BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
06/06/06 CBT WHEAT U.S. 1 12,608 2.4 0 0.0 534,155
NON U.S. 12 74,497 13.9 11,103 2.1
---- --------- ---- --------- ----
13 87,105 16.3 11,103 2.1
06/06/06 KCBT WHEAT U.S. 1 2,014 1.4 0 0.0 147,756
NON U.S. 7 6,807 4.6 46 0.0
---- --------- ---- --------- ----
8 8,821 6.0 46 0.0
06/06/06 CBT CORN U.S. 1 25,591 1.9 0 0.0 1,347,142
NON U.S. 9 121,910 9.0 3,965 0.3
---- --------- ---- --------- ----
10 147,501 10.9 3,965 0.3
06/06/06 CBT SOYBEANS U.S. 1 9,205 2.4 0 0.0 383,302
NON U.S. 9 23,234 6.1 5,339 1.4
---- --------- ---- --------- ----
10 32,439 8.5 5,339 1.4
06/06/06 CBT SOYBEAN OIL U.S. 1 4,297 1.7 0 0.0 253,948
NON U.S. 6 13,217 5.2 50 0.0
---- --------- ---- --------- ----
7 17,514 6.9 50 0.0
06/06/06 CBT U.S. TREASURY BONDS U.S. 4 10,992 1.4 14,516 1.9 763,828
NON U.S. 17 16,376 2.1 19,525 2.6
---- --------- ---- --------- ----
21 27,368 3.6 34,041 4.5
06/06/06 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 2 7,091 4.3 219 0.1 165,373
NON U.S. 7 10,793 6.5 2,399 1.5
---- --------- ---- --------- ----
9 17,884 10.8 2,618 1.6
06/06/06 NYME NATURAL GAS U.S. 6 35,435 4.2 44,647 5.3 836,815
NON U.S. 12 33,815 4.0 65,764 7.9
---- --------- ---- --------- ----
18 69,250 8.3 110,411 13.2
06/06/06 NYME PERMIAN BASIS SWAP U.S. 4 8,826 15.8 5,150 9.2 55,768
NON U.S. 3 1,648 3.0 4,519 8.1
---- --------- ---- --------- ----
7 10,474 18.8 9,669 17.3
06/06/06 NYME M-3 BASIS SWAP U.S. 2 1,644 1.3 0 0.0 127,880
NON U.S. 3 3,981 3.1 1,218 1.0
---- --------- ---- --------- ----
5 5,625 4.4 1,218 1.0
06/06/06 NYME MALIN BASIS SWAP U.S. 2 959 1.2 2,935 3.6 82,355
NON U.S. 5 4,798 5.8 4,573 5.6
---- --------- ---- --------- ----
7 5,757 7.0 7,508 9.1
06/06/06 NYME PG&E CITYGATE BASIS SWAP U.S. 3 614 1.0 1,552 2.4 63,556
NON U.S. 3 486 0.8 6,771 10.7
---- --------- ---- --------- ----
6 1,100 1.7 8,323 13.1
06/06/06 NYME NGPL TEXOK BASIS SWAP U.S. 3 8,070 8.0 604 0.6 101,106
NON U.S. 2 492 0.5 142 0.1
---- --------- ---- --------- ----
5 8,562 8.5 746 0.7
06/06/06 NYME SUMAS BASIS SWAP U.S. 3 4,189 9.7 94 0.2 43,399
NON U.S. 5 6,338 14.6 3,029 7.0
---- --------- ---- --------- ----
8 10,527 24.3 3,123 7.2
06/06/06 NYME WAHA BASIS SWAP U.S. 3 4,559 5.8 1,468 1.9 79,253
NON U.S. 3 3,020 3.8 4,064 5.1
---- --------- ---- --------- ----
6 7,579 9.6 5,532 7.0
06/06/06 NYME CIG BASIS SWAP U.S. 5 3,140 5.3 5,892 9.9 59,225
NON U.S. 6 184 0.3 19,656 33.2
---- --------- ---- --------- ----
11 3,324 5.6 25,548 43.1
06/06/06 CME 1-MONTH LIBOR RATE U.S. 1 7,103 11.8 0 0.0 60,126
NON U.S. 8 12,429 20.7 10,849 18.0
