BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
03/07/06 CBT WHEAT U.S. 1 13,343 3.4 200 0.1 396,507
NON U.S. 11 64,702 16.3 5,309 1.3
---- --------- ---- --------- ----
12 78,045 19.7 5,509 1.4
03/07/06 KCBT WHEAT U.S. 1 1,930 1.5 0 0.0 131,766
NON U.S. 5 5,113 3.9 0 0.0
---- --------- ---- --------- ----
6 7,043 5.3 0 0.0
03/07/06 CBT CORN U.S. 1 24,857 2.3 1,100 0.1 1,060,188
NON U.S. 9 100,014 9.4 9,612 0.9
---- --------- ---- --------- ----
10 124,871 11.8 10,712 1.0
03/07/06 CBT SOYBEANS U.S. 1 10,274 2.9 0 0.0 353,277
NON U.S. 7 21,948 6.2 733 0.2
---- --------- ---- --------- ----
8 32,222 9.1 733 0.2
03/07/06 CBT SOYBEAN OIL U.S. 1 5,191 2.7 0 0.0 194,413
NON U.S. 6 12,253 6.3 0 0.0
---- --------- ---- --------- ----
7 17,444 9.0 0 0.0
03/07/06 CBT U.S. TREASURY BONDS U.S. 4 16,742 2.6 8,506 1.3 650,748
NON U.S. 18 22,283 3.4 22,951 3.5
---- --------- ---- --------- ----
22 39,025 6.0 31,457 4.8
03/07/06 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 2 7,729 4.5 591 0.3 173,526
NON U.S. 8 11,482 6.6 1,959 1.1
---- --------- ---- --------- ----
10 19,211 11.1 2,550 1.5
03/07/06 NYME NATURAL GAS U.S. 5 24,907 4.0 23,912 3.9 617,846
NON U.S. 14 27,954 4.5 48,573 7.9
---- --------- ---- --------- ----
19 52,861 8.6 72,485 11.7
03/07/06 NYME PERMIAN BASIS SWAP U.S. 3 8,359 13.9 2,527 4.2 60,321
NON U.S. 3 794 1.3 5,551 9.2
---- --------- ---- --------- ----
6 9,153 15.2 8,078 13.4
03/07/06 NYME MALIN BASIS SWAP U.S. 2 0 0.0 5,239 7.1 74,155
NON U.S. 4 7,435 10.0 3,919 5.3
---- --------- ---- --------- ----
6 7,435 10.0 9,158 12.3
03/07/06 NYME PG&E CITYGATE BASIS SWAP U.S. 2 1,803 2.7 1,367 2.1 66,249
NON U.S. 3 482 0.7 7,809 11.8
---- --------- ---- --------- ----
5 2,285 3.4 9,176 13.9
03/07/06 NYME NGPL TEXOK BASIS SWAP U.S. 3 3,370 3.2 368 0.3 106,282
NON U.S. 3 736 0.7 262 0.2
---- --------- ---- --------- ----
6 4,106 3.9 630 0.6
03/07/06 NYME SUMAS BASIS SWAP U.S. 3 3,518 9.2 0 0.0 38,173
NON U.S. 5 6,495 17.0 1,088 2.9
---- --------- ---- --------- ----
8 10,013 26.2 1,088 2.9
03/07/06 NYME WAHA BASIS SWAP U.S. 3 2,721 4.0 1,464 2.2 67,883
NON U.S. 3 0 0.0 5,610 8.3
---- --------- ---- --------- ----
6 2,721 4.0 7,074 10.4
03/07/06 NYME CIG BASIS SWAP U.S. 3 1,192 2.1 2,245 4.0 56,161
NON U.S. 5 275 0.5 21,066 37.5
---- --------- ---- --------- ----
8 1,467 2.6 23,311 41.5
03/07/06 CME 1-MONTH LIBOR RATE U.S. 1 247 0.6 6,020 13.7 43,909
NON U.S. 10 12,798 29.1 15,982 36.4
---- --------- ---- --------- ----
11 13,045 29.7 22,002 50.1
