BANK PARTICIPATION IN FUTURES MARKETS (IN CONTRACTS)
BANK BANK LONG SHORT OPENDATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
03/01/11 CBT WHEAT U.S. 29,730 6.1 3,479 0.7 484,811
NON U.S. 5,699 1.2 7,516 1.6
---- --------- ---- --------- ----
12 35,429 7.3 10,995 2.3
03/01/11 CBT CORN U.S. 35,366 2.1 48,229 2.9 1,647,635
NON U.S. 11,397 0.7 10,164 0.6
---- --------- ---- --------- ----
8 46,763 2.8 58,393 3.5
03/01/11 CBT SOYBEANS U.S. 12,014 2.0 18,592 3.0 612,668
NON U.S. 10,264 1.7 2,595 0.4
---- --------- ---- --------- ----
8 22,278 3.6 21,187 3.5
03/01/11 CBT U.S. TREASURY BONDS U.S. 3,241 0.5 19,079 2.9 664,755
NON U.S. 261 0.0 3,498 0.5
---- --------- ---- --------- ----
7 3,502 0.5 22,577 3.4
03/01/11 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 16,449 5.5 27 0.0 300,541
NON U.S. 1,285 0.4 261 0.1
---- --------- ---- --------- ----
5 17,734 5.9 288 0.1
03/01/11 NYME NATURAL GAS U.S. 27,797 2.8 9,469 1.0 982,208
NON U.S. 17,212 1.8 217 0.0
---- --------- ---- --------- ----
9 45,009 4.6 9,686 1.0
03/01/11 ICUS COTTON NO. 2 U.S. 6,684 3.8 6,473 3.7 175,406
NON U.S. 1,172 0.7 3,758 2.1
---- --------- ---- --------- ----
7 7,856 4.5 10,231 5.8
03/01/11 NYME NW PIPE ROCKIES BASIS SWAP U.S. 2,864 3.6 4,663 5.9 78,768
NON U.S. 2,855 3.6 4,003 5.1
---- --------- ---- --------- ----
5 5,719 7.3 8,666 11.0
03/01/11 NYME PANHANDLE BASIS SWAP U.S. 23,813 16.6 6,576 4.6 143,136
NON U.S. 0 0.0 9,247 6.5
---- --------- ---- --------- ----
5 23,813 16.6 15,823 11.1
03/01/11 NYME SAN JUAN BASIS SWAP U.S. 1,682 5.2 1,759 5.5 32,162
NON U.S. 186 0.6 3,400 10.6
---- --------- ---- --------- ----
5 1,868 5.8 5,159 16.0
03/01/11 NYME HENRY HUB SWAP U.S. 4 65,734 2.6 205,430 8.0 2,574,446
NON U.S. 6 12,111 0.5 163,174 6.3
---- --------- ---- --------- ----
10 77,845 3.0 368,604 14.3
03/01/11 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 66,719 6.9 76,787 7.9 967,345
NON U.S. 43,484 4.5 9,570 1.0
---- --------- ---- --------- ----
8 110,203 11.4 86,357 8.9
03/01/11 CBT ROUGH RICE U.S. 525 2.0 0 0.0 25,687
NON U.S. 463 1.8 600 2.3
---- --------- ---- --------- ----
5 988 3.8 600 2.3
03/01/11 CBT 2-YEAR U.S. TREASURY NOTES U.S. 8 30,973 3.5 23,296 2.6 885,521
NON U.S. 16 7,887 0.9 17,643 2.0
---- --------- ---- --------- ----
24 38,860 4.4 40,939 4.6
03/01/11 CBT 10-YEAR U.S. TREASURY NOTES U.S. 7 39,960 2.7 55,900 3.8 1,477,383
NON U.S. 20 23,661 1.6 52,819 3.6
---- --------- ---- --------- ----
27 63,621 4.3 108,719 7.4
03/01/11 CBT 5-YEAR U.S. TREASURY NOTES U.S. 6 15,073 1.2 79,444 6.4 1,249,413