---- --------- ---- --------- ----
9 19,532 32.5 10,849 18.0
06/06/06 NYBT COTTON NO. 2 U.S. 1 7,258 4.1 0 0.0 176,991
NON U.S. 10 14,825 8.4 294 0.2
---- --------- ---- --------- ----
11 22,083 12.5 294 0.2
06/06/06 NYME ALBERTA BASIS SWAP U.S. 5 9,034 5.2 7,534 4.3 174,547
NON U.S. 7 14,431 8.3 45,340 26.0
---- --------- ---- --------- ----
12 23,465 13.4 52,874 30.3
06/06/06 NYME CHICAGO BASIS SWAP U.S. 1 493 0.6 1,520 1.8 84,472
NON U.S. 4 5,148 6.1 1,159 1.4
---- --------- ---- --------- ----
5 5,641 6.7 2,679 3.2
06/06/06 NYME HOUSTON SHIP CH BASIS SWAP U.S. 6 8,093 3.0 15,806 5.9 266,684
NON U.S. 5 8,296 3.1 31,332 11.7
---- --------- ---- --------- ----
11 16,389 6.1 47,138 17.7
06/06/06 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 15,332 10.2 2,131 1.4 149,780
NON U.S. 6 7,215 4.8 17,441 11.6
---- --------- ---- --------- ----
11 22,547 15.1 19,572 13.1
06/06/06 NYME PANHANDLE BASIS SWAP U.S. 5 3,534 2.3 18,268 12.1 151,388
NON U.S. 5 14,495 9.6 9,064 6.0
---- --------- ---- --------- ----
10 18,029 11.9 27,332 18.1
06/06/06 NYME SAN JUAN BASIS SWAP U.S. 6 5,569 14.8 6,037 16.0 37,650
NON U.S. 4 667 1.8 5,104 13.6
---- --------- ---- --------- ----
10 6,236 16.6 11,141 29.6
06/06/06 NYME SOCAL BASIS SWAP U.S. 5 6,349 3.6 11,520 6.6 174,006
NON U.S. 5 2,772 1.6 11,643 6.7
---- --------- ---- --------- ----
10 9,121 5.2 23,163 13.3
06/06/06 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 1 1,186 2.0 0 0.0 58,030
NON U.S. 4 602 1.0 486 0.8
---- --------- ---- --------- ----
5 1,788 3.1 486 0.8
06/06/06 NYME HENRY HUB GAS SWAP U.S. 6 75,409 3.0 200,658 7.9 2,542,686
NON U.S. 8 264,648 10.4 522,172 20.5
---- --------- ---- --------- ----
14 340,057 13.4 722,830 28.4
06/06/06 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 4 12,661 2.5 4,062 0.8 506,910
NON U.S. 7 156,121 30.8 104,502 20.6
---- --------- ---- --------- ----
11 168,782 33.3 108,564 21.4
06/06/06 CBT 2-YEAR U.S. TREASURY NOTES U.S. 3 15,703 3.0 8,729 1.6 529,334
NON U.S. 22 10,494 2.0 22,488 4.2
---- --------- ---- --------- ----
25 26,197 4.9 31,217 5.9
06/06/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 24,051 1.2 27,346 1.4 2,017,563
NON U.S. 40 54,309 2.7 114,162 5.7
---- --------- ---- --------- ----
46 78,360 3.9 141,508 7.0
06/06/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 18,788 1.5 18,919 1.5 1,246,977
NON U.S. 30 76,899 6.2 51,123 4.1
---- --------- ---- --------- ----
34 95,687 7.7 70,042 5.6
06/06/06 CBT 30-DAY FEDERAL FUNDS U.S. 6 39,783 8.8 22,393 4.9 454,366
NON U.S. 30 90,133 19.8 84,185 18.5
---- --------- ---- --------- ----
