BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
06/05/07 CBT WHEAT U.S. 1 10,801 2.7 0 0.0 397,362
NON U.S. 15 53,271 13.4 7,931 2.0
---- --------- ---- --------- ----
16 64,072 16.1 7,931 2.0
06/05/07 KCBT WHEAT U.S. 1 2,078 1.7 0 0.0 124,454
NON U.S. 6 4,889 3.9 242 0.2
---- --------- ---- --------- ----
7 6,967 5.6 242 0.2
06/05/07 CBT CORN U.S. 2 19,597 1.5 211 0.0 1,267,354
NON U.S. 13 76,168 6.0 2,963 0.2
---- --------- ---- --------- ----
15 95,765 7.6 3,174 0.3
06/05/07 CBT SOYBEANS U.S. 2 8,978 1.6 150 0.0 551,445
NON U.S. 7 24,685 4.5 2,317 0.4
---- --------- ---- --------- ----
9 33,663 6.1 2,467 0.4
06/05/07 CBT SOYBEAN OIL U.S. 1 3,239 1.0 0 0.0 332,718
NON U.S. 7 15,427 4.6 2,574 0.8
---- --------- ---- --------- ----
8 18,666 5.6 2,574 0.8
06/05/07 CBT U.S. TREASURY BONDS U.S. 4 26,865 2.9 6,275 0.7 928,170
NON U.S. 15 31,327 3.4 13,474 1.5
---- --------- ---- --------- ----
19 58,192 6.3 19,749 2.1
06/05/07 NYME NY RES FUEL 1.0% SULFUR SWAP U.S. 2 4,692 31.6 245 1.6 14,856
NON U.S. 3 1,348 9.1 483 3.3
---- --------- ---- --------- ----
5 6,040 40.7 728 4.9
06/05/07 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 3 6,704 3.2 833 0.4 211,697
NON U.S. 7 19,216 9.1 9,883 4.7
---- --------- ---- --------- ----
10 25,920 12.2 10,716 5.1
06/05/07 NYME NATURAL GAS U.S. 5 55,126 7.1 37,738 4.9 773,909
NON U.S. 11 43,708 5.6 69,183 8.9
---- --------- ---- --------- ----
16 98,834 12.8 106,921 13.8
06/05/07 NYME PERMIAN BASIS SWAP U.S. 3 11,137 15.9 747 1.1 69,923
NON U.S. 4 2,608 3.7 4,330 6.2
---- --------- ---- --------- ----
7 13,745 19.7 5,077 7.3
06/05/07 NYME M-3 BASIS SWAP U.S. 2 1,288 1.1 719 0.6 120,139
NON U.S. 3 2,178 1.8 1,430 1.2
---- --------- ---- --------- ----
5 3,466 2.9 2,149 1.8
06/05/07 NYME TCO BASIS SWAP U.S. 2 3,414 3.7 3,470 3.8 92,350
NON U.S. 3 796 0.9 735 0.8
---- --------- ---- --------- ----
5 4,210 4.6 4,205 4.6
06/05/07 NYME MALIN BASIS SWAP U.S. 2 488 0.6 460 0.6 80,198
NON U.S. 4 2,598 3.2 3,088 3.9
---- --------- ---- --------- ----
6 3,086 3.8 3,548 4.4
06/05/07 NYME PG&E CITYGATE BASIS SWAP U.S. 1 0 0.0 398 0.6 65,781
NON U.S. 4 427 0.6 4,077 6.2
---- --------- ---- --------- ----
5 427 0.6 4,475 6.8
06/05/07 NYME SUMAS BASIS SWAP U.S. 3 5,142 20.0 0 0.0 25,685
NON U.S. 5 4,903 19.1 1,031 4.0
---- --------- ---- --------- ----
8 10,045 39.1 1,031 4.0
06/05/07 NYME NGPL MID-CON BASIS SWAP U.S. 2 980 1.1 459 0.5 86,764
NON U.S. 4 4,308 5.0 1,138 1.3
---- --------- ---- --------- ----
6 5,288 6.1 1,597 1.8
06/05/07 NYME WAHA BASIS SWAP U.S. 4 1,432 1.2 14,160 12.3 114,897
NON U.S. 3 2,134 1.9 2,441 2.1
---- --------- ---- --------- ----
7 3,566 3.1 16,601 14.4
06/05/07 NYME CIG BASIS SWAP U.S. 4 185 0.3 7,960 13.4 59,258
NON U.S. 3 599 1.0 9,620 16.2
---- --------- ---- --------- ----
7 784 1.3 17,580 29.7