NON U.S. 10 9,386 0.8 33,116 2.7
---- --------- ---- --------- ----
16 24,459 2.0 112,560 9.0
03/01/11 CBT 30-DAY FEDERAL FUNDS U.S. 9 112,267 20.1 53,619 9.6 558,224
NON U.S. 12 31,282 5.6 29,425 5.3
---- --------- ---- --------- ----
21 143,549 25.7 83,044 14.9
03/01/11 CME LIVE CATTLE U.S. 7,830 2.2 1,522 0.4 355,843
NON U.S. 1,826 0.5 175 0.0
---- --------- ---- --------- ----
8 9,656 2.7 1,697 0.5
03/01/11 NYME CRUDE OIL, LIGHT SWEET U.S. 4 42,787 2.7 101,509 6.5 1,569,519
NON U.S. 11 16,946 1.1 120,609 7.7
---- --------- ---- --------- ----
15 59,733 3.8 222,118 14.2
03/01/11 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 4 12,612 5.8 36,591 16.7 218,750
NON U.S. 10 16,040 7.3 22,683 10.4
---- --------- ---- --------- ----
14 28,652 13.1 59,274 27.1
03/01/11 NYME WTI CRUDE OIL FINANCIAL U.S. 9,331 10.6 9,881 11.3 87,660
NON U.S. 2,091 2.4 706 0.8
---- --------- ---- --------- ----
6 11,422 13.0 10,587 12.1
03/01/11 NYME BRENT (ICE) CALENDAR SWAP U.S. 641 1.1 7,130 11.9 60,013
NON U.S. 2,756 4.6 1,477 2.5
---- --------- ---- --------- ----
5 3,397 5.7 8,607 14.3
03/01/11 NYME PALLADIUM U.S. 61 0.3 3,803 16.9 22,457
NON U.S. 531 2.4 4,067 18.1
---- --------- ---- --------- ----
10 592 2.6 7,870 35.0
03/01/11 NYME PLATINUM U.S. 68 0.2 4,912 11.8 41,621
NON U.S. 157 0.4 4,284 10.3
---- --------- ---- --------- ----
11 225 0.5 9,196 22.1
03/01/11 ICUS SUGAR NO. 11 U.S. 8,838 1.5 14,255 2.4 598,636
NON U.S. 5,775 1.0 15,361 2.6
---- --------- ---- --------- ----
11 14,613 2.4 29,616 4.9
03/01/11 ICUS COFFEE C U.S. 4,348 3.6 4,131 3.4 121,382
NON U.S. 686 0.6 5,106 4.2
---- --------- ---- --------- ----
8 5,034 4.1 9,237 7.6
03/01/11 CMX SILVER U.S. 396 0.3 25,586 18.8 135,802
NON U.S. 2,620 1.9 7,424 5.5
---- --------- ---- --------- ----
12 3,016 2.2 33,010 24.3
03/01/11 CMX COPPER-GRADE #1 U.S. 7,704 5.2 1,572 1.1 147,581
NON U.S. 1,176 0.8 34 0.0
---- --------- ---- --------- ----
7 8,880 6.0 1,606 1.1
03/01/11 CMX GOLD U.S. 4 21,945 4.3 92,596 18.0 515,784
NON U.S. 16 8,507 1.6 40,504 7.9
---- --------- ---- --------- ----
20 30,452 5.9 133,100 25.8
03/01/11 CME CANADIAN DOLLAR U.S. 6 160 0.1 32,884 22.2 148,414
NON U.S. 4 2,498 1.7 9,578 6.5
---- --------- ---- --------- ----
10 2,658 1.8 42,462 28.6
03/01/11 CME SWISS FRANC U.S. 635 1.1 2,345 4.1 57,360
NON U.S. 0 0.0 1,514 2.6
---- --------- ---- --------- ----
6 635 1.1 3,859 6.7
03/01/11 CME MEXICAN PESO U.S. 0 0.0 58,706 43.5 134,821
NON U.S. 161 0.1 7,001 5.2