36 129,916 28.6 106,578 23.5
06/06/06 CME LEAN HOGS U.S. 1 6,011 3.7 0 0.0 162,294
NON U.S. 6 12,630 7.8 3 0.0
---- --------- ---- --------- ----
7 18,641 11.5 3 0.0
06/06/06 CME LIVE CATTLE U.S. 2 11,458 4.6 4,227 1.7 248,837
NON U.S. 5 13,311 5.3 0 0.0
---- --------- ---- --------- ----
7 24,769 10.0 4,227 1.7
06/06/06 NYME PJM ELECTRICITY MONTHLY U.S. 2 2,200 4.1 3,652 6.9 53,199
NON U.S. 3 1,552 2.9 918 1.7
---- --------- ---- --------- ----
5 3,752 7.1 4,570 8.6
06/06/06 NYME PJM CAL MONTH OFF PK LMP SWAP U.S. 2 4,400 16.0 368 1.3 27,522
NON U.S. 3 2,518 9.1 560 2.0
---- --------- ---- --------- ----
5 6,918 25.1 928 3.4
06/06/06 NYME CRUDE OIL, LIGHT SWEET U.S. 5 32,296 3.1 55,869 5.4 1,044,132
NON U.S. 15 84,895 8.1 70,371 6.7
---- --------- ---- --------- ----
20 117,191 11.2 126,240 12.1
06/06/06 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 2 209 0.5 3,207 7.7 41,694
NON U.S. 4 5,350 12.8 1,514 3.6
---- --------- ---- --------- ----
6 5,559 13.3 4,721 11.3
06/06/06 NYBT COCOA U.S. 1 595 0.4 0 0.0 145,090
NON U.S. 9 3,744 2.6 4,315 3.0
---- --------- ---- --------- ----
10 4,339 3.0 4,315 3.0
06/06/06 NYME PALLADIUM U.S. 2 0 0.0 679 4.4 15,514
NON U.S. 8 388 2.5 3,428 22.1
---- --------- ---- --------- ----
10 388 2.5 4,107 26.5
06/06/06 NYME PLATINUM U.S. 1 0 0.0 73 0.8 8,905
NON U.S. 6 1,089 12.2 601 6.7
---- --------- ---- --------- ----
7 1,089 12.2 674 7.6
06/06/06 NYBT SUGAR NO. 11 U.S. 2 9,703 2.0 577 0.1 481,640
NON U.S. 9 33,690 7.0 28,083 5.8
---- --------- ---- --------- ----
11 43,393 9.0 28,660 6.0
06/06/06 NYBT COFFEE C U.S. 1 2,297 1.9 0 0.0 120,532
NON U.S. 11 8,356 6.9 3,110 2.6
---- --------- ---- --------- ----
12 10,653 8.8 3,110 2.6
06/06/06 CMX SILVER U.S. 3 3,009 2.7 5,906 5.3 112,351
NON U.S. 10 5,430 4.8 4,827 4.3
---- --------- ---- --------- ----
13 8,439 7.5 10,733 9.6
06/06/06 CMX COPPER-GRADE #1 U.S. 3 2,619 3.4 99 0.1 76,869
NON U.S. 7 6,122 8.0 991 1.3
---- --------- ---- --------- ----
10 8,741 11.4 1,090 1.4
06/06/06 CMX GOLD U.S. 4 1,011 0.4 29,452 10.4 283,161
NON U.S. 19 5,312 1.9 49,027 17.3
---- --------- ---- --------- ----
23 6,323 2.2 78,479 27.7
06/06/06 CME RUSSIAN RUBLE NON U.S. 6 2,334 21.2 10,029 90.9 11,032
06/06/06 CME CANADIAN DOLLAR U.S. 6 5,839 4.9 7,312 6.2 118,798
NON U.S. 9 9,147 7.7 15,127 12.7
---- --------- ---- --------- ----
15 14,986 12.6 22,439 18.9
06/06/06 CME SWISS FRANC U.S. 4 11 0.0 10,958 10.2 107,626
NON U.S. 7 13,598 12.6 57,771 53.7
---- --------- ---- --------- ----
11 13,609 12.6 68,729 63.9
06/06/06 CME MEXICAN PESO U.S. 4 22,526 25.0 1,077 1.2 90,022
