BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
07/03/06 CBT WHEAT U.S. 1 9,861 2.1 0 0.0 458,965
NON U.S. 11 71,509 15.6 2,343 0.5
---- --------- ---- --------- ----
12 81,370 17.7 2,343 0.5
07/03/06 KCBT WHEAT U.S. 1 1,420 0.9 0 0.0 163,121
NON U.S. 6 6,804 4.2 0 0.0
---- --------- ---- --------- ----
7 8,224 5.0 0 0.0
07/03/06 CBT CORN U.S. 1 21,529 1.6 125 0.0 1,327,482
NON U.S. 9 124,294 9.4 1,339 0.1
---- --------- ---- --------- ----
10 145,823 11.0 1,464 0.1
07/03/06 CBT SOYBEANS U.S. 1 8,219 2.5 0 0.0 331,145
NON U.S. 9 23,580 7.1 785 0.2
---- --------- ---- --------- ----
10 31,799 9.6 785 0.2
07/03/06 CBT SOYBEAN OIL U.S. 1 3,947 1.6 0 0.0 245,547
NON U.S. 6 13,386 5.5 56 0.0
---- --------- ---- --------- ----
7 17,333 7.1 56 0.0
07/03/06 CBT U.S. TREASURY BONDS U.S. 4 8,697 1.2 18,053 2.4 743,619
NON U.S. 17 16,987 2.3 16,997 2.3
---- --------- ---- --------- ----
21 25,684 3.5 35,050 4.7
07/03/06 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 3 8,109 4.8 547 0.3 168,365
NON U.S. 6 9,481 5.6 2,607 1.5
---- --------- ---- --------- ----
9 17,590 10.4 3,154 1.9
07/03/06 NYME NATURAL GAS U.S. 6 38,901 4.6 50,459 5.9 849,611
NON U.S. 11 35,166 4.1 75,882 8.9
---- --------- ---- --------- ----
17 74,067 8.7 126,341 14.9
07/03/06 NYME PERMIAN BASIS SWAP U.S. 4 7,772 15.7 3,863 7.8 49,593
NON U.S. 3 1,307 2.6 3,992 8.0
---- --------- ---- --------- ----
7 9,079 18.3 7,855 15.8
07/03/06 NYME M-3 BASIS SWAP U.S. 2 1,520 1.3 0 0.0 118,992
NON U.S. 3 3,857 3.2 1,156 1.0
---- --------- ---- --------- ----
5 5,377 4.5 1,156 1.0
07/03/06 NYME MALIN BASIS SWAP U.S. 1 739 0.9 2,785 3.5 79,494
NON U.S. 5 3,704 4.7 4,886 6.1
---- --------- ---- --------- ----
6 4,443 5.6 7,671 9.6
07/03/06 NYME PG&E CITYGATE BASIS SWAP U.S. 2 0 0.0 1,219 2.0 59,870
NON U.S. 3 486 0.8 6,182 10.3
---- --------- ---- --------- ----
5 486 0.8 7,401 12.4
07/03/06 NYME NGPL TEXOK BASIS SWAP U.S. 3 8,194 6.8 604 0.5 120,152
NON U.S. 3 492 0.4 744 0.6
---- --------- ---- --------- ----
6 8,686 7.2 1,348 1.1
07/03/06 NYME SUMAS BASIS SWAP U.S. 3 4,569 11.6 32 0.1 39,449
NON U.S. 6 6,409 16.2 2,601 6.6
---- --------- ---- --------- ----
9 10,978 27.8 2,633 6.7
07/03/06 NYME DOMINION BASIS SWAP U.S. 3 1,210 1.3 572 0.6 90,144
NON U.S. 2 0 0.0 1,081 1.2
---- --------- ---- --------- ----
5 1,210 1.3 1,653 1.8
07/03/06 NYME WAHA BASIS SWAP U.S. 3 4,075 5.0 1,468 1.8 81,860
NON U.S. 3 4,480 5.5 4,188 5.1
---- --------- ---- --------- ----
6 8,555 10.5 5,656 6.9
07/03/06 NYME CIG BASIS SWAP U.S. 5 4,232 6.7 5,874 9.3 63,482
NON U.S. 6 184 0.3 19,228 30.3
---- --------- ---- --------- ----
11 4,416 7.0 25,102 39.5
07/03/06 CME 1-MONTH LIBOR RATE U.S. 1 3,217 5.0 770 1.2 64,726
NON U.S. 7 13,100 20.2 12,074 18.7
---- --------- ---- --------- ----
8 16,317 25.2 12,844 19.8
07/03/06 NYBT COTTON NO. 2 U.S. 1 7,157 4.5 0 0.0 160,702
NON U.S. 8 14,654 9.1 332 0.2
---- --------- ---- --------- ----
9 21,811 13.6 332 0.2
