BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
08/02/05 CBT WHEAT U.S. 1 9,619 3.7 0 0.0 257,888
NON U.S. 7 45,401 17.6 1,175 0.5
---- --------- ---- --------- ----
8 55,020 21.3 1,175 0.5
08/02/05 CBT CORN U.S. 1 17,354 2.3 0 0.0 743,559
NON U.S. 7 64,888 8.7 1,776 0.2
---- --------- ---- --------- ----
8 82,242 11.1 1,776 0.2
08/02/05 CBT SOYBEANS U.S. 1 6,750 2.5 0 0.0 272,292
NON U.S. 6 12,955 4.8 524 0.2
---- --------- ---- --------- ----
7 19,705 7.2 524 0.2
08/02/05 CBT U.S. TREASURY BONDS U.S. 4 19,012 3.4 7,311 1.3 554,372
NON U.S. 21 12,030 2.2 24,551 4.4
---- --------- ---- --------- ----
25 31,042 5.6 31,862 5.7
08/02/05 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 1 4,860 2.8 625 0.4 176,682
NON U.S. 4 10,234 5.8 4,477 2.5
---- --------- ---- --------- ----
5 15,094 8.5 5,102 2.9
08/02/05 NYME NATURAL GAS U.S. 6 11,512 2.3 14,884 3.0 502,094
NON U.S. 6 25,712 5.1 40,306 8.0
---- --------- ---- --------- ----
12 37,224 7.4 55,190 11.0
08/02/05 NYME PERMIAN BASIS SWAP U.S. 3 4,620 12.7 271 0.7 36,424
NON U.S. 4 1,005 2.8 1,459 4.0
---- --------- ---- --------- ----
7 5,625 15.4 1,730 4.7
08/02/05 NYME PG&E CITYGATE BASIS SWAP U.S. 2 730 1.3 3,416 6.2 55,160
NON U.S. 3 1,422 2.6 3,254 5.9
---- --------- ---- --------- ----
5 2,152 3.9 6,670 12.1
08/02/05 NYME SUMAS BASIS SWAP U.S. 3 4,408 7.1 844 1.4 62,379
NON U.S. 5 7,229 11.6 880 1.4
---- --------- ---- --------- ----
8 11,637 18.7 1,724 2.8
08/02/05 NYME WAHA BASIS SWAP U.S. 2 122 0.4 1,622 4.9 32,819
NON U.S. 3 1,290 3.9 2,732 8.3
---- --------- ---- --------- ----
5 1,412 4.3 4,354 13.3
08/02/05 NYME CIG BASIS SWAP U.S. 4 1,189 2.8 2,017 4.7 42,699
NON U.S. 3 545 1.3 8,914 20.9
---- --------- ---- --------- ----
7 1,734 4.1 10,931 25.6
08/02/05 CME 1-MONTH LIBOR RATE U.S. 5 31,655 43.7 18,105 25.0 72,436
NON U.S. 9 14,474 20.0 29,532 40.8
---- --------- ---- --------- ----
14 46,129 63.7 47,637 65.8
08/02/05 NYBT COTTON NO. 2 U.S. 1 3,508 3.7 0 0.0 94,139
NON U.S. 8 8,084 8.6 332 0.4
---- --------- ---- --------- ----
9 11,592 12.3 332 0.4
08/02/05 NYME ALBERTA BASIS SWAP U.S. 3 7,220 6.0 302 0.3 120,370
NON U.S. 6 9,238 7.7 33,733 28.0
---- --------- ---- --------- ----
9 16,458 13.7 34,035 28.3
08/02/05 NYME CHICAGO BASIS SWAP U.S. 2 0 0.0 694 1.3 51,928
NON U.S. 4 244 0.5 730 1.4
---- --------- ---- --------- ----
6 244 0.5 1,424 2.7
08/02/05 NYME HOUSTON SHIP CH BASIS SWAP U.S. 3 2,959 2.5 8,318 6.9 120,307
NON U.S. 4 3,479 2.9 14,034 11.7
---- --------- ---- --------- ----
7 6,438 5.4 22,352 18.6
08/02/05 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 2,423 2.1 4,108 3.5 115,819
NON U.S. 5 11,544 10.0 8,484 7.3
---- --------- ---- --------- ----
10 13,967 12.1 12,592 10.9
08/02/05 NYME PANHANDLE BASIS SWAP U.S. 3 241 0.2 10,741 11.1 96,531
NON U.S. 4 5,383 5.6 1,060 1.1
---- --------- ---- --------- ----
