BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
04/05/05 CBT WHEAT U.S. 1 7,621 3.6 0 0.0 213,540
NON U.S. 6 33,356 15.6 974 0.5
---- --------- ---- --------- ----
7 40,977 19.2 974 0.5
04/05/05 KCBT WHEAT U.S. 1 1,246 1.8 0 0.0 69,665
NON U.S. 4 2,653 3.8 100 0.1
---- --------- ---- --------- ----
5 3,899 5.6 100 0.1
04/05/05 CBT CORN U.S. 1 12,460 1.8 0 0.0 678,519
NON U.S. 8 59,166 8.7 848 0.1
---- --------- ---- --------- ----
9 71,626 10.6 848 0.1
04/05/05 CBT SOYBEANS U.S. 1 4,998 1.8 0 0.0 281,916
NON U.S. 6 10,167 3.6 585 0.2
---- --------- ---- --------- ----
7 15,165 5.4 585 0.2
04/05/05 CBT U.S. TREASURY BONDS U.S. 5 18,765 2.6 6,282 0.9 735,433
NON U.S. 21 41,288 5.6 18,521 2.5
---- --------- ---- --------- ----
26 60,053 8.2 24,803 3.4
04/05/05 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 2 5,525 3.0 1,359 0.7 184,610
NON U.S. 3 9,634 5.2 4,405 2.4
---- --------- ---- --------- ----
5 15,159 8.2 5,764 3.1
04/05/05 NYME NATURAL GAS U.S. 6 7,474 1.6 12,696 2.7 473,862
NON U.S. 6 21,538 4.5 43,096 9.1
---- --------- ---- --------- ----
12 29,012 6.1 55,792 11.8
04/05/05 NYME PERMIAN BASIS SWAP U.S. 2 2,265 6.7 240 0.7 33,986
NON U.S. 3 1,437 4.2 1,222 3.6
---- --------- ---- --------- ----
5 3,702 10.9 1,462 4.3
04/05/05 NYME M-3 BASIS SWAP U.S. 1 604 0.6 0 0.0 94,113
NON U.S. 4 753 0.8 1,036 1.1
---- --------- ---- --------- ----
5 1,357 1.4 1,036 1.1
04/05/05 NYME SUMAS BASIS SWAP U.S. 3 3,152 5.2 604 1.0 60,131
NON U.S. 5 11,685 19.4 1,300 2.2
---- --------- ---- --------- ----
8 14,837 24.7 1,904 3.2
04/05/05 NYME NGPL MID-CON BASIS SWAP U.S. 1 604 2.1 0 0.0 28,588
NON U.S. 4 2,264 7.9 1,460 5.1
---- --------- ---- --------- ----
5 2,868 10.0 1,460 5.1
04/05/05 NYME WAHA BASIS SWAP U.S. 2 122 0.4 1,923 6.2 30,962
NON U.S. 3 0 0.0 3,002 9.7
---- --------- ---- --------- ----
5 122 0.4 4,925 15.9
04/05/05 NYME CIG BASIS SWAP U.S. 3 730 2.0 2,659 7.3 36,344
NON U.S. 3 184 0.5 5,357 14.7
---- --------- ---- --------- ----
6 914 2.5 8,016 22.1
04/05/05 CME 1-MONTH LIBOR RATE U.S. 5 10,530 12.6 18,979 22.8 83,260
NON U.S. 16 26,399 31.7 37,502 45.0
---- --------- ---- --------- ----
21 36,929 44.4 56,481 67.8
04/05/05 NYBT COTTON NO. 2 U.S. 1 3,463 2.9 0 0.0 118,626
NON U.S. 7 6,342 5.3 1,117 0.9
---- --------- ---- --------- ----
8 9,805 8.3 1,117 0.9
04/05/05 NYME ALBERTA BASIS SWAP U.S. 3 6,666 6.7 302 0.3 98,775
NON U.S. 6 4,887 4.9 29,438 29.8
---- --------- ---- --------- ----
9 11,553 11.7 29,740 30.1
04/05/05 NYME CHICAGO BASIS SWAP U.S. 1 0 0.0 670 1.4 47,012
NON U.S. 5 857 1.8 913 1.9
---- --------- ---- --------- ----
6 857 1.8 1,583 3.4
04/05/05 NYME HOUSTON SHIP CH BASIS SWAP U.S. 3 6,133 5.7 7,335 6.9 106,896
NON U.S. 4 2,334 2.2 16,544 15.5
---- --------- ---- --------- ----
7 8,467 7.9 23,879 22.3
04/05/05 NYME NW PIPE ROCKIES BASIS SWAP U.S. 3 1,526 1.6 699 0.7 95,021
NON U.S. 4 3,901 4.1 10,477 11.0
---- --------- ---- --------- ----
7 5,427 5.7 11,176 11.8
04/05/05 NYME PANHANDLE BASIS SWAP U.S. 3 432 0.6 11,955 15.6 76,852
NON U.S. 4 5,872 7.6 1,310 1.7
---- --------- ---- --------- ----
7 6,304 8.2 13,265 17.3
04/05/05 NYME SOCAL BASIS SWAP U.S. 2 950 1.0 1,045 1.1 92,719
NON U.S. 4 3,216 3.5 2,914 3.1
