BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
01/03/06 CBT WHEAT U.S. 1 10,846 3.5 100 0.0 305,901
NON U.S. 9 51,980 17.0 2,864 0.9
---- --------- ---- --------- ----
10 62,826 20.5 2,964 1.0
01/03/06 KCBT WHEAT U.S. 1 1,647 1.2 0 0.0 132,679
NON U.S. 6 4,592 3.5 355 0.3
---- --------- ---- --------- ----
7 6,239 4.7 355 0.3
01/03/06 CBT CORN U.S. 1 18,328 2.3 416 0.1 812,444
NON U.S. 9 79,034 9.7 3,450 0.4
---- --------- ---- --------- ----
10 97,362 12.0 3,866 0.5
01/03/06 CBT SOYBEANS U.S. 1 7,813 2.7 0 0.0 287,751
NON U.S. 6 16,568 5.8 159 0.1
---- --------- ---- --------- ----
7 24,381 8.5 159 0.1
01/03/06 CBT SOYBEAN OIL U.S. 1 4,235 2.4 0 0.0 173,003
NON U.S. 4 9,296 5.4 0 0.0
---- --------- ---- --------- ----
5 13,531 7.8 0 0.0
01/03/06 CBT U.S. TREASURY BONDS U.S. 3 9,665 1.6 30,118 5.0 602,420
NON U.S. 11 7,246 1.2 14,957 2.5
---- --------- ---- --------- ----
14 16,911 2.8 45,075 7.5
01/03/06 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 1 5,252 3.2 1,131 0.7 165,284
NON U.S. 5 12,065 7.3 1,925 1.2
---- --------- ---- --------- ----
6 17,317 10.5 3,056 1.8
01/03/06 NYME NATURAL GAS U.S. 5 25,017 4.6 24,213 4.4 548,695
NON U.S. 10 25,170 4.6 39,912 7.3
---- --------- ---- --------- ----
15 50,187 9.1 64,125 11.7
01/03/06 NYME MICHCON BASIS SWAP U.S. 1 80 0.2 288 0.6 46,649
NON U.S. 4 354 0.8 14,144 30.3
---- --------- ---- --------- ----
5 434 0.9 14,432 30.9
01/03/06 NYME MALIN BASIS SWAP U.S. 1 61 0.1 5,519 9.0 61,383
NON U.S. 4 6,622 10.8 1,058 1.7
---- --------- ---- --------- ----
5 6,683 10.9 6,577 10.7
01/03/06 NYME PG&E CITYGATE BASIS SWAP U.S. 2 856 1.3 1,908 2.9 66,543
NON U.S. 3 2,881 4.3 1,714 2.6
---- --------- ---- --------- ----
5 3,737 5.6 3,622 5.4
01/03/06 NYME SUMAS BASIS SWAP U.S. 4 3,499 7.9 177 0.4 44,444
NON U.S. 5 4,517 10.2 521 1.2
---- --------- ---- --------- ----
9 8,016 18.0 698 1.6
01/03/06 NYME NGPL MID-CON BASIS SWAP U.S. 2 90 0.2 31 0.1 50,499
NON U.S. 3 4,027 8.0 730 1.4
---- --------- ---- --------- ----
5 4,117 8.2 761 1.5
01/03/06 NYME CIG BASIS SWAP U.S. 4 1,556 2.7 2,931 5.2 56,818
NON U.S. 4 1,839 3.2 21,933 38.6
---- --------- ---- --------- ----
8 3,395 6.0 24,864 43.8
01/03/06 CME 1-MONTH LIBOR RATE U.S. 2 1,551 3.2 11,021 23.0 47,914
NON U.S. 10 6,177 12.9 17,664 36.9
---- --------- ---- --------- ----
12 7,728 16.1 28,685 59.9
01/03/06 NYBT COTTON NO. 2 U.S. 1 3,847 3.5 0 0.0 109,473
NON U.S. 8 10,635 9.7 101 0.1
---- --------- ---- --------- ----
9 14,482 13.2 101 0.1
01/03/06 NYME ALBERTA BASIS SWAP U.S. 4 6,174 3.9 1,583 1.0 157,495
NON U.S. 6 9,184 5.8 48,784 31.0
---- --------- ---- --------- ----
10 15,358 9.8 50,367 32.0
01/03/06 NYME HOUSTON SHIP CH BASIS SWAP U.S. 4 2,096 1.3 8,263 5.3 156,150
NON U.S. 5 3,560 2.3 25,473 16.3