7 5,624 5.8 11,801 12.2
08/02/05 NYME SAN JUAN BASIS SWAP U.S. 4 1,100 5.3 305 1.5 20,778
NON U.S. 2 882 4.2 1,158 5.6
---- --------- ---- --------- ----
6 1,982 9.5 1,463 7.0
08/02/05 NYME SOCAL BASIS SWAP U.S. 2 739 0.7 2,516 2.4 105,596
NON U.S. 4 2,469 2.3 2,614 2.5
---- --------- ---- --------- ----
6 3,208 3.0 5,130 4.9
08/02/05 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 302 0.4 1,246 1.6 75,905
NON U.S. 3 1,657 2.2 336 0.4
---- --------- ---- --------- ----
5 1,959 2.6 1,582 2.1
08/02/05 NYME HENRY HUB GAS SWAP U.S. 6 22,740 2.0 127,573 11.4 1,119,504
NON U.S. 6 53,150 4.7 169,153 15.1
---- --------- ---- --------- ----
12 75,890 6.8 296,726 26.5
08/02/05 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 4 3,931 2.2 7,101 4.0 178,978
NON U.S. 6 34,760 19.4 21,557 12.0
---- --------- ---- --------- ----
10 38,691 21.6 28,658 16.0
08/02/05 CBT 2-YEAR U.S. TREASURY NOTES U.S. 2 7,529 2.1 1,784 0.5 360,649
NON U.S. 13 26,781 7.4 11,773 3.3
---- --------- ---- --------- ----
15 34,310 9.5 13,557 3.8
08/02/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 7 64,666 3.2 19,385 1.0 2,006,687
NON U.S. 45 54,161 2.7 82,081 4.1
---- --------- ---- --------- ----
52 118,827 5.9 101,466 5.1
08/02/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 25,766 1.8 25,693 1.8 1,450,245
NON U.S. 31 143,426 9.9 65,739 4.5
---- --------- ---- --------- ----
36 169,192 11.7 91,432 6.3
08/02/05 CBT 30-DAY FEDERAL FUNDS U.S. 5 72,022 19.0 30,761 8.1 379,708
NON U.S. 19 40,722 10.7 103,726 27.3
---- --------- ---- --------- ----
24 112,744 29.7 134,487 35.4
08/02/05 CME LIVE CATTLE U.S. 2 5,157 3.7 336 0.2 139,375
NON U.S. 3 8,809 6.3 0 0.0
---- --------- ---- --------- ----
5 13,966 10.0 336 0.2
08/02/05 NYME PJM ELECTRICITY MONTHLY U.S. 2 2,040 2.8 1,655 2.3 72,820
NON U.S. 3 1,270 1.7 2,314 3.2
---- --------- ---- --------- ----
5 3,310 4.5 3,969 5.5
08/02/05 NYME CRUDE OIL, LIGHT SWEET U.S. 5 34,469 4.1 59,901 7.1 840,179
NON U.S. 16 71,283 8.5 77,415 9.2
---- --------- ---- --------- ----
21 105,752 12.6 137,316 16.3
08/02/05 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 3 600 2.3 4,104 15.7 26,171
NON U.S. 2 1,780 6.8 1,815 6.9
---- --------- ---- --------- ----
5 2,380 9.1 5,919 22.6
08/02/05 NYBT COCOA U.S. 1 398 0.3 0 0.0 126,674
NON U.S. 5 1,475 1.2 0 0.0
---- --------- ---- --------- ----
6 1,873 1.5 0 0.0
08/02/05 NYME PALLADIUM U.S. 1 0 0.0 484 3.4 14,299
NON U.S. 8 330 2.3 2,001 14.0
---- --------- ---- --------- ----
9 330 2.3 2,485 17.4
08/02/05 NYBT SUGAR NO. 11 U.S. 1 11,966 2.6 0 0.0 452,855
NON U.S. 8 22,048 4.9 8,639 1.9
---- --------- ---- --------- ----
9 34,014 7.5 8,639 1.9
08/02/05 NYBT COFFEE C U.S. 1 1,921 2.1 0 0.0 93,689
NON U.S. 8 4,637 4.9 3,522 3.8
---- --------- ---- --------- ----
9 6,558 7.0 3,522 3.8
08/02/05 CMX SILVER U.S. 2 0 0.0 17,048 14.0 122,020