07/03/06 NYME ALBERTA BASIS SWAP U.S. 5 7,829 4.4 11,997 6.7 178,945
NON U.S. 7 13,222 7.4 49,926 27.9
---- --------- ---- --------- ----
12 21,051 11.8 61,923 34.6
07/03/06 NYME CHICAGO BASIS SWAP U.S. 1 524 0.6 1,094 1.3 81,677
NON U.S. 4 4,370 5.4 1,098 1.3
---- --------- ---- --------- ----
5 4,894 6.0 2,192 2.7
07/03/06 NYME HOUSTON SHIP CH BASIS SWAP U.S. 6 7,778 3.0 14,331 5.6 255,796
NON U.S. 5 8,296 3.2 29,031 11.3
---- --------- ---- --------- ----
11 16,074 6.3 43,362 17.0
07/03/06 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 12,537 8.3 5,965 4.0 150,775
NON U.S. 6 8,396 5.6 18,463 12.2
---- --------- ---- --------- ----
11 20,933 13.9 24,428 16.2
07/03/06 NYME PANHANDLE BASIS SWAP U.S. 5 3,038 2.0 13,541 8.9 152,044
NON U.S. 5 13,531 8.9 7,991 5.3
---- --------- ---- --------- ----
10 16,569 10.9 21,532 14.2
07/03/06 NYME SAN JUAN BASIS SWAP U.S. 5 5,412 14.1 5,188 13.5 38,396
NON U.S. 4 636 1.7 4,670 12.2
---- --------- ---- --------- ----
9 6,048 15.8 9,858 25.7
07/03/06 NYME SOCAL BASIS SWAP U.S. 5 8,104 4.8 9,504 5.6 169,084
NON U.S. 5 4,109 2.4 9,905 5.9
---- --------- ---- --------- ----
10 12,213 7.2 19,409 11.5
07/03/06 NYME TRANSCO ZONE 6 BASIS SWAP NON U.S. 5 540 1.0 606 1.1 56,259
07/03/06 NYME HENRY HUB GAS SWAP U.S. 6 93,505 3.7 200,349 7.9 2,524,182
NON U.S. 8 229,103 9.1 508,022 20.1
---- --------- ---- --------- ----
14 322,608 12.8 708,371 28.1
07/03/06 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 4 9,466 1.7 18,741 3.3 569,098
NON U.S. 7 174,403 30.6 98,872 17.4
---- --------- ---- --------- ----
11 183,869 32.3 117,613 20.7
07/03/06 CBT 2-YEAR U.S. TREASURY NOTES U.S. 4 12,850 2.4 15,856 2.9 544,836
NON U.S. 20 12,323 2.3 34,228 6.3
---- --------- ---- --------- ----
24 25,173 4.6 50,084 9.2
07/03/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 5 20,666 1.0 21,927 1.0 2,136,459
NON U.S. 35 74,285 3.5 92,701 4.3
---- --------- ---- --------- ----
40 94,951 4.4 114,628 5.4
07/03/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 16,684 1.3 14,580 1.2 1,237,178
NON U.S. 30 71,247 5.8 56,925 4.6
---- --------- ---- --------- ----
34 87,931 7.1 71,505 5.8
07/03/06 CBT 30-DAY FEDERAL FUNDS U.S. 6 73,735 13.2 14,553 2.6 558,641
NON U.S. 29 83,318 14.9 72,327 12.9
---- --------- ---- --------- ----
35 157,053 28.1 86,880 15.6
07/03/06 CME LEAN HOGS U.S. 1 4,898 3.0 0 0.0 162,959
NON U.S. 6 13,779 8.5 0 0.0
---- --------- ---- --------- ----
7 18,677 11.5 0 0.0
07/03/06 CME LIVE CATTLE U.S. 2 7,915 3.5 1,832 0.8 223,722
NON U.S. 5 14,549 6.5 0 0.0
---- --------- ---- --------- ----
7 22,464 10.0 1,832 0.8
07/03/06 CME FEEDER CATTLE U.S. 2 332 1.1 131 0.4 29,566
NON U.S. 4 1,096 3.7 0 0.0
---- --------- ---- --------- ----
6 1,428 4.8 131 0.4
07/03/06 NYME PJM ELECTRICITY MONTHLY U.S. 2 1,960 3.9 2,776 5.5 50,587
NON U.S. 3 1,808 3.6 928 1.8
---- --------- ---- --------- ----
5 3,768 7.4 3,704 7.3
07/03/06 NYME PJM CAL MONTH OFF PK LMP SWAP U.S. 2 4,640 17.3 356 1.3 26,839