---- --------- ---- --------- ----
9 5,656 3.6 33,736 21.6
01/03/06 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 7,884 5.2 1,373 0.9 153,008
NON U.S. 6 10,760 7.0 11,700 7.6
---- --------- ---- --------- ----
11 18,644 12.2 13,073 8.5
01/03/06 NYME PANHANDLE BASIS SWAP U.S. 5 2,533 1.9 13,517 10.3 131,543
NON U.S. 4 13,436 10.2 461 0.4
---- --------- ---- --------- ----
9 15,969 12.1 13,978 10.6
01/03/06 NYME SAN JUAN BASIS SWAP U.S. 5 1,800 6.3 2,633 9.2 28,627
NON U.S. 3 630 2.2 664 2.3
---- --------- ---- --------- ----
8 2,430 8.5 3,297 11.5
01/03/06 NYME SOCAL BASIS SWAP U.S. 4 11,875 8.1 2,967 2.0 146,230
NON U.S. 5 6,141 4.2 3,520 2.4
---- --------- ---- --------- ----
9 18,016 12.3 6,487 4.4
01/03/06 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 713 1.4 4,312 8.2 52,730
NON U.S. 3 1,194 2.3 275 0.5
---- --------- ---- --------- ----
5 1,907 3.6 4,587 8.7
01/03/06 NYME HENRY HUB GAS SWAP U.S. 6 20,247 1.5 170,284 12.6 1,355,411
NON U.S. 8 88,347 6.5 198,456 14.6
---- --------- ---- --------- ----
14 108,594 8.0 368,740 27.2
01/03/06 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 4 12,230 4.3 2,516 0.9 287,310
NON U.S. 7 71,872 25.0 62,825 21.9
---- --------- ---- --------- ----
11 84,102 29.3 65,341 22.7
01/03/06 CBT 2-YEAR U.S. TREASURY NOTES U.S. 4 9,995 2.5 4,123 1.0 403,781
NON U.S. 21 25,182 6.2 20,920 5.2
---- --------- ---- --------- ----
25 35,177 8.7 25,043 6.2
01/03/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 7,419 0.5 32,902 2.1 1,563,688
NON U.S. 32 37,640 2.4 78,376 5.0
---- --------- ---- --------- ----
38 45,059 2.9 111,278 7.1
01/03/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 16,191 1.5 27,721 2.6 1,072,692
NON U.S. 23 89,698 8.4 59,374 5.5
---- --------- ---- --------- ----
28 105,889 9.9 87,095 8.1
01/03/06 CBT 30-DAY FEDERAL FUNDS U.S. 4 28,706 6.1 24,681 5.2 473,954
NON U.S. 23 51,678 10.9 140,092 29.6
---- --------- ---- --------- ----
27 80,384 17.0 164,773 34.8
01/03/06 CME LEAN HOGS U.S. 1 4,565 3.6 0 0.0 126,690
NON U.S. 4 8,724 6.9 0 0.0
---- --------- ---- --------- ----
5 13,289 10.5 0 0.0
01/03/06 CME LIVE CATTLE U.S. 2 5,206 2.6 1,370 0.7 199,893
NON U.S. 4 10,463 5.2 0 0.0
---- --------- ---- --------- ----
6 15,669 7.8 1,370 0.7
01/03/06 NYME PJM ELECTRICITY MONTHLY U.S. 2 520 0.7 2,680 3.6 74,070
NON U.S. 3 1,816 2.5 1,316 1.8
---- --------- ---- --------- ----
5 2,336 3.2 3,996 5.4
01/03/06 NYME NYISO ZONE A LBMP SWAP U.S. 2 7,695 29.3 299 1.1 26,264
NON U.S. 3 842 3.2 3,564 13.6
---- --------- ---- --------- ----
5 8,537 32.5 3,863 14.7
01/03/06 NYME CRUDE OIL, LIGHT SWEET U.S. 5 27,640 3.3 60,951 7.2 849,868
NON U.S. 16 80,862 9.5 60,344 7.1
---- --------- ---- --------- ----
21 108,502 12.8 121,295 14.3
