BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
05/01/07 CBT WHEAT U.S. 1 10,491 2.9 0 0.0 359,274
NON U.S. 15 54,331 15.1 4,591 1.3
---- --------- ---- --------- ----
16 64,822 18.0 4,591 1.3
05/01/07 KCBT WHEAT U.S. 1 1,897 1.5 0 0.0 123,720
NON U.S. 6 5,717 4.6 659 0.5
---- --------- ---- --------- ----
7 7,614 6.2 659 0.5
05/01/07 CBT CORN U.S. 2 19,077 1.5 163 0.0 1,257,301
NON U.S. 12 81,430 6.5 3,644 0.3
---- --------- ---- --------- ----
14 100,507 8.0 3,807 0.3
05/01/07 CBT SOYBEANS U.S. 2 8,625 2.0 150 0.0 429,319
NON U.S. 7 24,716 5.8 1,316 0.3
---- --------- ---- --------- ----
9 33,341 7.8 1,466 0.3
05/01/07 CBT SOYBEAN OIL U.S. 1 3,150 1.0 0 0.0 302,670
NON U.S. 7 15,237 5.0 2,894 1.0
---- --------- ---- --------- ----
8 18,387 6.1 2,894 1.0
05/01/07 CBT U.S. TREASURY BONDS U.S. 3 13,532 1.5 24,236 2.7 903,566
NON U.S. 24 18,483 2.0 22,156 2.5
---- --------- ---- --------- ----
27 32,015 3.5 46,392 5.1
05/01/07 NYME NY RES FUEL 1.0% SULFUR SWAP U.S. 2 5,535 37.9 285 2.0 14,607
NON U.S. 3 1,360 9.3 321 2.2
---- --------- ---- --------- ----
5 6,895 47.2 606 4.1
05/01/07 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 4 6,674 3.2 1,182 0.6 208,747
NON U.S. 8 15,192 7.3 9,916 4.8
---- --------- ---- --------- ----
12 21,866 10.5 11,098 5.3
05/01/07 NYME NATURAL GAS U.S. 5 55,225 7.5 36,789 5.0 733,792
NON U.S. 9 45,949 6.3 74,332 10.1
---- --------- ---- --------- ----
14 101,174 13.8 111,121 15.1
05/01/07 NYME PERMIAN BASIS SWAP U.S. 2 5,875 10.5 747 1.3 56,044
NON U.S. 4 2,874 5.1 3,600 6.4
---- --------- ---- --------- ----
6 8,749 15.6 4,347 7.8
05/01/07 NYME M-3 BASIS SWAP U.S. 2 1,284 1.0 1,020 0.8 123,858
NON U.S. 3 2,080 1.7 1,674 1.4
---- --------- ---- --------- ----
5 3,364 2.7 2,694 2.2
05/01/07 NYME TCO BASIS SWAP U.S. 2 440 0.5 1,387 1.5 90,976
NON U.S. 3 1,040 1.1 918 1.0
---- --------- ---- --------- ----
5 1,480 1.6 2,305 2.5
05/01/07 NYME MALIN BASIS SWAP U.S. 2 728 0.9 520 0.7 76,972
NON U.S. 4 3,203 4.2 2,620 3.4
---- --------- ---- --------- ----
6 3,931 5.1 3,140 4.1
05/01/07 NYME PG&E CITYGATE BASIS SWAP U.S. 1 0 0.0 398 0.6 62,458
NON U.S. 4 609 1.0 3,663 5.9
---- --------- ---- --------- ----
5 609 1.0 4,061 6.5
05/01/07 NYME SUMAS BASIS SWAP U.S. 3 2,186 8.8 244 1.0 24,872
NON U.S. 4 3,236 13.0 1,561 6.3
---- --------- ---- --------- ----
7 5,422 21.8 1,805 7.3
05/01/07 NYME NGPL MID-CON BASIS SWAP U.S. 2 2,448 2.8 520 0.6 88,724
NON U.S. 4 4,962 5.6 1,208 1.4
---- --------- ---- --------- ----
6 7,410 8.4 1,728 1.9
05/01/07 NYME WAHA BASIS SWAP U.S. 4 1,736 1.4 14,414 11.8 122,540
NON U.S. 2 2,499 2.0 549 0.4
---- --------- ---- --------- ----
6 4,235 3.5 14,963 12.2
05/01/07 NYME CIG BASIS SWAP U.S. 4 236 0.4 10,736 16.7 64,364
NON U.S. 4 629 1.0 11,626 18.1
---- --------- ---- --------- ----
8 865 1.3 22,362 34.7