06/05/07 CBT SOYBEAN MEAL NON U.S. 5 1,210 0.5 987 0.4 220,887
06/05/07 CME 1-MONTH LIBOR RATE U.S. 1 10,854 19.0 410 0.7 57,033
NON U.S. 7 8,709 15.3 8,495 14.9
---- --------- ---- --------- ----
8 19,563 34.3 8,905 15.6
06/05/07 NYBT COTTON NO. 2 U.S. 1 4,835 2.2 0 0.0 223,817
NON U.S. 10 17,110 7.6 631 0.3
---- --------- ---- --------- ----
11 21,945 9.8 631 0.3
06/05/07 NYME ALBERTA BASIS SWAP U.S. 5 4,870 3.1 8,414 5.3 159,634
NON U.S. 9 16,465 10.3 35,764 22.4
---- --------- ---- --------- ----
14 21,335 13.4 44,178 27.7
06/05/07 NYME CHICAGO BASIS SWAP U.S. 2 1,269 1.4 214 0.2 88,507
NON U.S. 4 460 0.5 1,981 2.2
---- --------- ---- --------- ----
6 1,729 2.0 2,195 2.5
06/05/07 NYME HOUSTON SHIP CH BASIS SWAP U.S. 6 3,744 1.4 15,604 5.8 270,703
NON U.S. 5 4,084 1.5 17,819 6.6
---- --------- ---- --------- ----
11 7,828 2.9 33,423 12.3
06/05/07 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 14,697 8.2 11,880 6.7 178,230
NON U.S. 7 13,462 7.6 19,483 10.9
---- --------- ---- --------- ----
12 28,159 15.8 31,363 17.6
06/05/07 NYME PANHANDLE BASIS SWAP U.S. 6 2,750 1.6 10,607 6.1 173,459
NON U.S. 4 2,900 1.7 20,825 12.0
---- --------- ---- --------- ----
10 5,650 3.3 31,432 18.1
06/05/07 NYME SAN JUAN BASIS SWAP U.S. 5 17,316 31.9 2,464 4.5 54,352
NON U.S. 4 3,110 5.7 2,596 4.8
---- --------- ---- --------- ----
9 20,426 37.6 5,060 9.3
06/05/07 NYME SOCAL BASIS SWAP U.S. 5 31,276 13.1 8,932 3.7 239,438
NON U.S. 5 7,021 2.9 19,496 8.1
---- --------- ---- --------- ----
10 38,297 16.0 28,428 11.9
06/05/07 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 306 0.5 1,530 2.4 63,288
NON U.S. 3 1,957 3.1 964 1.5
---- --------- ---- --------- ----
5 2,263 3.6 2,494 3.9
06/05/07 NYME HENRY HUB GAS SWAP U.S. 5 193,349 7.8 235,973 9.5 2,478,250
NON U.S. 9 239,404 9.7 218,462 8.8
---- --------- ---- --------- ----
14 432,753 17.5 454,435 18.3
06/05/07 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 5 106,825 10.1 8,364 0.8 1,058,225
NON U.S. 9 319,062 30.2 178,955 16.9
---- --------- ---- --------- ----
14 425,887 40.2 187,319 17.7
06/05/07 CBT 2-YEAR U.S. TREASURY NOTES U.S. 3 19,828 2.0 20,753 2.1 997,991
NON U.S. 39 69,610 7.0 128,817 12.9
---- --------- ---- --------- ----
42 89,438 9.0 149,570 15.0
06/05/07 CBT 10-YEAR U.S. TREASURY NOTES U.S. 5 65,589 2.4 17,274 0.6 2,784,615
NON U.S. 48 219,701 7.9 98,941 3.6
---- --------- ---- --------- ----
53 285,290 10.2 116,215 4.2
06/05/07 CBT 5-YEAR U.S. TREASURY NOTES U.S. 3 51,446 3.1 22,165 1.3 1,651,328
NON U.S. 29 69,868 4.2 97,744 5.9
---- --------- ---- --------- ----
32 121,314 7.3 119,909 7.3
06/05/07 CBT 30-DAY FEDERAL FUNDS U.S. 4 51,858 11.5 35,536 7.9 452,166
NON U.S. 24 79,457 17.6 101,920 22.5
---- --------- ---- --------- ----
28 131,315 29.0 137,456 30.4