NON U.S. 8 6,044 6.7 25,605 28.4
---- --------- ---- --------- ----
12 28,570 31.7 26,682 29.6
06/06/06 CME BRITISH POUND STERLING U.S. 5 3,028 2.9 8,495 8.1 105,314
NON U.S. 8 1,468 1.4 40,119 38.1
---- --------- ---- --------- ----
13 4,496 4.3 48,614 46.2
06/06/06 CME JAPANESE YEN U.S. 5 28,198 14.0 3,718 1.8 201,843
NON U.S. 11 20,155 10.0 45,922 22.8
---- --------- ---- --------- ----
16 48,353 24.0 49,640 24.6
06/06/06 NYBT JAPANESE YEN - SMALL U.S. 1 0 0.0 2,397 91.7 2,615
NON U.S. 4 2,141 81.9 0 0.0
---- --------- ---- --------- ----
5 2,141 81.9 2,397 91.7
06/06/06 NYBT U.S. DOLLAR INDEX U.S. 1 300 0.8 0 0.0 38,771
NON U.S. 4 2,042 5.3 13,321 34.4
---- --------- ---- --------- ----
5 2,342 6.0 13,321 34.4
06/06/06 NYBT EURO FX/AUS DOLLAR XRATE NON U.S. 5 2,337 61.3 2,943 77.1 3,815
06/06/06 CME EURO FX U.S. 5 2,007 1.0 15,833 7.6 209,552
NON U.S. 23 8,172 3.9 65,737 31.4
---- --------- ---- --------- ----
28 10,179 4.9 81,570 38.9
06/06/06 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 1 3,927 4.3 847 0.9 92,074
NON U.S. 5 5,716 6.2 1,714 1.9
---- --------- ---- --------- ----
6 9,643 10.5 2,561 2.8
06/06/06 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 1 1,091 2.4 0 0.0 46,007
NON U.S. 5 2,045 4.4 754 1.6
---- --------- ---- --------- ----
6 3,136 6.8 754 1.6
06/06/06 NYBT NEW ZEALAND DOLLAR U.S. 1 1,569 47.9 397 12.1 3,278
NON U.S. 4 526 16.0 836 25.5
---- --------- ---- --------- ----
5 2,095 63.9 1,233 37.6
06/06/06 CME NEW ZEALAND DOLLAR U.S. 4 446 3.4 1,598 12.1 13,175
NON U.S. 6 1,619 12.3 365 2.8
---- --------- ---- --------- ----
10 2,065 15.7 1,963 14.9
06/06/06 NYBT EURO FX U.S. 2 0 0.0 2,446 68.0 3,599
NON U.S. 3 134 3.7 333 9.3
---- --------- ---- --------- ----
5 134 3.7 2,779 77.2
06/06/06 NYBT SWEDISH KRONA NON U.S. 5 2,015 57.5 438 12.5 3,506
06/06/06 NYBT SOUTH AFRICAN RAND NON U.S. 5 2,017 76.1 867 32.7 2,649
06/06/06 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 3,892 8.3 1,154 2.5 46,634
NON U.S. 6 1,264 2.7 4,647 10.0
---- --------- ---- --------- ----
10 5,156 11.1 5,801 12.4
06/06/06 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2 0 0.0 6,128 6.8 89,749
NON U.S. 6 2,543 2.8 211 0.2
---- --------- ---- --------- ----
8 2,543 2.8 6,339 7.1
06/06/06 CME 3-MONTH EURODOLLARS U.S. 11 497,482 4.8 935,829 9.1 10,281,725
NON U.S. 63 1,530,713 14.9 1,203,004 11.7
---- --------- ---- --------- ----
74 2,028,195 19.7 2,138,833 20.8
06/06/06 CME S&P 500 STOCK INDEX U.S. 7 16,380 2.4 3,285 0.5 685,651
NON U.S. 19 6,283 0.9 124,028 18.1
---- --------- ---- --------- ----
26 22,663 3.3 127,313 18.6