05/01/07 CME 1-MONTH LIBOR RATE U.S. 1 9,732 14.2 800 1.2 68,340
NON U.S. 8 9,905 14.5 9,595 14.0
---- --------- ---- --------- ----
9 19,637 28.7 10,395 15.2
05/01/07 NYBT COTTON NO. 2 U.S. 1 4,902 2.2 0 0.0 221,467
NON U.S. 9 16,423 7.4 948 0.4
---- --------- ---- --------- ----
10 21,325 9.6 948 0.4
05/01/07 NYME ALBERTA BASIS SWAP U.S. 5 6,523 4.1 7,154 4.5 159,225
NON U.S. 9 16,592 10.4 38,757 24.3
---- --------- ---- --------- ----
14 23,115 14.5 45,911 28.8
05/01/07 NYME CHICAGO BASIS SWAP U.S. 1 31 0.0 0 0.0 88,619
NON U.S. 4 550 0.6 1,129 1.3
---- --------- ---- --------- ----
5 581 0.7 1,129 1.3
05/01/07 NYME HOUSTON SHIP CH BASIS SWAP U.S. 6 3,376 1.2 13,877 5.1 273,428
NON U.S. 5 3,838 1.4 17,790 6.5
---- --------- ---- --------- ----
11 7,214 2.6 31,667 11.6
05/01/07 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 14,865 8.7 11,021 6.5 170,370
NON U.S. 7 11,840 6.9 19,785 11.6
---- --------- ---- --------- ----
12 26,705 15.7 30,806 18.1
05/01/07 NYME PANHANDLE BASIS SWAP U.S. 6 2,388 1.4 13,377 8.0 167,333
NON U.S. 4 3,446 2.1 20,597 12.3
---- --------- ---- --------- ----
10 5,834 3.5 33,974 20.3
05/01/07 NYME SAN JUAN BASIS SWAP U.S. 5 13,636 28.2 2,588 5.4 48,284
NON U.S. 4 2,565 5.3 2,897 6.0
---- --------- ---- --------- ----
9 16,201 33.6 5,485 11.4
05/01/07 NYME SOCAL BASIS SWAP U.S. 5 32,051 13.1 8,628 3.5 245,071
NON U.S. 5 7,695 3.1 22,135 9.0
---- --------- ---- --------- ----
10 39,746 16.2 30,763 12.6
05/01/07 NYME HENRY HUB GAS SWAP U.S. 5 187,692 7.5 229,648 9.2 2,492,100
NON U.S. 8 225,615 9.1 212,016 8.5
---- --------- ---- --------- ----
13 413,307 16.6 441,664 17.7
05/01/07 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 5 103,987 10.1 13,751 1.3 1,033,948
NON U.S. 9 338,704 32.8 192,663 18.6
---- --------- ---- --------- ----
14 442,691 42.8 206,414 20.0
05/01/07 CBT 2-YEAR U.S. TREASURY NOTES U.S. 3 16,895 1.5 30,744 2.8 1,105,577
NON U.S. 42 62,863 5.7 55,262 5.0
---- --------- ---- --------- ----
45 79,758 7.2 86,006 7.8
05/01/07 CBT 10-YEAR U.S. TREASURY NOTES U.S. 5 47,803 1.8 39,423 1.5 2,681,560
NON U.S. 44 153,729 5.7 82,788 3.1
---- --------- ---- --------- ----
49 201,532 7.5 122,211 4.6
05/01/07 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 30,799 1.7 30,051 1.7 1,767,579
NON U.S. 31 79,018 4.5 64,958 3.7
---- --------- ---- --------- ----
36 109,817 6.2 95,009 5.4
05/01/07 CBT 30-DAY FEDERAL FUNDS U.S. 3 52,234 8.2 54,713 8.5 640,677
NON U.S. 26 134,080 20.9 132,430 20.7
---- --------- ---- --------- ----
29 186,314 29.1 187,143 29.2
05/01/07 CME LEAN HOGS U.S. 1 4,040 2.3 0 0.0 173,056
NON U.S. 4 12,660 7.3 0 0.0
---- --------- ---- --------- ----
5 16,700 9.7 0 0.0
05/01/07 CME LIVE CATTLE U.S. 2 8,153 3.1 1,937 0.7 264,813
NON U.S. 4 17,305 6.5 0 0.0
---- --------- ---- --------- ----
6 25,458 9.6 1,937 0.7
05/01/07 CME FEEDER CATTLE U.S. 2 698 2.9 88 0.4 24,283