06/05/07 CME LEAN HOGS U.S. 1 4,215 2.3 0 0.0 184,131
NON U.S. 6 12,822 7.0 139 0.1
---- --------- ---- --------- ----
7 17,037 9.3 139 0.1
06/05/07 CME LIVE CATTLE U.S. 2 8,099 3.2 2,303 0.9 251,058
NON U.S. 5 17,552 7.0 0 0.0
---- --------- ---- --------- ----
7 25,651 10.2 2,303 0.9
06/05/07 CME FEEDER CATTLE U.S. 2 772 3.7 78 0.4 21,007
NON U.S. 3 793 3.8 0 0.0
---- --------- ---- --------- ----
5 1,565 7.4 78 0.4
06/05/07 NYME PJM ELECTRICITY MONTHLY U.S. 2 2,594 6.6 4,381 11.1 39,548
NON U.S. 3 742 1.9 1,189 3.0
---- --------- ---- --------- ----
5 3,336 8.4 5,570 14.1
06/05/07 NYME ISO NEW ENGLAND LMP SWAP U.S. 2 1,615 10.0 2,929 18.1 16,184
NON U.S. 3 745 4.6 1,224 7.6
---- --------- ---- --------- ----
5 2,360 14.6 4,153 25.7
06/05/07 NYME CRUDE OIL, LIGHT SWEET U.S. 5 34,316 2.4 59,297 4.2 1,423,761
NON U.S. 21 122,636 8.6 96,695 6.8
---- --------- ---- --------- ----
26 156,952 11.0 155,992 11.0
06/05/07 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 3 4,307 4.7 3,064 3.4 91,113
NON U.S. 8 12,355 13.6 26,504 29.1
---- --------- ---- --------- ----
11 16,662 18.3 29,568 32.5
06/05/07 NYME WTI CRUDE OIL FINANCIAL U.S. 2 4,812 6.5 1,851 2.5 73,901
NON U.S. 9 16,066 21.7 10,052 13.6
---- --------- ---- --------- ----
11 20,878 28.3 11,903 16.1
06/05/07 NYME WTI-BRENT CALENDAR SWAP NON U.S. 6 5,724 28.6 5,139 25.7 20,005
06/05/07 NYME BRENT (ICE) CALENDAR SWAP U.S. 1 872 4.7 400 2.1 18,667
NON U.S. 5 2,715 14.5 1,341 7.2
---- --------- ---- --------- ----
6 3,587 19.2 1,741 9.3
06/05/07 NYBT COCOA U.S. 1 1,876 1.2 0 0.0 152,624
NON U.S. 7 3,300 2.2 7,882 5.2
---- --------- ---- --------- ----
8 5,176 3.4 7,882 5.2
06/05/07 NYME PALLADIUM U.S. 1 0 0.0 613 3.4 18,107
NON U.S. 11 857 4.7 6,014 33.2
---- --------- ---- --------- ----
12 857 4.7 6,627 36.6
06/05/07 NYME PLATINUM U.S. 2 0 0.0 292 2.0 14,730
NON U.S. 8 1,217 8.3 1,015 6.9
---- --------- ---- --------- ----
10 1,217 8.3 1,307 8.9
06/05/07 NYBT SUGAR NO. 11 U.S. 2 10,412 1.4 1,848 0.2 752,655
NON U.S. 13 57,235 7.6 33,574 4.5
---- --------- ---- --------- ----
15 67,647 9.0 35,422 4.7
06/05/07 NYBT COFFEE C U.S. 1 1,879 1.2 0 0.0 159,466
NON U.S. 12 9,235 5.8 6,486 4.1
---- --------- ---- --------- ----
13 11,114 7.0 6,486 4.1
06/05/07 CBT SILVER, 5000 TROY OZ U.S. 2 0 0.0 627 7.6 8,232
NON U.S. 3 204 2.5 1,895 23.0
---- --------- ---- --------- ----
5 204 2.5 2,522 30.6
06/05/07 CMX SILVER U.S. 3 0 0.0 5,369 4.7 115,097
NON U.S. 12 5,220 4.5 6,407 5.6
---- --------- ---- --------- ----
15 5,220 4.5 11,776 10.2
06/05/07 CMX COPPER-GRADE #1 U.S. 1 2,014 2.5 0 0.0 81,226
NON U.S. 10 6,799 8.4 1,104 1.4
---- --------- ---- --------- ----
11 8,813 10.8 1,104 1.4
06/05/07 CBT GOLD, 100 TROY OZ U.S. 3 304 1.3 1,272 5.3 23,828
NON U.S. 4 533 2.2 3,205 13.5
---- --------- ---- --------- ----
7 837 3.5 4,477 18.8