03/07/06 NYBT COTTON NO. 2 U.S. 1 4,371 3.5 0 0.0 123,559
NON U.S. 9 12,925 10.5 158 0.1
---- --------- ---- --------- ----
10 17,296 14.0 158 0.1
03/07/06 NYME ALBERTA BASIS SWAP U.S. 4 6,290 3.8 2,127 1.3 165,607
NON U.S. 6 6,224 3.8 58,470 35.3
---- --------- ---- --------- ----
10 12,514 7.6 60,597 36.6
03/07/06 NYME CHICAGO BASIS SWAP U.S. 1 120 0.1 0 0.0 82,225
NON U.S. 4 7,607 9.3 670 0.8
---- --------- ---- --------- ----
5 7,727 9.4 670 0.8
03/07/06 NYME HOUSTON SHIP CH BASIS SWAP U.S. 5 4,410 2.1 14,328 7.0 205,426
NON U.S. 5 4,353 2.1 32,911 16.0
---- --------- ---- --------- ----
10 8,763 4.3 47,239 23.0
03/07/06 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 13,285 8.7 1,570 1.0 152,159
NON U.S. 6 5,298 3.5 19,519 12.8
---- --------- ---- --------- ----
11 18,583 12.2 21,089 13.9
03/07/06 NYME PANHANDLE BASIS SWAP U.S. 5 3,644 2.5 15,123 10.3 146,173
NON U.S. 5 16,006 11.0 3,922 2.7
---- --------- ---- --------- ----
10 19,650 13.4 19,045 13.0
03/07/06 NYME SAN JUAN BASIS SWAP U.S. 6 2,471 7.3 5,560 16.4 33,996
NON U.S. 4 516 1.5 6,314 18.6
---- --------- ---- --------- ----
10 2,987 8.8 11,874 34.9
03/07/06 NYME SOCAL BASIS SWAP U.S. 4 8,380 4.5 6,927 3.7 187,067
NON U.S. 4 4,481 2.4 11,410 6.1
---- --------- ---- --------- ----
8 12,861 6.9 18,337 9.8
03/07/06 NYME HENRY HUB GAS SWAP U.S. 6 57,748 3.7 191,431 12.4 1,549,479
NON U.S. 9 90,409 5.8 253,040 16.3
---- --------- ---- --------- ----
15 148,157 9.6 444,471 28.7
03/07/06 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 4 14,085 4.3 2,282 0.7 326,264
NON U.S. 7 70,220 21.5 104,000 31.9
---- --------- ---- --------- ----
11 84,305 25.8 106,282 32.6
03/07/06 CBT 2-YEAR U.S. TREASURY NOTES U.S. 2 8,167 1.8 7,322 1.6 446,693
NON U.S. 17 28,176 6.3 13,349 3.0
---- --------- ---- --------- ----
19 36,343 8.1 20,671 4.6
03/07/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 27,532 1.3 10,166 0.5 2,134,749
NON U.S. 35 73,587 3.4 166,073 7.8
---- --------- ---- --------- ----
41 101,119 4.7 176,239 8.3
03/07/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 26,232 2.0 9,452 0.7 1,314,551
NON U.S. 24 107,700 8.2 43,550 3.3
---- --------- ---- --------- ----
29 133,932 10.2 53,002 4.0
03/07/06 CBT 30-DAY FEDERAL FUNDS U.S. 5 41,618 9.1 10,664 2.3 457,401
NON U.S. 27 57,082 12.5 79,068 17.3
---- --------- ---- --------- ----
32 98,700 21.6 89,732 19.6
03/07/06 CME LEAN HOGS U.S. 1 6,605 4.4 0 0.0 150,110
NON U.S. 5 12,581 8.4 0 0.0
---- --------- ---- --------- ----
6 19,186 12.8 0 0.0
