06 CME 3-MO. EUROYEN TIBOR U.S. 3 650 1.5 1,120 2.7 42,052
NON U.S. 23 5,519 13.1 16,104 38.3
---- --------- ---- --------- ----
26 6,169 14.7 17,224 41.0
02/07/06 NYBT EURO FX/BRITISH POUND XRATE NON U.S. 7 5,075 56.2 830 9.2 9,036
02/07/06 NYBT EURO FX/NORWEGIAN KRONE XRATE NON U.S. 6 0 0.0 930 34.2 2,721
02/07/06 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 3 500 10.4 180 3.7 4,817
NON U.S. 2 855 17.7 425 8.8
---- --------- ---- --------- ----
5 1,355 28.1 605 12.6