01/03/06 NYBT COCOA U.S. 1 409 0.3 0 0.0 130,473
NON U.S. 6 1,899 1.5 1,535 1.2
---- --------- ---- --------- ----
7 2,308 1.8 1,535 1.2
01/03/06 NYME PALLADIUM U.S. 1 0 0.0 242 1.7 13,930
NON U.S. 8 535 3.8 3,194 22.9
---- --------- ---- --------- ----
9 535 3.8 3,436 24.7
01/03/06 NYME PLATINUM NON U.S. 6 422 4.5 432 4.6 9,381
01/03/06 NYBT SUGAR NO. 11 U.S. 1 11,059 2.1 0 0.0 532,712
NON U.S. 8 24,304 4.6 11,062 2.1
---- --------- ---- --------- ----
9 35,363 6.6 11,062 2.1
01/03/06 NYBT COFFEE C U.S. 1 2,143 2.6 0 0.0 82,671
NON U.S. 10 6,532 7.9 4,366 5.3
---- --------- ---- --------- ----
11 8,675 10.5 4,366 5.3
01/03/06 CMX SILVER U.S. 2 116 0.1 16,660 12.7 131,555
NON U.S. 9 1,174 0.9 18,929 14.4
---- --------- ---- --------- ----
11 1,290 1.0 35,589 27.1
01/03/06 CMX COPPER-GRADE #1 U.S. 2 3,925 3.8 22 0.0 103,466
NON U.S. 7 7,501 7.2 2,009 1.9
---- --------- ---- --------- ----
9 11,426 11.0 2,031 2.0
01/03/06 CMX GOLD U.S. 4 928 0.3 76,099 23.4 325,524
NON U.S. 20 9,434 2.9 55,755 17.1
---- --------- ---- --------- ----
24 10,362 3.2 131,854 40.5
01/03/06 CME CANADIAN DOLLAR U.S. 5 544 0.5 4,585 4.4 105,401
NON U.S. 9 4,733 4.5 24,305 23.1
---- --------- ---- --------- ----
14 5,277 5.0 28,890 27.4
01/03/06 CME SWISS FRANC U.S. 3 2,674 3.5 1,992 2.6 77,368
NON U.S. 5 10,753 13.9 2,385 3.1
---- --------- ---- --------- ----
8 13,427 17.4 4,377 5.7
01/03/06 CME MEXICAN PESO U.S. 4 6,067 6.6 2,416 2.6 91,750
NON U.S. 5 575 0.6 35,026 38.2
---- --------- ---- --------- ----
9 6,642 7.2 37,442 40.8
01/03/06 CME BRITISH POUND STERLING U.S. 4 1,311 1.9 356 0.5 69,591
NON U.S. 3 10,928 15.7 16 0.0
---- --------- ---- --------- ----
7 12,239 17.6 372 0.5
01/03/06 CME JAPANESE YEN U.S. 4 26,237 16.8 2,361 1.5 155,722
NON U.S. 7 17,567 11.3 12,576 8.1
---- --------- ---- --------- ----
11 43,804 28.1 14,937 9.6
01/03/06 CME EURO FX U.S. 4 0 0.0 4,308 3.6 119,238
NON U.S. 16 7,793 6.5 8,683 7.3
---- --------- ---- --------- ----
20 7,793 6.5 12,991 10.9
01/03/06 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 1 5,402 3.9 36 0.0 137,346
NON U.S. 5 9,057 6.6 2,262 1.6
---- --------- ---- --------- ----
6 14,459 10.5 2,298 1.7
01/03/06 NYBT NEW ZEALAND DOLLAR NON U.S. 6 1,070 41.1 421 16.2 2,602
01/03/06 CME NEW ZEALAND DOLLAR NON U.S. 5 1,015 8.3 3,242 26.6 12,189
01/03/06 NYBT SOUTH AFRICAN RAND NON U.S. 5 907 20.7 0 0.0 4,382
01/03/06 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 3,939 10.5 985 2.6 37,453
NON U.S. 11 3,053 8.2 3,896 10.4
---- --------- ---- --------- ----
15 6,992 18.7 4,881 13.0
01/03/06 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 1 0 0.0 548 0.8 64,949
NON U.S. 4 11,658 17.9 395 0.6
---- --------- ---- --------- ----
5 11,658 17.9 943 1.5