06/05/07 CMX GOLD U.S. 5 585 0.2 30,776 8.0 385,046
NON U.S. 18 13,275 3.4 55,131 14.3
---- --------- ---- --------- ----
23 13,860 3.6 85,907 22.3
06/05/07 CME RUSSIAN RUBLE NON U.S. 6 7,109 43.8 13,493 83.2 16,227
06/05/07 CME CANADIAN DOLLAR U.S. 5 2,302 1.2 4,205 2.3 184,722
NON U.S. 9 6,682 3.6 65,455 35.4
---- --------- ---- --------- ----
14 8,984 4.9 69,660 37.7
06/05/07 CME SWISS FRANC U.S. 4 1,660 1.7 55 0.1 99,547
NON U.S. 5 59,923 60.2 2,726 2.7
---- --------- ---- --------- ----
9 61,583 61.9 2,781 2.8
06/05/07 CME MEXICAN PESO U.S. 3 2,257 1.6 14,512 10.3 141,432
NON U.S. 10 451 0.3 71,685 50.7
---- --------- ---- --------- ----
13 2,708 1.9 86,197 60.9
06/05/07 CME BRITISH POUND STERLING U.S. 4 0 0.0 12,692 8.9 142,314
NON U.S. 6 685 0.5 27,074 19.0
---- --------- ---- --------- ----
10 685 0.5 39,766 27.9
06/05/07 CME JAPANESE YEN U.S. 5 15,741 5.1 24,869 8.0 311,288
NON U.S. 10 109,757 35.3 7,565 2.4
---- --------- ---- --------- ----
15 125,498 40.3 32,434 10.4
06/05/07 CME EURO FX U.S. 5 7,725 3.6 12,084 5.6 214,948
NON U.S. 22 9,427 4.4 34,615 16.1
---- --------- ---- --------- ----
27 17,152 8.0 46,699 21.7
06/05/07 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 3 2,403 1.4 958 0.6 168,752
NON U.S. 10 7,469 4.4 9,593 5.7
---- --------- ---- --------- ----
13 9,872 5.9 10,551 6.3
06/05/07 NYBT NEW ZEALAND DOLLAR U.S. 1 0 0.0 312 8.0 3,881
NON U.S. 4 319 8.2 743 19.1
---- --------- ---- --------- ----
5 319 8.2 1,055 27.2
06/05/07 CME NEW ZEALAND DOLLAR U.S. 1 0 0.0 225 0.8 27,528
NON U.S. 5 362 1.3 13,994 50.8
---- --------- ---- --------- ----
6 362 1.3 14,219 51.7
06/05/07 E VIX FUTURES U.S. 1 415 1.0 618 1.4 42,818
NON U.S. 9 1,850 4.3 241 0.6
---- --------- ---- --------- ----
10 2,265 5.3 859 2.0
06/05/07 NYBT SOUTH AFRICAN RAND U.S. 3 1,397 36.1 1,111 28.7 3,872
NON U.S. 3 879 22.7 360 9.3
---- --------- ---- --------- ----
6 2,276 58.8 1,471 38.0
06/05/07 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 3 2,278 4.3 290 0.6 52,559
NON U.S. 8 2,920 5.6 5,330 10.1
---- --------- ---- --------- ----
11 5,198 9.9 5,620 10.7
06/05/07 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 3 2,421 1.8 0 0.0 133,258
NON U.S. 9 1,496 1.1 4,584 3.4
---- --------- ---- --------- ----
12 3,917 2.9 4,584 3.4
06/05/07 CME EUROZONE HICP U.S. 1 30 6.2 0 0.0 485
NON U.S. 5 320 66.0 290 59.8
---- --------- ---- --------- ----
6 350 72.2 290 59.8
06/05/07 CME 3-MONTH EURODOLLARS U.S. 12 892,054 7.4 1,347,546 11.2 12,017,363
NON U.S. 68 1,911,012 15.9 1,243,579 10.3
---- --------- ---- --------- ----
80 2,803,066 23.3 2,591,125 21.6
06/05/07 CME S&P 500 STOCK INDEX U.S. 6 12,971 1.8 927 0.1 703,534
NON U.S. 21 7,645 1.1 73,172 10.4
---- --------- ---- --------- ----
27 20,616 2.9 74,099 10.5
06/05/07 CME E-MINI S&P 500 STOCK INDEX U.S. 9 11,806 0.5 26,921 1.1 2,405,114
