BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
05/02/06 CBT WHEAT U.S. 1 13,392 3.5 0 0.0 382,991
NON U.S. 11 72,886 19.0 7,896 2.1
---- --------- ---- --------- ----
12 86,278 22.5 7,896 2.1
05/02/06 KCBT WHEAT U.S. 1 1,993 1.6 0 0.0 126,907
NON U.S. 6 6,242 4.9 0 0.0
---- --------- ---- --------- ----
7 8,235 6.5 0 0.0
05/02/06 CBT CORN U.S. 1 26,462 2.2 1,200 0.1 1,189,657
NON U.S. 8 116,178 9.8 3,066 0.3
---- --------- ---- --------- ----
9 142,640 12.0 4,266 0.4
05/02/06 CBT SOYBEANS U.S. 1 9,329 2.6 0 0.0 356,906
NON U.S. 8 22,443 6.3 6,926 1.9
---- --------- ---- --------- ----
9 31,772 8.9 6,926 1.9
05/02/06 CBT SOYBEAN OIL U.S. 1 4,864 2.0 0 0.0 241,226
NON U.S. 6 12,790 5.3 50 0.0
---- --------- ---- --------- ----
7 17,654 7.3 50 0.0
05/02/06 CBT U.S. TREASURY BONDS U.S. 3 20,967 2.5 8,593 1.0 851,211
NON U.S. 20 27,059 3.2 19,195 2.3
---- --------- ---- --------- ----
23 48,026 5.6 27,788 3.3
05/02/06 NYME EUR SING FUEL OIL 180 CAL SWAP U.S. 2 206 16.1 0 0.0 1,283
NON U.S. 3 56 4.4 60 4.7
---- --------- ---- --------- ----
5 262 20.4 60 4.7
05/02/06 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 3 7,062 3.9 497 0.3 180,969
NON U.S. 7 10,258 5.7 2,011 1.1
---- --------- ---- --------- ----
10 17,320 9.6 2,508 1.4
05/02/06 NYME NATURAL GAS U.S. 6 29,467 4.0 30,425 4.1 736,995
NON U.S. 12 30,745 4.2 57,126 7.8
---- --------- ---- --------- ----
18 60,212 8.2 87,551 11.9
05/02/06 NYME PERMIAN BASIS SWAP U.S. 4 10,206 15.8 4,300 6.6 64,748
NON U.S. 2 944 1.5 3,813 5.9
---- --------- ---- --------- ----
6 11,150 17.2 8,113 12.5
05/02/06 NYME M-3 BASIS SWAP U.S. 2 1,764 1.5 0 0.0 116,861
NON U.S. 3 4,041 3.5 1,278 1.1
---- --------- ---- --------- ----
5 5,805 5.0 1,278 1.1
05/02/06 NYME MALIN BASIS SWAP U.S. 2 306 0.4 6,169 8.0 77,021
NON U.S. 4 6,640 8.6 3,448 4.5
---- --------- ---- --------- ----
6 6,946 9.0 9,617 12.5
05/02/06 NYME PG&E CITYGATE BASIS SWAP U.S. 3 1,836 2.8 1,582 2.4 65,557
NON U.S. 3 486 0.7 6,707 10.2
---- --------- ---- --------- ----
6 2,322 3.5 8,289 12.6
05/02/06 NYME NGPL TEXOK BASIS SWAP U.S. 3 7,206 6.9 604 0.6 103,801
NON U.S. 3 612 0.6 262 0.3
---- --------- ---- --------- ----
6 7,818 7.5 866 0.8
05/02/06 NYME SUMAS BASIS SWAP U.S. 3 4,889 12.3 62 0.2 39,669
NON U.S. 5 5,236 13.2 1,498 3.8
---- --------- ---- --------- ----
8 10,125 25.5 1,560 3.9
05/02/06 NYME NGPL MID-CON BASIS SWAP U.S. 2 310 0.5 429 0.8 56,735
NON U.S. 3 3,185 5.6 1,036 1.8
---- --------- ---- --------- ----
5 3,495 6.2 1,465 2.6
05/02/06 NYME WAHA BASIS SWAP U.S. 3 2,327 3.3 1,426 2.0 69,979
NON U.S. 3 0 0.0 4,756 6.8
---- --------- ---- --------- ----
6 2,327 3.3 6,182 8.8
05/02/06 NYME CIG BASIS SWAP U.S. 3 1,310 2.3 2,782 4.9 56,803
NON U.S. 6 214 0.4 19,296 34.0
---- --------- ---- --------- ----
9 1,524 2.7 22,078 38.9
05/02/06 CME 1-MONTH LIBOR RATE U.S. 3 5,680 8.6 6,250 9.4 66,265
NON U.S. 11 19,224 29.0 9,012 13.6
---- --------- ---- --------- ----
14 24,904 37.6 15,262 23.0