NON U.S. 10 7,041 5.8 10,719 8.8
---- --------- ---- --------- ----
12 7,041 5.8 27,767 22.8
08/02/05 CMX COPPER-GRADE #1 U.S. 2 3,542 3.0 22 0.0 117,895
NON U.S. 6 5,668 4.8 3,820 3.2
---- --------- ---- --------- ----
8 9,210 7.8 3,842 3.3
08/02/05 CMX GOLD U.S. 4 1,260 0.5 52,529 21.5 244,488
NON U.S. 23 12,683 5.2 33,847 13.8
---- --------- ---- --------- ----
27 13,943 5.7 86,376 35.3
08/02/05 CME RUSSIAN RUBLE U.S. 1 167 2.7 54 0.9 6,184
NON U.S. 6 1,745 28.2 4,985 80.6
---- --------- ---- --------- ----
7 1,912 30.9 5,039 81.5
08/02/05 CME CANADIAN DOLLAR U.S. 4 876 1.0 9,682 11.0 87,906
NON U.S. 14 7,670 8.7 20,406 23.2
---- --------- ---- --------- ----
18 8,546 9.7 30,088 34.2
08/02/05 CME SWISS FRANC U.S. 2 26 0.0 2,326 3.3 71,327
NON U.S. 6 20,608 28.9 3,080 4.3
---- --------- ---- --------- ----
8 20,634 28.9 5,406 7.6
08/02/05 CME MEXICAN PESO U.S. 4 2,553 2.7 5,181 5.4 95,783
NON U.S. 7 2,088 2.2 33,486 35.0
---- --------- ---- --------- ----
11 4,641 4.8 38,667 40.4
08/02/05 CME BRITISH POUND STERLING U.S. 2 0 0.0 513 0.7 73,519
NON U.S. 7 18,369 25.0 15 0.0
---- --------- ---- --------- ----
9 18,369 25.0 528 0.7
08/02/05 CME JAPANESE YEN U.S. 5 7,490 4.5 368 0.2 165,281
NON U.S. 11 39,440 23.9 1,714 1.0
---- --------- ---- --------- ----
16 46,930 28.4 2,082 1.3
08/02/05 CME EURO FX U.S. 4 2,739 1.9 1,471 1.0 143,594
NON U.S. 22 21,772 15.2 4,029 2.8
---- --------- ---- --------- ----
26 24,511 17.1 5,500 3.8
08/02/05 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 2 6,561 4.3 165 0.1 152,857
NON U.S. 6 8,818 5.8 3,400 2.2
---- --------- ---- --------- ----
8 15,379 10.1 3,565 2.3
08/02/05 NYBT NEW ZEALAND DOLLAR U.S. 1 0 0.0 173 9.2 1,872
NON U.S. 5 291 15.5 470 25.1
---- --------- ---- --------- ----
6 291 15.5 643 34.3
08/02/05 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 4,375 14.2 0 0.0 30,723
NON U.S. 7 1,755 5.7 2,433 7.9
---- --------- ---- --------- ----
11 6,130 20.0 2,433 7.9
08/02/05 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 1 141 0.3 0 0.0 54,527
NON U.S. 5 9,003 16.5 800 1.5
---- --------- ---- --------- ----
6 9,144 16.8 800 1.5
08/02/05 CME 3-MONTH EURODOLLARS U.S. 10 741,047 9.6 493,569 6.4 7,727,059
NON U.S. 68 1,336,380 17.3 1,011,543 13.1
---- --------- ---- --------- ----
78 2,077,427 26.9 1,505,112 19.5
08/02/05 CME S&P 500 STOCK INDEX U.S. 4 21,637 3.3 603 0.1 648,000
NON U.S. 14 7,482 1.2 129,112 19.9
---- --------- ---- --------- ----
18 29,119 4.5 129,715 20.0
08/02/05 CME E-MINI S&P 500 STOCK INDEX U.S. 6 56,973 5.7 8,856 0.9 1,005,704
NON U.S. 24 9,556 1.0 43,097 4.3
---- --------- ---- --------- ----
30 66,529 6.6 51,953 5.2
08/02/05 NYBT BRIT POUND/SWISS FRANC XRATE U.S. 1 0 0.0 921 37.6 2,450
NON U.S. 4 0 0.0 1,445 59.0
---- --------- ---- --------- ----
5 0 0.0 2,366 96.6