NON U.S. 3 855 3.5 0 0.0
---- --------- ---- --------- ----
5 1,553 6.4 88 0.4
05/01/07 NYME PJM ELECTRICITY MONTHLY U.S. 2 3,298 9.2 3,659 10.2 35,816
NON U.S. 3 1,013 2.8 944 2.6
---- --------- ---- --------- ----
5 4,311 12.0 4,603 12.9
05/01/07 NYME ISO NEW ENGLAND LMP SWAP U.S. 2 1,635 9.8 2,999 18.0 16,675
NON U.S. 3 832 5.0 1,222 7.3
---- --------- ---- --------- ----
5 2,467 14.8 4,221 25.3
05/01/07 NYME NORTH ILL CAL MONTH LMP SWAP U.S. 2 1,260 9.3 1,508 11.1 13,597
NON U.S. 3 1,018 7.5 168 1.2
---- --------- ---- --------- ----
5 2,278 16.8 1,676 12.3
05/01/07 NYME NORTH ILL OFF PK LMP SWAP U.S. 2 3,324 12.2 50 0.2 27,162
NON U.S. 3 2,880 10.6 3,568 13.1
---- --------- ---- --------- ----
5 6,204 22.8 3,618 13.3
05/01/07 NYME ISO NEW ENG OFF PK LMP SWAP U.S. 2 720 6.9 2,024 19.4 10,422
NON U.S. 3 952 9.1 160 1.5
---- --------- ---- --------- ----
5 1,672 16.0 2,184 21.0
05/01/07 NYME CRUDE OIL, LIGHT SWEET U.S. 6 38,566 2.9 60,295 4.5 1,341,807
NON U.S. 20 103,668 7.7 83,841 6.2
---- --------- ---- --------- ----
26 142,234 10.6 144,136 10.7
05/01/07 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 3 3,829 4.3 3,898 4.4 89,107
NON U.S. 9 10,755 12.1 28,806 32.3
---- --------- ---- --------- ----
12 14,584 16.4 32,704 36.7
05/01/07 NYME WTI CRUDE OIL FINANCIAL U.S. 3 4,140 5.9 3,436 4.9 70,382
NON U.S. 9 14,394 20.5 9,547 13.6
---- --------- ---- --------- ----
12 18,534 26.3 12,983 18.4
05/01/07 NYME WTI-BRENT CALENDAR SWAP NON U.S. 6 3,102 17.5 4,381 24.7 17,720
05/01/07 NYME BRENT (ICE) CALENDAR SWAP U.S. 1 872 4.7 0 0.0 18,446
NON U.S. 5 2,678 14.5 832 4.5
---- --------- ---- --------- ----
6 3,550 19.2 832 4.5
05/01/07 NYBT COCOA U.S. 1 1,733 1.2 0 0.0 148,631
NON U.S. 8 3,027 2.0 9,354 6.3
---- --------- ---- --------- ----
9 4,760 3.2 9,354 6.3
05/01/07 NYME PALLADIUM U.S. 2 0 0.0 312 1.6 20,105
NON U.S. 12 876 4.4 6,722 33.4
---- --------- ---- --------- ----
14 876 4.4 7,034 35.0
05/01/07 NYME PLATINUM U.S. 2 0 0.0 493 3.4 14,652
NON U.S. 9 1,203 8.2 1,490 10.2
---- --------- ---- --------- ----
11 1,203 8.2 1,983 13.5
05/01/07 NYBT SUGAR NO. 11 U.S. 2 10,222 1.4 2,005 0.3 708,275
NON U.S. 10 53,323 7.5 34,045 4.8
---- --------- ---- --------- ----
12 63,545 9.0 36,050 5.1
05/01/07 NYBT COFFEE C U.S. 1 1,898 1.2 0 0.0 153,966
NON U.S. 11 8,997 5.8 5,634 3.7
---- --------- ---- --------- ----
12 10,895 7.1 5,634 3.7
05/01/07 CMX SILVER U.S. 3 532 0.5 7,672 7.0 109,108
NON U.S. 9 4,535 4.2 4,707 4.3
---- --------- ---- --------- ----
12 5,067 4.6 12,379 11.3
05/01/07 CMX COPPER-GRADE #1 U.S. 1 1,975 2.4 0 0.0 81,864
NON U.S. 7 5,995 7.3 1,238 1.5
---- --------- ---- --------- ----
8 7,970 9.7 1,238 1.5
05/01/07 CBT GOLD, 100 TROY OZ U.S. 2 0 0.0 2,346 8.1 29,074
NON U.S. 7 1,536 5.3 2,517 8.7
---- --------- ---- --------- ----
9 1,536 5.3 4,863 16.7