01/03/06 CME 3-MONTH EURODOLLARS U.S. 12 835,856 9.6 835,794 9.6 8,667,962
NON U.S. 55 1,184,961 13.7 1,251,136 14.4
---- --------- ---- --------- ----
67 2,020,817 23.3 2,086,930 24.1
01/03/06 CME S&P 500 STOCK INDEX U.S. 5 17,874 2.8 199 0.0 642,586
NON U.S. 11 4,306 0.7 118,823 18.5
---- --------- ---- --------- ----
16 22,180 3.5 119,022 18.5
01/03/06 CME E-MINI S&P 500 STOCK INDEX U.S. 4 67,405 6.3 481 0.0 1,066,114
NON U.S. 26 32,080 3.0 81,787 7.7
---- --------- ---- --------- ----
30 99,485 9.3 82,268 7.7
01/03/06 NYBT BRIT POUND/SWISS FRANC XRATE U.S. 1 0 0.0 1,371 41.6 3,293
NON U.S. 4 132 4.0 1,281 38.9
---- --------- ---- --------- ----
5 132 4.0 2,652 80.5
01/03/06 CME NASDAQ-100 STOCK INDEX U.S. 5 1,657 2.8 11,180 19.1 58,601
NON U.S. 14 6,097 10.4 2,119 3.6
---- --------- ---- --------- ----
19 7,754 13.2 13,299 22.7
01/03/06 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 4 1,964 0.6 2,948 0.9 321,543
NON U.S. 23 41,763 13.0 1,814 0.6
---- --------- ---- --------- ----
27 43,727 13.6 4,762 1.5
01/03/06 CME AUSTRALIAN DOLLAR U.S. 4 1,756 2.9 1,240 2.1 60,245
NON U.S. 4 12,767 21.2 2,971 4.9
---- --------- ---- --------- ----
8 14,523 24.1 4,211 7.0
01/03/06 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 3 404 1.4 892 3.1 28,879
NON U.S. 6 2,630 9.1 341 1.2
---- --------- ---- --------- ----
9 3,034 10.5 1,233 4.3
01/03/06 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 3 65 0.0 16,380 6.0 274,806
NON U.S. 8 47,287 17.2 1,826 0.7
---- --------- ---- --------- ----
11 47,352 17.2 18,206 6.6
01/03/06 CME NIKKEI STOCK AVERAGE U.S. 1 0 0.0 4,068 7.5 54,588
NON U.S. 10 2,770 5.1 5,771 10.6
---- --------- ---- --------- ----
11 2,770 5.1 9,839 18.0
01/03/06 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 1 718 2.3 0 0.0 31,791
NON U.S. 5 985 3.1 1,681 5.3
---- --------- ---- --------- ----
6 1,703 5.4 1,681 5.3
01/03/06 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 3 1,123 3.3 8,573 25.2 34,058
NON U.S. 2 0 0.0 4,609 13.5
---- --------- ---- --------- ----
5 1,123 3.3 13,182 38.7
01/03/06 NYBT EURO FX/JAPANESE YEN XRATE U.S. 2 1,000 4.8 473 2.3 20,649
NON U.S. 6 2,573 12.5 6,455 31.3
---- --------- ---- --------- ----
8 3,573 17.3 6,928 33.6
01/03/06 NYBT EURO FX/SWISS FRANC XRATE U.S. 2 0 0.0 1,519 13.0 11,662
NON U.S. 3 0 0.0 4,070 34.9
---- --------- ---- --------- ----
5 0 0.0 5,589 47.9
01/03/06 CME 3-MO. EUROYEN TIBOR U.S. 2 150 0.4 1,120 3.1 35,826
NON U.S. 20 8,615 24.0 10,840 30.3
---- --------- ---- --------- ----
22 8,765 24.5 11,960 33.4
01/03/06 NYBT EURO FX/BRITISH POUND XRATE NON U.S. 6 2,482 42.7 785 13.5 5,806
01/03/06 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 3 660 10.2 135 2.1 6,487
NON U.S. 3 1,490 23.0 800 12.3
---- --------- ---- --------- ----
6 2,150 33.1 935 14.4