08/02/05 CME NASDAQ-100 STOCK INDEX U.S. 4 1,449 2.9 2,658 5.4 49,222
NON U.S. 13 3,096 6.3 1,228 2.5
---- --------- ---- --------- ----
17 4,545 9.2 3,886 7.9
08/02/05 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 5 6,792 2.2 10,877 3.5 308,181
NON U.S. 24 55,689 18.1 3,274 1.1
---- --------- ---- --------- ----
29 62,481 20.3 14,151 4.6
08/02/05 CME AUSTRALIAN DOLLAR U.S. 4 2,426 4.0 3,976 6.5 60,900
NON U.S. 9 1,039 1.7 9,630 15.8
---- --------- ---- --------- ----
13 3,465 5.7 13,606 22.3
08/02/05 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 3 413 1.3 639 2.1 30,750
NON U.S. 4 3,041 9.9 378 1.2
---- --------- ---- --------- ----
7 3,454 11.2 1,017 3.3
08/02/05 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 1 0 0.0 735 0.3 226,147
NON U.S. 8 2,861 1.3 6,608 2.9
---- --------- ---- --------- ----
9 2,861 1.3 7,343 3.2
08/02/05 CME NIKKEI STOCK AVERAGE U.S. 2 1,741 3.9 0 0.0 44,679
NON U.S. 12 4,971 11.1 4,985 11.2
---- --------- ---- --------- ----
14 6,712 15.0 4,985 11.2
08/02/05 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 4 6,435 17.7 6,631 18.3 36,259
NON U.S. 7 2,621 7.2 4,177 11.5
---- --------- ---- --------- ----
11 9,056 25.0 10,808 29.8
08/02/05 CBT INTEREST RATE SWAPS 5YR - 3MO U.S. 5 8,733 67.7 3,210 24.9 12,901
NON U.S. 1 0 0.0 350 2.7
---- --------- ---- --------- ----
6 8,733 67.7 3,560 27.6
08/02/05 NYBT EURO FX/JAPANESE YEN XRATE U.S. 2 0 0.0 4,224 34.3 12,298
NON U.S. 5 1,312 10.7 1,957 15.9
---- --------- ---- --------- ----
7 1,312 10.7 6,181 50.3
08/02/05 NYBT AUSSIE DOLLAR/JPN YEN XRATE U.S. 2 0 0.0 2,349 26.3 8,947
NON U.S. 3 3 0.0 5,961 66.6
---- --------- ---- --------- ----
5 3 0.0 8,310 92.9
08/02/05 CME S&P 400 MIDCAP STOCK INDEX U.S. 1 330 2.7 0 0.0 12,341
NON U.S. 4 424 3.4 1,421 11.5
---- --------- ---- --------- ----
5 754 6.1 1,421 11.5
08/02/05 NYBT EURO FX/SWEDISH KRONA XRATE U.S. 1 400 5.0 0 0.0 7,929
NON U.S. 4 6 0.1 1,124 14.2
---- --------- ---- --------- ----
5 406 5.1 1,124 14.2
08/02/05 NYBT SWISS FRANC/JAPANESE YEN XRATE U.S. 1 635 16.0 0 0.0 3,957
NON U.S. 4 2,524 63.8 64 1.6
---- --------- ---- --------- ----
5 3,159 79.8 64 1.6
08/02/05 NYBT EURO FX/SWISS FRANC XRATE U.S. 1 809 3.0 0 0.0 26,545
NON U.S. 4 0 0.0 9,479 35.7
---- --------- ---- --------- ----
5 809 3.0 9,479 35.7
08/02/05 CME 3-MO. EUROYEN TIBOR U.S. 2 1,624 5.3 250 0.8 30,806
NON U.S. 16 9,175 29.8 16,221 52.7
---- --------- ---- --------- ----
18 10,799 35.1 16,471 53.5
08/02/05 NYBT EURO FX/BRITISH POUND XRATE NON U.S. 5 3,064 43.0 0 0.0 7,118
08/02/05 NYBT EURO FX/NORWEGIAN KRONE XRATE U.S. 1 1,452 33.5 0 0.0 4,329
NON U.S. 5 772 17.8 1,012 23.4
---- --------- ---- --------- ----
6 2,224 51.4 1,012 23.4
08/02/05 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 4 685 6.2 280 2.5 11,038
NON U.S. 2 2,665 24.1 150 1.4
---- --------- ---- --------- ----
6 3,350 30.3 430 3.9