05/01/07 CMX GOLD U.S. 5 1,935 0.5 41,410 10.4 396,276
NON U.S. 21 17,194 4.3 70,760 17.9
---- --------- ---- --------- ----
26 19,129 4.8 112,170 28.3
05/01/07 CME RUSSIAN RUBLE NON U.S. 5 6,218 46.3 13,147 97.9 13,425
05/01/07 CME CANADIAN DOLLAR U.S. 5 585 0.4 5,262 3.8 138,029
NON U.S. 9 8,268 6.0 39,550 28.7
---- --------- ---- --------- ----
14 8,853 6.4 44,812 32.5
05/01/07 CME SWISS FRANC U.S. 3 0 0.0 5,390 6.7 79,989
NON U.S. 6 35,971 45.0 3,721 4.7
---- --------- ---- --------- ----
9 35,971 45.0 9,111 11.4
05/01/07 CME MEXICAN PESO U.S. 3 2,248 2.1 13,293 12.4 107,566
NON U.S. 8 10,884 10.1 47,634 44.3
---- --------- ---- --------- ----
11 13,132 12.2 60,927 56.6
05/01/07 CME BRITISH POUND STERLING U.S. 4 762 0.5 8,882 6.2 144,051
NON U.S. 4 437 0.3 24,621 17.1
---- --------- ---- --------- ----
8 1,199 0.8 33,503 23.3
05/01/07 CME JAPANESE YEN U.S. 3 11,352 4.1 24,885 8.9 279,868
NON U.S. 9 98,329 35.1 2,214 0.8
---- --------- ---- --------- ----
12 109,681 39.2 27,099 9.7
05/01/07 CME EURO FX U.S. 5 2,021 0.9 17,372 7.4 235,249
NON U.S. 20 10,054 4.3 51,929 22.1
---- --------- ---- --------- ----
25 12,075 5.1 69,301 29.5
05/01/07 CME BRAZILIAN REAL U.S. 2 0 0.0 5,198 64.1 8,115
NON U.S. 3 0 0.0 2,690 33.1
---- --------- ---- --------- ----
5 0 0.0 7,888 97.2
05/01/07 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 2 2,817 1.7 224 0.1 165,418
NON U.S. 9 6,084 3.7 9,246 5.6
---- --------- ---- --------- ----
11 8,901 5.4 9,470 5.7
05/01/07 NYBT NEW ZEALAND DOLLAR U.S. 1 0 0.0 170 3.1 5,523
NON U.S. 4 0 0.0 1,711 31.0
---- --------- ---- --------- ----
5 0 0.0 1,881 34.1
05/01/07 CME NEW ZEALAND DOLLAR U.S. 1 0 0.0 975 3.9 25,253
NON U.S. 5 349 1.4 13,936 55.2
---- --------- ---- --------- ----
6 349 1.4 14,911 59.0
05/01/07 E VIX FUTURES U.S. 1 100 0.2 0 0.0 41,002
NON U.S. 5 1,071 2.6 406 1.0
---- --------- ---- --------- ----
6 1,171 2.9 406 1.0
05/01/07 NYBT SOUTH AFRICAN RAND U.S. 2 50 1.4 133 3.7 3,565
NON U.S. 4 645 18.1 440 12.3
---- --------- ---- --------- ----
6 695 19.5 573 16.1
05/01/07 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 3 2,383 5.0 100 0.2 47,954
NON U.S. 7 2,742 5.7 6,052 12.6
---- --------- ---- --------- ----
10 5,125 10.7 6,152 12.8
05/01/07 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 3 2,531 2.1 0 0.0 118,146
NON U.S. 8 1,830 1.5 3,084 2.6
---- --------- ---- --------- ----
11 4,361 3.7 3,084 2.6
05/01/07 CME EUROZONE HICP U.S. 1 30 5.4 0 0.0 555
NON U.S. 5 350 63.1 350 63.1
---- --------- ---- --------- ----
6 380 68.5 350 63.1
05/01/07 CME 3-MONTH EURODOLLARS U.S. 12 611,397 5.2 1,260,384 10.8 11,710,345
NON U.S. 68 2,060,958 17.6 975,971 8.3
---- --------- ---- --------- ----
80 2,672,355 22.8 2,236,355 19.1
05/01/07 CME S&P 500 STOCK INDEX U.S. 5 8,766 1.4 82 0.0 645,212
NON U.S. 21 8,609 1.3 66,566 10.3
---- --------- ---- --------- ----