NON U.S. 34 83,065 3.5 144,441 6.0
---- --------- ---- --------- ----
43 94,871 3.9 171,362 7.1
06/05/07 CME NASDAQ-100 STOCK INDEX U.S. 6 1,840 3.0 4,425 7.2 61,701
NON U.S. 10 2,241 3.6 2,507 4.1
---- --------- ---- --------- ----
16 4,081 6.6 6,932 11.2
06/05/07 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 8 15,107 3.2 20,159 4.2 477,255
NON U.S. 28 22,507 4.7 14,400 3.0
---- --------- ---- --------- ----
36 37,614 7.9 34,559 7.2
06/05/07 CME AUSTRALIAN DOLLAR U.S. 4 259 0.2 4,601 3.8 122,120
NON U.S. 4 214 0.2 40,983 33.6
---- --------- ---- --------- ----
8 473 0.4 45,584 37.3
06/05/07 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 3 418 0.8 6,214 12.1 51,150
NON U.S. 8 1,611 3.1 1,909 3.7
---- --------- ---- --------- ----
11 2,029 4.0 8,123 15.9
06/05/07 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 8 1,057 0.2 12,475 2.1 600,762
NON U.S. 19 10,759 1.8 13,071 2.2
---- --------- ---- --------- ----
27 11,816 2.0 25,546 4.3
06/05/07 CME NIKKEI STOCK AVERAGE U.S. 3 2,753 3.3 3,260 3.9 83,435
NON U.S. 23 18,761 22.5 15,054 18.0
---- --------- ---- --------- ----
26 21,514 25.8 18,314 22.0
06/05/07 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 3 4,994 7.1 459 0.6 70,787
NON U.S. 14 4,394 6.2 16,583 23.4
---- --------- ---- --------- ----
17 9,388 13.3 17,042 24.1
06/05/07 NYBT BRITISH POUND/JPN YEN XRATE U.S. 2 0 0.0 1,296 20.4 6,365
NON U.S. 5 0 0.0 1,561 24.5
---- --------- ---- --------- ----
7 0 0.0 2,857 44.9
06/05/07 NYBT EURO FX/JAPANESE YEN XRATE U.S. 3 459 1.7 4,201 15.7 26,738
NON U.S. 6 1,843 6.9 5,620 21.0
---- --------- ---- --------- ----
9 2,302 8.6 9,821 36.7
06/05/07 CME E-MINI S&P 400 STOCK INDEX U.S. 3 1,028 1.1 400 0.4 96,681
NON U.S. 5 2,647 2.7 993 1.0
---- --------- ---- --------- ----
8 3,675 3.8 1,393 1.4
06/05/07 CME EURO FX/JAPANESE YEN XRATE U.S. 1 524 5.9 0 0.0 8,893
NON U.S. 5 4,186 47.1 2,560 28.8
---- --------- ---- --------- ----
6 4,710 53.0 2,560 28.8
06/05/07 CME 3-MO. EUROYEN TIBOR U.S. 5 2,719 4.5 2,740 4.5 60,595
NON U.S. 17 15,375 25.4 16,976 28.0
---- --------- ---- --------- ----
22 18,094 29.9 19,716 32.5
06/05/07 NYBT EURO FX/BRITISH POUND XRATE U.S. 1 611 6.7 0 0.0 9,137
NON U.S. 5 3,050 33.4 926 10.1
---- --------- ---- --------- ----
6 3,661 40.1 926 10.1
06/05/07 NYBT EURO FX/NORWEGIAN KRONE XRATE U.S. 2 131 3.3 1,327 33.3 3,988
NON U.S. 4 1,882 47.2 1,586 39.8
---- --------- ---- --------- ----
6 2,013 50.5 2,913 73.0
06/05/07 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 2 450 3.4 420 3.2 13,208
NON U.S. 5 2,153 16.3 1,361 10.3
---- --------- ---- --------- ----
7 2,603 19.7 1,781 13.5
06/05/07 NYME RBOB CRACK SPREAD SWAP U.S. 1 150 1.5 40 0.4 10,112
NON U.S. 6 1,090 10.8 2,100 20.8
---- --------- ---- --------- ----
7 1,240 12.3 2,140 21.2