03/07/06 CME LIVE CATTLE U.S. 2 6,791 3.3 115 0.1 208,661
NON U.S. 5 13,160 6.3 0 0.0
---- --------- ---- --------- ----
7 19,951 9.6 115 0.1
03/07/06 CME FEEDER CATTLE U.S. 2 470 1.3 96 0.3 37,178
NON U.S. 3 789 2.1 0 0.0
---- --------- ---- --------- ----
5 1,259 3.4 96 0.3
03/07/06 NYME PJM ELECTRICITY MONTHLY U.S. 2 2,680 4.1 3,360 5.2 65,078
NON U.S. 3 1,898 2.9 676 1.0
---- --------- ---- --------- ----
5 4,578 7.0 4,036 6.2
03/07/06 NYME CRUDE OIL, LIGHT SWEET U.S. 5 32,912 3.4 56,022 5.8 966,478
NON U.S. 16 105,771 10.9 68,293 7.1
---- --------- ---- --------- ----
21 138,683 14.3 124,315 12.9
03/07/06 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 2 350 1.4 3,222 12.7 25,363
NON U.S. 3 1,499 5.9 1,513 6.0
---- --------- ---- --------- ----
5 1,849 7.3 4,735 18.7
03/07/06 NYBT COCOA U.S. 1 623 0.5 0 0.0 129,621
NON U.S. 7 2,626 2.0 6,954 5.4
---- --------- ---- --------- ----
8 3,249 2.5 6,954 5.4
03/07/06 NYME PALLADIUM U.S. 2 0 0.0 538 3.4 15,751
NON U.S. 11 856 5.4 4,641 29.5
---- --------- ---- --------- ----
13 856 5.4 5,179 32.9
03/07/06 NYME PLATINUM NON U.S. 9 747 8.5 475 5.4 8,768
03/07/06 NYBT SUGAR NO. 11 U.S. 1 9,613 2.1 0 0.0 458,466
NON U.S. 9 31,584 6.9 26,126 5.7
---- --------- ---- --------- ----
10 41,197 9.0 26,126 5.7
03/07/06 NYBT COFFEE C U.S. 1 2,401 2.5 0 0.0 97,499
NON U.S. 11 7,862 8.1 6,089 6.2
---- --------- ---- --------- ----
12 10,263 10.5 6,089 6.2
03/07/06 CMX SILVER U.S. 4 305 0.2 11,821 8.9 132,341
NON U.S. 13 3,761 2.8 16,064 12.1
---- --------- ---- --------- ----
17 4,066 3.1 27,885 21.1
03/07/06 CMX COPPER-GRADE #1 U.S. 2 3,359 3.9 22 0.0 85,611
NON U.S. 8 7,377 8.6 1,996 2.3
---- --------- ---- --------- ----
10 10,736 12.5 2,018 2.4
03/07/06 CMX GOLD U.S. 5 324 0.1 46,883 13.9 338,325
NON U.S. 20 12,324 3.6 79,369 23.5
---- --------- ---- --------- ----
25 12,648 3.7 126,252 37.3
03/07/06 CME RUSSIAN RUBLE NON U.S. 5 3,231 88.1 3,154 86.0 3,666
03/07/06 CME CANADIAN DOLLAR U.S. 6 4,186 3.1 5,570 4.1 137,195
NON U.S. 11 6,416 4.7 32,633 23.8
---- --------- ---- --------- ----
17 10,602 7.7 38,203 27.8
03/07/06 CME SWISS FRANC U.S. 5 9,715 7.6 1,337 1.0 127,779
NON U.S. 5 31,463 24.6 6,172 4.8
---- --------- ---- --------- ----
10 41,178 32.2 7,509 5.9
03/07/06 NYBT SWISS FRANC - SMALL NON U.S. 5 485 27.5 1,595 90.6 1,761
03/07/06 CME MEXICAN PESO U.S. 4 3,605 3.6 11,861 12.0 98,842
NON U.S. 7 2,842 2.9 34,801 35.2
---- --------- ---- --------- ----
11 6,447 6.5 46,662 47.2
03/07/06 CME BRITISH POUND STERLING U.S. 6 8,474 8.1 2,074 2.0 105,166