05/02/06 NYBT COTTON NO. 2 U.S. 1 6,969 4.6 0 0.0 149,879
NON U.S. 9 14,379 9.6 154 0.1
---- --------- ---- --------- ----
10 21,348 14.2 154 0.1
05/02/06 NYME ALBERTA BASIS SWAP U.S. 5 7,039 4.3 4,237 2.6 162,113
NON U.S. 7 8,949 5.5 46,934 29.0
---- --------- ---- --------- ----
12 15,988 9.9 51,171 31.6
05/02/06 NYME CHICAGO BASIS SWAP U.S. 1 643 0.8 1,520 1.9 80,013
NON U.S. 4 6,079 7.6 761 1.0
---- --------- ---- --------- ----
5 6,722 8.4 2,281 2.9
05/02/06 NYME HOUSTON SHIP CH BASIS SWAP U.S. 6 5,582 2.4 16,374 7.0 232,981
NON U.S. 5 8,718 3.7 32,564 14.0
---- --------- ---- --------- ----
11 14,300 6.1 48,938 21.0
05/02/06 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 14,137 9.4 1,687 1.1 150,997
NON U.S. 6 7,504 5.0 15,936 10.6
---- --------- ---- --------- ----
11 21,641 14.3 17,623 11.7
05/02/06 NYME PANHANDLE BASIS SWAP U.S. 5 3,037 2.2 13,446 9.6 140,688
NON U.S. 5 16,431 11.7 3,858 2.7
---- --------- ---- --------- ----
10 19,468 13.8 17,304 12.3
05/02/06 NYME SAN JUAN BASIS SWAP U.S. 6 3,969 11.8 4,579 13.6 33,671
NON U.S. 4 697 2.1 5,644 16.8
---- --------- ---- --------- ----
10 4,666 13.9 10,223 30.4
05/02/06 NYME SOCAL BASIS SWAP U.S. 5 7,994 4.5 8,128 4.6 178,358
NON U.S. 5 2,155 1.2 12,222 6.9
---- --------- ---- --------- ----
10 10,149 5.7 20,350 11.4
05/02/06 NYME HENRY HUB GAS SWAP U.S. 6 75,487 4.2 185,324 10.3 1,804,941
NON U.S. 8 115,407 6.4 268,200 14.9
---- --------- ---- --------- ----
14 190,894 10.6 453,524 25.1
05/02/06 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 4 16,801 3.6 3,302 0.7 461,737
NON U.S. 7 162,496 35.2 115,925 25.1
---- --------- ---- --------- ----
11 179,297 38.8 119,227 25.8
05/02/06 CBT 2-YEAR U.S. TREASURY NOTES U.S. 4 11,943 2.2 12,219 2.3 535,887
NON U.S. 25 26,875 5.0 16,679 3.1
---- --------- ---- --------- ----
29 38,818 7.2 28,898 5.4
05/02/06 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 27,994 1.2 29,510 1.3 2,301,583
NON U.S. 39 69,446 3.0 105,050 4.6
---- --------- ---- --------- ----
45 97,440 4.2 134,560 5.8
05/02/06 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 20,028 1.5 26,870 2.0 1,323,151
NON U.S. 28 97,867 7.4 41,572 3.1
---- --------- ---- --------- ----
33 117,895 8.9 68,442 5.2
05/02/06 CBT 30-DAY FEDERAL FUNDS U.S. 6 29,745 6.6 23,760 5.3 448,199
NON U.S. 26 66,178 14.8 69,661 15.5
---- --------- ---- --------- ----
32 95,923 21.4 93,421 20.8
05/02/06 CME LEAN HOGS U.S. 1 6,400 4.3 0 0.0 147,770
NON U.S. 6 12,581 8.5 0 0.0
---- --------- ---- --------- ----
7 18,981 12.8 0 0.0
05/02/06 CME LIVE CATTLE U.S. 2 7,819 3.2 1,284 0.5 241,495
NON U.S. 5 13,498 5.6 0 0.0
---- --------- ---- --------- ----
7 21,317 8.8 1,284 0.5
05/02/06 NYME PJM ELECTRICITY MONTHLY U.S. 2 2,200 3.9 3,940 7.0 56,192
NON U.S. 3 1,868 3.3 820 1.5
---- --------- ---- --------- ----
5 4,068 7.2 4,760 8.5
05/02/06 NYME PJM CAL MONTH OFF PK LMP SWAP U.S. 2 3,964 13.0 356 1.2 30,530
NON U.S. 3 1,568 5.1 980 3.2
---- --------- ---- --------- ----
5 5,532 18.1 1,336 4.4