NON U.S. 3 2,388 8.9 550 2.0
---- --------- ---- --------- ----
5 7,028 26.2 906 3.4
07/03/06 NYME CRUDE OIL, LIGHT SWEET U.S. 5 38,167 3.8 56,868 5.6 1,013,523
NON U.S. 15 70,089 6.9 70,956 7.0
---- --------- ---- --------- ----
20 108,256 10.7 127,824 12.6
07/03/06 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 2 295 0.6 3,463 7.5 46,455
NON U.S. 4 5,151 11.1 2,279 4.9
---- --------- ---- --------- ----
6 5,446 11.7 5,742 12.4
07/03/06 NYBT COCOA U.S. 1 410 0.3 0 0.0 133,951
NON U.S. 8 3,879 2.9 4,178 3.1
---- --------- ---- --------- ----
9 4,289 3.2 4,178 3.1
07/03/06 NYME PALLADIUM U.S. 2 0 0.0 501 3.7 13,423
NON U.S. 10 296 2.2 3,142 23.4
---- --------- ---- --------- ----
12 296 2.2 3,643 27.1
07/03/06 NYME PLATINUM U.S. 1 28 0.4 86 1.2 7,338
NON U.S. 5 1,007 13.7 803 10.9
---- --------- ---- --------- ----
6 1,035 14.1 889 12.1
07/03/06 NYBT SUGAR NO. 11 U.S. 2 8,104 1.9 1,058 0.2 427,937
NON U.S. 9 36,199 8.5 19,083 4.5
---- --------- ---- --------- ----
11 44,303 10.4 20,141 4.7
07/03/06 NYBT COFFEE C U.S. 1 1,929 1.7 0 0.0 115,862
NON U.S. 11 8,764 7.6 4,523 3.9
---- --------- ---- --------- ----
12 10,693 9.2 4,523 3.9
07/03/06 CMX SILVER U.S. 3 4,845 5.0 6,765 6.9 97,874
NON U.S. 9 4,351 4.4 2,434 2.5
---- --------- ---- --------- ----
12 9,196 9.4 9,199 9.4
07/03/06 CMX COPPER-GRADE #1 U.S. 3 2,409 3.3 101 0.1 72,880
NON U.S. 7 6,371 8.7 975 1.3
---- --------- ---- --------- ----
10 8,780 12.0 1,076 1.5
07/03/06 CBT GOLD, 100 TROY OZ U.S. 2 0 0.0 6,465 28.1 23,014
NON U.S. 3 0 0.0 2,711 11.8
---- --------- ---- --------- ----
5 0 0.0 9,176 39.9
07/03/06 CMX GOLD U.S. 4 2,241 0.8 25,177 8.6 292,500
NON U.S. 18 5,009 1.7 45,242 15.5
---- --------- ---- --------- ----
22 7,250 2.5 70,419 24.1
07/03/06 CME RUSSIAN RUBLE NON U.S. 5 180 1.8 9,704 95.4 10,172
07/03/06 CME CANADIAN DOLLAR U.S. 5 2,893 3.1 4,271 4.6 93,841
NON U.S. 9 4,966 5.3 18,219 19.4
---- --------- ---- --------- ----
14 7,859 8.4 22,490 24.0
07/03/06 CME SWISS FRANC U.S. 4 1,438 2.4 1,000 1.7 58,809
NON U.S. 5 24,419 41.5 5,178 8.8
---- --------- ---- --------- ----
9 25,857 44.0 6,178 10.5
07/03/06 CME MEXICAN PESO U.S. 4 7,880 9.3 21,877 25.7 85,075
NON U.S. 6 9,574 11.3 22,379 26.3
---- --------- ---- --------- ----
10 17,454 20.5 44,256 52.0
07/03/06 CME BRITISH POUND STERLING U.S. 6 2,622 3.3 6,024 7.7 78,658
NON U.S. 5 2,253 2.9 13,623 17.3
---- --------- ---- --------- ----
11 4,875 6.2 19,647 25.0
07/03/06 CME JAPANESE YEN U.S. 8 21,372 12.7 3,754 2.2 168,688
NON U.S. 9 27,986 16.6 2,794 1.7
---- --------- ---- --------- ----
17 49,358 29.3 6,548 3.9
07/03/06 CME EURO FX U.S. 5 261 0.2 8,633 5.3 162,104
NON U.S. 22 7,612 4.7 36,276 22.4
---- --------- ---- --------- ----
27 7,873 4.9 44,909 27.7
07/03/06 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 2 3,907 4.4 665 0.7 89,276
NON U.S. 4 5,324 6.0 741 0.8
---- --------- ---- --------- ----
6 9,231 10.3 1,406 1.6
07/03/06 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 1 1,030 2.0 0 0.0 50,645