NON U.S. 7 19,774 18.8 7,418 7.1
---- --------- ---- --------- ----
13 28,248 26.9 9,492 9.0
03/07/06 CME JAPANESE YEN U.S. 6 41,979 16.9 11,559 4.6 248,612
NON U.S. 12 28,794 11.6 30,593 12.3
---- --------- ---- --------- ----
18 70,773 28.5 42,152 17.0
03/07/06 NYBT JAPANESE YEN - SMALL NON U.S. 5 1,714 64.7 2,560 96.6 2,650
03/07/06 CME EURO FX U.S. 5 4,320 2.4 11,049 6.2 177,395
NON U.S. 21 10,697 6.0 33,622 19.0
---- --------- ---- --------- ----
26 15,017 8.5 44,671 25.2
03/07/06 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 1 5,002 3.3 300 0.2 151,366
NON U.S. 10 9,299 6.1 1,329 0.9
---- --------- ---- --------- ----
11 14,301 9.4 1,629 1.1
03/07/06 NYBT NEW ZEALAND DOLLAR U.S. 1 1,172 21.7 1,172 21.7 5,411
NON U.S. 9 1,587 29.3 828 15.3
---- --------- ---- --------- ----
10 2,759 51.0 2,000 37.0
03/07/06 CME NEW ZEALAND DOLLAR U.S. 2 2,735 15.2 0 0.0 17,982
NON U.S. 7 4,186 23.3 3,670 20.4
---- --------- ---- --------- ----
9 6,921 38.5 3,670 20.4
03/07/06 NYBT SOUTH AFRICAN RAND NON U.S. 8 3,282 60.8 2,548 47.2 5,398
03/07/06 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 3,857 8.8 3,465 7.9 43,612
NON U.S. 10 3,471 8.0 7,618 17.5
---- --------- ---- --------- ----
14 7,328 16.8 11,083 25.4
03/07/06 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2 0 0.0 844 0.9 89,261
NON U.S. 5 21,692 24.3 495 0.6
---- --------- ---- --------- ----
7 21,692 24.3 1,339 1.5
03/07/06 CME 3-MONTH EURODOLLARS U.S. 13 751,465 7.4 876,484 8.6 10,190,472
NON U.S. 62 1,492,853 14.6 1,404,770 13.8
---- --------- ---- --------- ----
75 2,244,318 22.0 2,281,254 22.4
03/07/06 CME S&P 500 STOCK INDEX U.S. 5 17,720 2.5 7,972 1.1 695,690
NON U.S. 19 9,956 1.4 127,238 18.3
---- --------- ---- --------- ----
24 27,676 4.0 135,210 19.4
03/07/06 CME E-MINI S&P 500 STOCK INDEX U.S. 6 68,197 5.0 250 0.0 1,351,728
NON U.S. 28 94,486 7.0 78,805 5.8
---- --------- ---- --------- ----
34 162,683 12.0 79,055 5.8
03/07/06 NYBT BRIT POUND/SWISS FRANC XRATE U.S. 1 0 0.0 1,355 23.2 5,847
NON U.S. 5 662 11.3 2,319 39.7
---- --------- ---- --------- ----
6 662 11.3 3,674 62.8
03/07/06 CME NASDAQ-100 STOCK INDEX U.S. 5 1,707 2.3 12,514 16.7 74,882
NON U.S. 16 5,095 6.8 2,229 3.0
---- --------- ---- --------- ----
21 6,802 9.1 14,743 19.7
03/07/06 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 6 2,493 0.6 10,251 2.5 408,491
NON U.S. 23 75,371 18.5 5,799 1.4
---- --------- ---- --------- ----
29 77,864 19.1 16,050 3.9
03/07/06 CME AUSTRALIAN DOLLAR U.S. 5 3,753 5.5 3,929 5.8 67,707