05/02/06 NYME CRUDE OIL, LIGHT SWEET U.S. 5 27,255 2.5 58,544 5.4 1,091,791
NON U.S. 19 89,853 8.2 74,854 6.9
---- --------- ---- --------- ----
24 117,108 10.7 133,398 12.2
05/02/06 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 2 244 0.7 3,252 9.4 34,513
NON U.S. 4 3,461 10.0 1,851 5.4
---- --------- ---- --------- ----
6 3,705 10.7 5,103 14.8
05/02/06 NYBT COCOA U.S. 1 594 0.5 0 0.0 129,342
NON U.S. 9 3,329 2.6 4,026 3.1
---- --------- ---- --------- ----
10 3,923 3.0 4,026 3.1
05/02/06 NYME PALLADIUM U.S. 2 0 0.0 598 3.3 18,339
NON U.S. 9 565 3.1 4,415 24.1
---- --------- ---- --------- ----
11 565 3.1 5,013 27.3
05/02/06 NYME PLATINUM U.S. 1 0 0.0 91 0.9 9,908
NON U.S. 7 1,113 11.2 535 5.4
---- --------- ---- --------- ----
8 1,113 11.2 626 6.3
05/02/06 NYBT SUGAR NO. 11 U.S. 1 10,071 2.1 0 0.0 477,939
NON U.S. 8 31,929 6.7 28,519 6.0
---- --------- ---- --------- ----
9 42,000 8.8 28,519 6.0
05/02/06 NYBT COFFEE C U.S. 1 2,479 2.5 0 0.0 100,244
NON U.S. 10 7,858 7.8 3,788 3.8
---- --------- ---- --------- ----
11 10,337 10.3 3,788 3.8
05/02/06 CMX SILVER U.S. 4 1,271 1.1 5,799 5.2 112,421
NON U.S. 11 3,396 3.0 10,549 9.4
---- --------- ---- --------- ----
15 4,667 4.2 16,348 14.5
05/02/06 CMX COPPER-GRADE #1 U.S. 3 2,826 3.3 88 0.1 85,352
NON U.S. 8 7,029 8.2 1,694 2.0
---- --------- ---- --------- ----
11 9,855 11.5 1,782 2.1
05/02/06 CMX GOLD U.S. 5 1,110 0.3 46,087 12.8 359,539
NON U.S. 20 7,471 2.1 84,059 23.4
---- --------- ---- --------- ----
25 8,581 2.4 130,146 36.2
05/02/06 CME RUSSIAN RUBLE NON U.S. 6 1,146 15.7 7,024 96.3 7,293
05/02/06 CME CANADIAN DOLLAR U.S. 6 5,882 5.3 7,389 6.7 110,279
NON U.S. 8 7,476 6.8 9,781 8.9
---- --------- ---- --------- ----
14 13,358 12.1 17,170 15.6
05/02/06 CME SWISS FRANC U.S. 4 0 0.0 7,608 8.5 89,956
NON U.S. 6 11,703 13.0 30,417 33.8
---- --------- ---- --------- ----
10 11,703 13.0 38,025 42.3
05/02/06 CME MEXICAN PESO U.S. 4 26,626 31.4 483 0.6 84,728
NON U.S. 8 3,262 3.8 33,943 40.1
---- --------- ---- --------- ----
12 29,888 35.3 34,426 40.6
05/02/06 CME BRITISH POUND STERLING U.S. 4 0 0.0 10,500 11.8 89,073
NON U.S. 7 1,301 1.5 18,508 20.8
---- --------- ---- --------- ----
11 1,301 1.5 29,008 32.6
05/02/06 CME JAPANESE YEN U.S. 5 25,569 12.4 4,917 2.4 206,400
NON U.S. 12 22,184 10.7 39,070 18.9
---- --------- ---- --------- ----
17 47,753 23.1 43,987 21.3
05/02/06 CME EURO FX U.S. 5 472 0.3 17,465 9.3 187,074
NON U.S. 18 5,685 3.0 46,693 25.0
---- --------- ---- --------- ----
23 6,157 3.3 64,158 34.3
05/02/06 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 1 3,537 3.2 807 0.7 109,525
NON U.S. 7 5,973 5.5 1,224 1.1
---- --------- ---- --------- ----
8 9,510 8.7 2,031 1.9
05/02/06 NYBT NEW ZEALAND DOLLAR U.S. 1 1,172 38.0 0 0.0 3,087
NON U.S. 4 534 17.3 592 19.2
---- --------- ---- --------- ----
5 1,706 55.3 592 19.2
05/02/06 CME NEW ZEALAND DOLLAR U.S. 3 946 7.8 700 5.7 12,204
NON U.S. 6 1,096 9.0 180 1.5
---- --------- ---- --------- ----