---- --------- ---- --------- ----
6 4,166 4.5 3,959 4.3
04/05/05 NYME HENRY HUB GAS SWAP U.S. 6 12,860 1.4 112,054 12.0 935,649
NON U.S. 6 37,374 4.0 152,923 16.3
---- --------- ---- --------- ----
12 50,234 5.4 264,977 28.3
04/05/05 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 4 5,088 3.6 2,539 1.8 142,847
NON U.S. 6 22,099 15.5 18,744 13.1
---- --------- ---- --------- ----
10 27,187 19.0 21,283 14.9
04/05/05 CBT 2-YEAR U.S. TREASURY NOTES U.S. 2 5,740 1.8 2,063 0.7 313,417
NON U.S. 12 13,527 4.3 18,483 5.9
---- --------- ---- --------- ----
14 19,267 6.1 20,546 6.6
04/05/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 8 42,476 2.1 36,967 1.9 1,986,875
NON U.S. 36 51,289 2.6 72,215 3.6
---- --------- ---- --------- ----
44 93,765 4.7 109,182 5.5
04/05/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 15,970 1.2 16,400 1.2 1,386,332
NON U.S. 29 126,850 9.2 75,466 5.4
---- --------- ---- --------- ----
34 142,820 10.3 91,866 6.6
04/05/05 CBT 30-DAY FEDERAL FUNDS U.S. 4 58,357 13.1 20,530 4.6 443,838
NON U.S. 28 62,308 14.0 107,781 24.3
---- --------- ---- --------- ----
32 120,665 27.2 128,311 28.9
04/05/05 CME LIVE CATTLE U.S. 2 4,052 2.7 734 0.5 148,107
NON U.S. 3 7,728 5.2 0 0.0
---- --------- ---- --------- ----
5 11,780 8.0 734 0.5
04/05/05 NYME CRUDE OIL, LIGHT SWEET U.S. 5 21,119 2.5 70,044 8.1 859,819
NON U.S. 14 52,807 6.1 74,223 8.6
---- --------- ---- --------- ----
19 73,926 8.6 144,267 16.8
04/05/05 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 3 708 2.4 4,077 13.9 29,383
NON U.S. 2 1,448 4.9 2,100 7.1
---- --------- ---- --------- ----
5 2,156 7.3 6,177 21.0
04/05/05 NYME PALLADIUM U.S. 1 0 0.0 277 2.1 12,923
NON U.S. 10 481 3.7 1,786 13.8
---- --------- ---- --------- ----
11 481 3.7 2,063 16.0
04/05/05 NYBT SUGAR NO. 11 U.S. 1 8,855 2.4 0 0.0 363,911
NON U.S. 7 18,566 5.1 8,388 2.3
---- --------- ---- --------- ----
8 27,421 7.5 8,388 2.3
04/05/05 NYBT COFFEE C U.S. 1 2,099 1.8 200 0.2 116,331
NON U.S. 9 3,813 3.3 6,076 5.2
---- --------- ---- --------- ----
10 5,912 5.1 6,276 5.4
04/05/05 CMX SILVER U.S. 2 0 0.0 7,667 7.8 98,663
NON U.S. 10 7,295 7.4 15,595 15.8
---- --------- ---- --------- ----
12 7,295 7.4 23,262 23.6
04/05/05 CMX COPPER-GRADE #1 U.S. 2 2,889 2.4 0 0.0 119,690
NON U.S. 4 3,829 3.2 5,843 4.9
---- --------- ---- --------- ----
6 6,718 5.6 5,843 4.9
04/05/05 CMX GOLD U.S. 2 2,142 0.8 38,908 14.3 272,946
NON U.S. 16 12,282 4.5 68,094 24.9
---- --------- ---- --------- ----
18 14,424 5.3 107,002 39.2
04/05/05 CME CANADIAN DOLLAR U.S. 4 94 0.1 3,005 3.7 80,302
NON U.S. 9 4,015 5.0 23,068 28.7
---- --------- ---- --------- ----
13 4,109 5.1 26,073 32.5
04/05/05 CME SWISS FRANC U.S. 3 1,566 3.3 0 0.0 47,464
NON U.S. 6 8,743 18.4 43 0.1
---- --------- ---- --------- ----
9 10,309 21.7 43 0.1
04/05/05 CME MEXICAN PESO U.S. 4 2,218 3.7 10,067 16.6 60,463
NON U.S. 10 8,974 14.8 16,747 27.7
---- --------- ---- --------- ----
14 11,192 18.5 26,814 44.3
04/05/05 CME BRITISH POUND STERLING U.S. 4 3,002 4.4 6 0.0 68,416
NON U.S. 5 6,761 9.9 3,256 4.8
---- --------- ---- --------- ----
9 9,763 14.3 3,262 4.8
04/05/05 CME JAPANESE YEN U.S. 6 1,262 1.0 14,920 11.7 127,406
NON U.S. 13 12,330 9.7 3,398 2.7