---- --------- ---- --------- ----
8 161 0.1 65,707 48.7
03/01/11 CME BRITISH POUND STERLING U.S. 4,842 3.8 8,486 6.7 126,350
NON U.S. 536 0.4 329 0.3
---- --------- ---- --------- ----
8 5,378 4.3 8,815 7.0
03/01/11 CME JAPANESE YEN U.S. 5 3,526 2.6 13,596 10.0 136,561
NON U.S. 6 5,835 4.3 1,534 1.1
---- --------- ---- --------- ----
11 9,361 6.9 15,130 11.1
03/01/11 CME EURO FX U.S. 6 10,529 4.9 9,844 4.5 217,066
NON U.S. 10 5,926 2.7 5,373 2.5
---- --------- ---- --------- ----
16 16,455 7.6 15,217 7.0
03/01/11 NYME GASOLINE BLENDSTOCK (RBOB) U.S. 6,099 2.2 2,479 0.9 278,336
NON U.S. 1,250 0.4 54 0.0
---- --------- ---- --------- ----
7 7,349 2.6 2,533 0.9
03/01/11 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2,370 2.6 1,112 1.2 92,258
NON U.S. 3,347 3.6 4,020 4.4
---- --------- ---- --------- ----
7 5,717 6.2 5,132 5.6
03/01/11 CME 3-MONTH EURODOLLARS U.S. 14 1,248,004 13.4 1,214,528 13.0 9,326,908
NON U.S. 34 441,111 4.7 820,548 8.8
---- --------- ---- --------- ----
48 1,689,115 18.1 2,035,076 21.8
03/01/11 CME S&P 500 STOCK INDEX U.S. 4 2,803 0.8 8,248 2.3 352,098
NON U.S. 4 1,777 0.5 6,017 1.7
---- --------- ---- --------- ----
8 4,580 1.3 14,265 4.1
03/01/11 CME E-MINI S&P 500 STOCK INDEX U.S. 9 59,497 2.0 3,949 0.1 2,970,595
NON U.S. 31 33,044 1.1 47,398 1.6
---- --------- ---- --------- ----
40 92,541 3.1 51,347 1.7
03/01/11 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 4 10,535 2.9 675 0.2 360,389
NON U.S. 15 12,144 3.4 2,257 0.6
---- --------- ---- --------- ----
19 22,679 6.3 2,932 0.8
03/01/11 CME AUSTRALIAN DOLLAR U.S. 3,666 2.7 3,993 2.9 135,527
NON U.S. 702 0.5 3,184 2.3
---- --------- ---- --------- ----
7 4,368 3.2 7,177 5.3
03/01/11 ICUS RUSSELL 2000 MINI INDEX FUTURE U.S. 5 3,143 0.9 4,881 1.4 343,943
NON U.S. 6 2,213 0.6 987 0.3
---- --------- ---- --------- ----
11 5,356 1.6 5,868 1.7
03/01/11 CME NIKKEI STOCK AVERAGE U.S. 0 0.0 0 0.0 44,396
NON U.S. 1,779 4.0 1,861 4.2
---- --------- ---- --------- ----
6 1,779 4.0 1,861 4.2
03/01/11 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 334 0.5 0 0.0 64,564
NON U.S. 2,618 4.1 9,835 15.2
---- --------- ---- --------- ----
8 2,952 4.6 9,835 15.2
03/01/11 CME E-MINI MSCI EMERGING MARKETS U.S. 0 0.0 0 0.0 35,199
NON U.S. 1,825 5.2 2,896 8.2
---- --------- ---- --------- ----
5 1,825 5.2 2,896 8.2
03/01/11 NYME 3.5% FUEL OIL RDAM CRACK SPR U.S. 977 5.4 726 4.0 17,942
NON U.S. 1,052 5.9 1,280 7.1
---- --------- ---- --------- ----
5 2,029 11.3 2,006 11.2
March 7, 2011
www.cftc.gov/dea/bank/deaMar11f.htm