9 2,042 16.7 880 7.2
05/02/06 NYBT SOUTH AFRICAN RAND NON U.S. 6 2,919 91.2 0 0.0 3,202
05/02/06 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 4,067 8.9 1,155 2.5 45,692
NON U.S. 6 1,542 3.4 4,266 9.3
---- --------- ---- --------- ----
10 5,609 12.3 5,421 11.9
05/02/06 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2 0 0.0 6,123 7.5 81,171
NON U.S. 5 6,330 7.8 64 0.1
---- --------- ---- --------- ----
7 6,330 7.8 6,187 7.6
05/02/06 CME 3-MONTH EURODOLLARS U.S. 13 591,257 6.1 818,849 8.4 9,714,535
NON U.S. 61 1,511,580 15.6 1,135,668 11.7
---- --------- ---- --------- ----
74 2,102,837 21.6 1,954,517 20.1
05/02/06 CME S&P 500 STOCK INDEX U.S. 8 17,887 2.7 2,700 0.4 660,812
NON U.S. 18 6,915 1.0 133,772 20.2
---- --------- ---- --------- ----
26 24,802 3.8 136,472 20.7
05/02/06 CME E-MINI S&P 500 STOCK INDEX U.S. 6 43,263 3.3 5,658 0.4 1,307,160
NON U.S. 28 109,808 8.4 42,187 3.2
---- --------- ---- --------- ----
34 153,071 11.7 47,845 3.7
05/02/06 CME NASDAQ-100 STOCK INDEX U.S. 4 2,253 3.6 13,264 21.1 62,761
NON U.S. 17 10,209 16.3 3,180 5.1
---- --------- ---- --------- ----
21 12,462 19.9 16,444 26.2
05/02/06 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 5 11,208 3.2 1,401 0.4 355,396
NON U.S. 26 41,612 11.7 7,110 2.0
---- --------- ---- --------- ----
31 52,820 14.9 8,511 2.4
05/02/06 CME AUSTRALIAN DOLLAR U.S. 5 994 1.7 8,641 14.9 57,861
NON U.S. 8 4,187 7.2 16,539 28.6
---- --------- ---- --------- ----
13 5,181 9.0 25,180 43.5
05/02/06 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 4 390 1.0 1,812 4.8 37,700
NON U.S. 6 1,820 4.8 300 0.8
---- --------- ---- --------- ----
10 2,210 5.9 2,112 5.6
05/02/06 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 3 74 0.0 25,597 7.2 355,633
NON U.S. 11 57,973 16.3 7,051 2.0
---- --------- ---- --------- ----
14 58,047 16.3 32,648 9.2
05/02/06 CME NIKKEI STOCK AVERAGE U.S. 1 0 0.0 1,360 2.7 50,687
NON U.S. 16 3,413 6.7 7,496 14.8
---- --------- ---- --------- ----
17 3,413 6.7 8,856 17.5
05/02/06 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 3 2,436 7.6 266 0.8 32,087
NON U.S. 12 3,259 10.2 1,528 4.8
---- --------- ---- --------- ----
15 5,695 17.7 1,794 5.6
05/02/06 NYBT EURO FX/JAPANESE YEN XRATE U.S. 2 510 2.4 938 4.4 21,179
NON U.S. 6 2 0.0 5,574 26.3
---- --------- ---- --------- ----
8 512 2.4 6,512 30.7
05/02/06 CME S&P 400 MIDCAP STOCK INDEX U.S. 3 129 1.1 1,154 10.2 11,319
NON U.S. 3 147 1.3 331 2.9
---- --------- ---- --------- ----
6 276 2.4 1,485 13.1
05/02/06 NYBT EURO FX/SWISS FRANC XRATE U.S. 3 242 2.6 1,776 18.7 9,479
NON U.S. 2 218 2.3 2,102 22.2
---- --------- ---- --------- ----
5 460 4.9 3,878 40.9
05/02/06 CME 3-MO. EUROYEN TIBOR U.S. 5 1,315 3.1 1,896 4.5 42,352
NON U.S. 23 5,299 12.5 9,755 23.0
---- --------- ---- --------- ----
28 6,614 15.6 11,651 27.5
05/02/06 NYBT EURO FX/BRITISH POUND XRATE U.S. 1 2,066 19.0 0 0.0 10,846
NON U.S. 8 3,301 30.4 5,909 54.5
---- --------- ---- --------- ----
9 5,367 49.5 5,909 54.5