26 17,375 2.7 66,648 10.3
05/01/07 CME E-MINI S&P 500 STOCK INDEX U.S. 7 9,359 0.5 30,609 1.5 1,993,806
NON U.S. 33 74,598 3.7 135,947 6.8
---- --------- ---- --------- ----
40 83,957 4.2 166,556 8.4
05/01/07 CME NASDAQ-100 STOCK INDEX U.S. 6 1,970 3.6 4,061 7.5 54,354
NON U.S. 8 3,189 5.9 1,063 2.0
---- --------- ---- --------- ----
14 5,159 9.5 5,124 9.4
05/01/07 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 8 14,136 3.1 16,123 3.5 459,779
NON U.S. 26 21,283 4.6 10,671 2.3
---- --------- ---- --------- ----
34 35,419 7.7 26,794 5.8
05/01/07 CME AUSTRALIAN DOLLAR U.S. 5 93 0.1 5,808 5.4 107,911
NON U.S. 4 242 0.2 32,534 30.1
---- --------- ---- --------- ----
9 335 0.3 38,342 35.5
05/01/07 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 2 233 0.6 6,114 14.7 41,687
NON U.S. 8 979 2.3 1,909 4.6
---- --------- ---- --------- ----
10 1,212 2.9 8,023 19.2
05/01/07 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 6 1,518 0.3 4,325 0.9 476,587
NON U.S. 17 10,946 2.3 7,630 1.6
---- --------- ---- --------- ----
23 12,464 2.6 11,955 2.5
05/01/07 CME NIKKEI STOCK AVERAGE U.S. 3 305 0.5 787 1.4 56,067
NON U.S. 21 6,152 11.0 6,542 11.7
---- --------- ---- --------- ----
24 6,457 11.5 7,329 13.1
05/01/07 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 5 4,840 8.7 644 1.2 55,722
NON U.S. 13 3,993 7.2 15,276 27.4
---- --------- ---- --------- ----
18 8,833 15.9 15,920 28.6
05/01/07 NYBT BRITISH POUND/JPN YEN XRATE U.S. 2 0 0.0 1,313 21.7 6,048
NON U.S. 5 50 0.8 1,422 23.5
---- --------- ---- --------- ----
7 50 0.8 2,735 45.2
05/01/07 NYBT EURO FX/JAPANESE YEN XRATE U.S. 3 0 0.0 4,692 16.7 28,140
NON U.S. 6 2,134 7.6 4,947 17.6
---- --------- ---- --------- ----
9 2,134 7.6 9,639 34.3
05/01/07 CME E-MINI S&P 400 STOCK INDEX U.S. 2 761 0.8 0 0.0 91,590
NON U.S. 5 2,342 2.6 1,024 1.1
---- --------- ---- --------- ----
7 3,103 3.4 1,024 1.1
05/01/07 CME EURO FX/JAPANESE YEN XRATE U.S. 1 247 3.0 0 0.0 8,196
NON U.S. 4 3,188 38.9 1,861 22.7
---- --------- ---- --------- ----
5 3,435 41.9 1,861 22.7
05/01/07 CME 3-MO. EUROYEN TIBOR U.S. 6 2,219 4.0 3,440 6.2 55,467
NON U.S. 18 12,762 23.0 13,539 24.4
---- --------- ---- --------- ----
24 14,981 27.0 16,979 30.6
05/01/07 NYBT EURO FX/BRITISH POUND XRATE U.S. 1 649 8.9 0 0.0 7,283
NON U.S. 4 2,499 34.3 828 11.4
---- --------- ---- --------- ----
5 3,148 43.2 828 11.4
05/01/07 NYBT EURO FX/NORWEGIAN KRONE XRATE U.S. 2 131 5.4 1,295 53.7 2,411
NON U.S. 3 273 11.3 342 14.2
---- --------- ---- --------- ----
5 404 16.8 1,637 67.9
05/01/07 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 2 450 3.4 555 4.2 13,142
NON U.S. 5 2,617 19.9 916 7.0
---- --------- ---- --------- ----
7 3,067 23.3 1,471 11.2
05/01/07 NYME RBOB CRACK SPREAD SWAP U.S. 1 75 0.7 120 1.1 10,898
NON U.S. 5 1,512 13.9 2,270 20.8
---- --------- ---- --------- ----
6 1,587 14.6 2,390 21.9