---- --------- ---- --------- ----
19 13,592 10.7 18,318 14.4
04/05/05 CME EURO FX U.S. 5 2,853 2.3 481 0.4 126,079
NON U.S. 19 35,023 27.8 6,230 4.9
---- --------- ---- --------- ----
24 37,876 30.0 6,711 5.3
04/05/05 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 2 5,784 3.2 485 0.3 178,811
NON U.S. 4 7,136 4.0 3,445 1.9
---- --------- ---- --------- ----
6 12,920 7.2 3,930 2.2
04/05/05 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 4,261 11.1 0 0.0 38,218
NON U.S. 12 3,194 8.4 14,725 38.5
---- --------- ---- --------- ----
16 7,455 19.5 14,725 38.5
04/05/05 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 1 0 0.0 389 1.0 40,314
NON U.S. 4 4,854 12.0 465 1.2
---- --------- ---- --------- ----
5 4,854 12.0 854 2.1
04/05/05 CME 3-MONTH EURODOLLARS U.S. 9 880,926 10.7 409,151 5.0 8,257,196
NON U.S. 72 1,612,875 19.5 1,299,637 15.7
---- --------- ---- --------- ----
81 2,493,801 30.2 1,708,788 20.7
04/05/05 CME S&P 500 STOCK INDEX U.S. 7 31,676 4.7 672 0.1 671,875
NON U.S. 19 9,871 1.5 134,801 20.1
---- --------- ---- --------- ----
26 41,547 6.2 135,473 20.2
04/05/05 CME E-MINI S&P 500 STOCK INDEX U.S. 5 25,889 2.9 5,171 0.6 879,805
NON U.S. 26 5,761 0.7 82,146 9.3
---- --------- ---- --------- ----
31 31,650 3.6 87,317 9.9
04/05/05 CME NASDAQ-100 STOCK INDEX U.S. 5 507 0.9 2,098 3.9 53,645
NON U.S. 14 10,271 19.1 1,293 2.4
---- --------- ---- --------- ----
19 10,778 20.1 3,391 6.3
04/05/05 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 5 290 0.1 4,478 1.7 263,251
NON U.S. 24 66,851 25.4 2,654 1.0
---- --------- ---- --------- ----
29 67,141 25.5 7,132 2.7
04/05/05 CME AUSTRALIAN DOLLAR U.S. 4 2,438 3.1 0 0.0 78,489
NON U.S. 7 10,955 14.0 13,162 16.8
---- --------- ---- --------- ----
11 13,393 17.1 13,162 16.8
04/05/05 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 3 241 0.8 886 2.8 31,186
NON U.S. 2 5,326 17.1 0 0.0
---- --------- ---- --------- ----
5 5,567 17.9 886 2.8
04/05/05 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 2 0 0.0 1,968 1.2 170,342
NON U.S. 9 24,209 14.2 1,150 0.7
---- --------- ---- --------- ----
11 24,209 14.2 3,118 1.8
04/05/05 CME NIKKEI STOCK AVERAGE NON U.S. 11 2,832 7.9 4,398 12.3 35,713
04/05/05 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 5 10,915 32.3 1,110 3.3 33,800
NON U.S. 5 1,790 5.3 1,937 5.7
---- --------- ---- --------- ----
10 12,705 37.6 3,047 9.0
04/05/05 CBT INTEREST RATE SWAPS 5YR - 3MO U.S. 3 9,369 74.4 1,410 11.2 12,587
NON U.S. 3 0 0.0 1,117 8.9
---- --------- ---- --------- ----
6 9,369 74.4 2,527 20.1
04/05/05 NYBT BRITISH POUND/JPN YEN XRATE NON U.S. 5 651 9.2 1,601 22.6 7,092
04/05/05 NYBT EURO FX/JAPANESE YEN XRATE NON U.S. 6 0 0.0 6,541 37.6 17,377
04/05/05 NYBT AUSSIE DOLLAR/JPN YEN XRATE NON U.S. 5 7 0.1 4,666 75.6 6,174
04/05/05 CME 3-MO. EUROYEN TIBOR U.S. 2 1,624 2.4 350 0.5 68,707
NON U.S. 21 45,186 65.8 14,906 21.7
---- --------- ---- --------- ----
23 46,810 68.1 15,256 22.2
04/05/05 NYBT EURO FX/BRITISH POUND XRATE NON U.S. 5 1,166 19.4 100 1.7 6,014
04/05/05 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 4 510 2.9 500 2.9 17,530
NON U.S. 2 2,595 14.8 885 5.0
---- --------- ---- --------- ----
6 3,105 17.7 1,385 7.9