06/06/06 CME E-MINI S&P 500 STOCK INDEX U.S. 6 53,252 3.4 35,826 2.3 1,578,088
NON U.S. 30 139,459 8.8 72,606 4.6
---- --------- ---- --------- ----
36 192,711 12.2 108,432 6.9
06/06/06 NYBT BRIT POUND/SWISS FRANC XRATE NON U.S. 5 1,241 21.0 2,573 43.5 5,909
06/06/06 CME NASDAQ-100 STOCK INDEX U.S. 5 3,098 4.0 13,654 17.8 76,676
NON U.S. 20 12,133 15.8 2,881 3.8
---- --------- ---- --------- ----
25 15,231 19.9 16,535 21.6
06/06/06 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 6 12,125 2.6 1,997 0.4 461,020
NON U.S. 22 54,551 11.8 1,238 0.3
---- --------- ---- --------- ----
28 66,676 14.5 3,235 0.7
06/06/06 CME AUSTRALIAN DOLLAR U.S. 5 1,264 1.7 8,444 11.6 72,968
NON U.S. 8 2,891 4.0 24,667 33.8
---- --------- ---- --------- ----
13 4,155 5.7 33,111 45.4
06/06/06 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 4 417 0.8 1,687 3.4 50,099
NON U.S. 6 812 1.6 300 0.6
---- --------- ---- --------- ----
10 1,229 2.5 1,987 4.0
06/06/06 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 5 238 0.1 35,484 7.5 470,601
NON U.S. 12 65,842 14.0 8,415 1.8
---- --------- ---- --------- ----
17 66,080 14.0 43,899 9.3
06/06/06 CME NIKKEI STOCK AVERAGE U.S. 1 45 0.1 1,442 2.3 62,748
NON U.S. 17 3,778 6.0 10,700 17.1
---- --------- ---- --------- ----
18 3,823 6.1 12,142 19.4
06/06/06 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 3 2,913 5.7 96 0.2 51,121
NON U.S. 11 5,669 11.1 1,656 3.2
---- --------- ---- --------- ----
14 8,582 16.8 1,752 3.4
06/06/06 NYBT BRITISH POUND/JPN YEN XRATE U.S. 1 301 3.7 301 3.7 8,074
NON U.S. 4 331 4.1 1,493 18.5
---- --------- ---- --------- ----
5 632 7.8 1,794 22.2
06/06/06 NYBT EURO FX/JAPANESE YEN XRATE U.S. 1 510 1.8 0 0.0 27,894
NON U.S. 6 2 0.0 8,215 29.5
---- --------- ---- --------- ----
7 512 1.8 8,215 29.5
06/06/06 CME S&P 400 MIDCAP STOCK INDEX U.S. 3 108 1.0 1,100 10.1 10,850
NON U.S. 4 135 1.2 781 7.2
---- --------- ---- --------- ----
7 243 2.2 1,881 17.3
06/06/06 NYBT EURO FX/SWISS FRANC XRATE U.S. 3 285 2.8 1,722 16.9 10,169
NON U.S. 3 1,021 10.0 1,885 18.5
---- --------- ---- --------- ----
6 1,306 12.8 3,607 35.5
06/06/06 CME 3-MO. EUROYEN TIBOR U.S. 6 1,810 3.8 2,481 5.2 47,826
NON U.S. 22 4,851 10.1 11,291 23.6
---- --------- ---- --------- ----
28 6,661 13.9 13,772 28.8
06/06/06 NYBT EURO FX/BRITISH POUND XRATE U.S. 1 1,886 15.4 0 0.0 12,261
NON U.S. 6 5,449 44.4 4,329 35.3
---- --------- ---- --------- ----
7 7,335 59.8 4,329 35.3
06/06/06 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 3 360 7.0 435 8.5 5,116
NON U.S. 2 65 1.3 601 11.7
---- --------- ---- --------- ----
5 425 8.3 1,036 20.3