NON U.S. 5 2,472 4.9 1,135 2.2
---- --------- ---- --------- ----
6 3,502 6.9 1,135 2.2
07/03/06 NYBT NEW ZEALAND DOLLAR U.S. 1 1,569 56.1 0 0.0 2,798
NON U.S. 4 670 23.9 143 5.1
---- --------- ---- --------- ----
5 2,239 80.0 143 5.1
07/03/06 NYBT SOUTH AFRICAN RAND U.S. 2 0 0.0 286 14.3 2,002
NON U.S. 4 272 13.6 1,641 82.0
---- --------- ---- --------- ----
6 272 13.6 1,927 96.3
07/03/06 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 3,610 6.7 3,913 7.2 54,276
NON U.S. 8 2,435 4.5 6,310 11.6
---- --------- ---- --------- ----
12 6,045 11.1 10,223 18.8
07/03/06 CME 3-MONTH EURODOLLARS U.S. 11 682,685 7.2 795,849 8.4 9,525,090
NON U.S. 66 1,166,045 12.2 1,046,259 11.0
---- --------- ---- --------- ----
77 1,848,730 19.4 1,842,108 19.3
07/03/06 CME S&P 500 STOCK INDEX U.S. 6 8,979 1.4 5,650 0.9 623,220
NON U.S. 18 5,783 0.9 71,791 11.5
---- --------- ---- --------- ----
24 14,762 2.4 77,441 12.4
07/03/06 CME E-MINI S&P 500 STOCK INDEX U.S. 5 29,234 2.2 5,438 0.4 1,332,529
NON U.S. 32 46,628 3.5 77,566 5.8
---- --------- ---- --------- ----
37 75,862 5.7 83,004 6.2
07/03/06 CME NASDAQ-100 STOCK INDEX U.S. 4 1,684 3.2 7,170 13.8 52,018
NON U.S. 16 12,436 23.9 4,192 8.1
---- --------- ---- --------- ----
20 14,120 27.1 11,362 21.8
07/03/06 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 6 1,416 0.4 9,336 2.9 325,610
NON U.S. 27 26,739 8.2 5,876 1.8
---- --------- ---- --------- ----
33 28,155 8.6 15,212 4.7
07/03/06 CME AUSTRALIAN DOLLAR NON U.S. 6 3,279 7.2 8,814 19.3 45,680
07/03/06 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 4 567 1.7 1,758 5.2 33,583
NON U.S. 6 1,094 3.3 547 1.6
---- --------- ---- --------- ----
10 1,661 4.9 2,305 6.9
07/03/06 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 3 45 0.0 27,015 6.3 427,029
NON U.S. 11 61,770 14.5 10,416 2.4
---- --------- ---- --------- ----
14 61,815 14.5 37,431 8.8
07/03/06 CME NIKKEI STOCK AVERAGE NON U.S. 13 2,305 6.0 5,074 13.3 38,138
07/03/06 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 4 2,131 5.8 0 0.0 36,550
NON U.S. 9 2,107 5.8 357 1.0
---- --------- ---- --------- ----
13 4,238 11.6 357 1.0
07/03/06 NYBT BRITISH POUND/JPN YEN XRATE U.S. 2 61 0.8 301 3.9 7,794
NON U.S. 4 473 6.1 1,823 23.4
---- --------- ---- --------- ----
6 534 6.9 2,124 27.3
07/03/06 NYBT EURO FX/JAPANESE YEN XRATE U.S. 2 0 0.0 2,706 8.3 32,715
NON U.S. 8 102 0.3 7,617 23.3
---- --------- ---- --------- ----
10 102 0.3 10,323 31.6
07/03/06 CME 3-MO. EUROYEN TIBOR U.S. 6 1,584 4.5 3,814 10.8 35,460
NON U.S. 20 3,722 10.5 9,400 26.5
---- --------- ---- --------- ----
26 5,306 15.0 13,214 37.3
07/03/06 NYBT EURO FX/BRITISH POUND XRATE U.S. 1 0 0.0 545 5.7 9,489
NON U.S. 7 3,837 40.4 1,481 15.6
---- --------- ---- --------- ----
8 3,837 40.4 2,026 21.4
07/03/06 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 3 335 6.2 410 7.6 5,386
NON U.S. 3 0 0.0 741 13.8
---- --------- ---- --------- ----
6 335 6.2 1,151 21.4