NON U.S. 5 14,461 21.4 7,333 10.8
---- --------- ---- --------- ----
10 18,214 26.9 11,262 16.6
03/07/06 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 3 376 1.1 2,324 6.8 34,247
NON U.S. 5 1,872 5.5 2,067 6.0
---- --------- ---- --------- ----
8 2,248 6.6 4,391 12.8
03/07/06 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 4 1,455 0.5 15,007 4.9 305,319
NON U.S. 11 62,199 20.4 4,598 1.5
---- --------- ---- --------- ----
15 63,654 20.8 19,605 6.4
03/07/06 CME NIKKEI STOCK AVERAGE U.S. 2 760 1.0 5,819 7.8 74,629
NON U.S. 18 6,781 9.1 9,486 12.7
---- --------- ---- --------- ----
20 7,541 10.1 15,305 20.5
03/07/06 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 3 2,526 4.9 0 0.0 51,160
NON U.S. 8 3,257 6.4 172 0.3
---- --------- ---- --------- ----
11 5,783 11.3 172 0.3
03/07/06 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 3 459 2.1 4,607 21.0 21,891
NON U.S. 2 0 0.0 325 1.5
---- --------- ---- --------- ----
5 459 2.1 4,932 22.5
03/07/06 NYBT BRITISH POUND/JPN YEN XRATE NON U.S. 5 771 8.5 566 6.2 9,091
03/07/06 NYBT EURO FX/JAPANESE YEN XRATE U.S. 3 0 0.0 2,191 7.4 29,725
NON U.S. 7 5,695 19.2 9,275 31.2
---- --------- ---- --------- ----
10 5,695 19.2 11,466 38.6
03/07/06 NYBT AUSSIE DOLLAR/JPN YEN XRATE NON U.S. 5 1,454 11.2 2,139 16.5 12,956
03/07/06 CME S&P 400 MIDCAP STOCK INDEX U.S. 2 388 3.0 383 2.9 13,088
NON U.S. 3 0 0.0 686 5.2
---- --------- ---- --------- ----
5 388 3.0 1,069 8.2
03/07/06 NYBT EURO FX/SWEDISH KRONA XRATE U.S. 1 39 0.8 215 4.5 4,796
NON U.S. 4 190 4.0 634 13.2
---- --------- ---- --------- ----
5 229 4.8 849 17.7
03/07/06 NYBT AUSSIE/NEW ZEALAND DLR XRATE U.S. 1 1,223 33.0 0 0.0 3,703
NON U.S. 4 32 0.9 2,530 68.3
---- --------- ---- --------- ----
5 1,255 33.9 2,530 68.3
03/07/06 NYBT EURO FX/SWISS FRANC XRATE U.S. 3 1,266 7.2 2,727 15.6 17,518
NON U.S. 3 0 0.0 4,963 28.3
---- --------- ---- --------- ----
6 1,266 7.2 7,690 43.9
03/07/06 CME 3-MO. EUROYEN TIBOR U.S. 4 1,055 2.4 1,266 2.9 44,401
NON U.S. 25 6,433 14.5 15,463 34.8
---- --------- ---- --------- ----
29 7,488 16.9 16,729 37.7
03/07/06 NYBT EURO FX/BRITISH POUND XRATE U.S. 1 1,588 12.8 1,518 12.2 12,396
NON U.S. 6 6,939 56.0 0 0.0
---- --------- ---- --------- ----
7 8,527 68.8 1,518 12.2
03/07/06 NYBT EURO FX/NORWEGIAN KRONE XRATE NON U.S. 7 2,242 66.4 3,351 99.3 3,374
03/07/06 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 3 415 8.7 255 5.4 4,753
NON U.S. 2 615 12.9 370 7.8
---- --------- ---- --------- ----
5 1,030 21.7 625 13.1