BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
12/06/05 CBT WHEAT U.S. 1 10,247 3.5 200 0.1 296,112
NON U.S. 8 49,516 16.7 1,753 0.6
---- --------- ---- --------- ----
9 59,763 20.2 1,953 0.7
12/06/05 KCBT WHEAT U.S. 1 1,429 1.2 0 0.0 115,401
NON U.S. 8 4,600 4.0 300 0.3
---- --------- ---- --------- ----
9 6,029 5.2 300 0.3
12/06/05 CBT CORN U.S. 1 18,915 2.5 416 0.1 767,600
NON U.S. 9 76,771 10.0 2,161 0.3
---- --------- ---- --------- ----
10 95,686 12.5 2,577 0.3
12/06/05 CBT SOYBEANS U.S. 1 7,653 2.6 50 0.0 290,574
NON U.S. 5 16,332 5.6 0 0.0
---- --------- ---- --------- ----
6 23,985 8.3 50 0.0
12/06/05 CBT SOYBEAN OIL U.S. 1 4,165 2.2 0 0.0 187,661
NON U.S. 4 8,633 4.6 3 0.0
---- --------- ---- --------- ----
5 12,798 6.8 3 0.0
12/06/05 CBT U.S. TREASURY BONDS U.S. 3 7,086 1.2 14,700 2.5 579,879
NON U.S. 15 10,584 1.8 21,852 3.8
---- --------- ---- --------- ----
18 17,670 3.0 36,552 6.3
12/06/05 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 2 6,074 3.3 366 0.2 183,846
NON U.S. 7 12,621 6.9 1,767 1.0
---- --------- ---- --------- ----
9 18,695 10.2 2,133 1.2
12/06/05 NYME NATURAL GAS U.S. 5 27,294 5.0 20,667 3.8 549,314
NON U.S. 9 27,351 5.0 38,965 7.1
---- --------- ---- --------- ----
14 54,645 9.9 59,632 10.9
12/06/05 NYME MICHCON BASIS SWAP U.S. 1 80 0.2 0 0.0 52,622
NON U.S. 4 540 1.0 14,640 27.8
---- --------- ---- --------- ----
5 620 1.2 14,640 27.8
12/06/05 NYME MALIN BASIS SWAP U.S. 1 61 0.1 8,394 12.9 65,192
NON U.S. 4 6,485 9.9 1,154 1.8
---- --------- ---- --------- ----
5 6,546 10.0 9,548 14.6
12/06/05 NYME SUMAS BASIS SWAP U.S. 4 3,958 7.9 270 0.5 50,377
NON U.S. 5 5,076 10.1 543 1.1
---- --------- ---- --------- ----
9 9,034 17.9 813 1.6
12/06/05 NYME CIG BASIS SWAP U.S. 4 1,432 2.5 2,566 4.5 57,225
NON U.S. 4 2,435 4.3 22,602 39.5
---- --------- ---- --------- ----
8 3,867 6.8 25,168 44.0
12/06/05 CME 1-MONTH LIBOR RATE U.S. 1 625 2.0 13,098 41.0 31,985
NON U.S. 6 7,122 22.3 6,493 20.3
---- --------- ---- --------- ----
7 7,747 24.2 19,591 61.3
12/06/05 NYBT COTTON NO. 2 U.S. 1 3,737 3.8 0 0.0 97,435
NON U.S. 7 9,730 10.0 171 0.2
---- --------- ---- --------- ----
8 13,467 13.8 171 0.2
12/06/05 NYME ALBERTA BASIS SWAP U.S. 4 7,228 4.4 1,431 0.9 164,844
NON U.S. 6 11,412 6.9 52,901 32.1
---- --------- ---- --------- ----
10 18,640 11.3 54,332 33.0
12/06/05 NYME HOUSTON SHIP CH BASIS SWAP U.S. 5 1,937 1.4 8,969 6.3 143,146
NON U.S. 5 2,954 2.1 25,309 17.7
---- --------- ---- --------- ----
10 4,891 3.4 34,278 23.9
12/06/05 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 8,456 5.4 1,374 0.9 157,060
NON U.S. 6 11,913 7.6 12,815 8.2
---- --------- ---- --------- ----
11 20,369 13.0 14,189 9.0
12/06/05 NYME PANHANDLE BASIS SWAP U.S. 5 3,510 2.5 12,941 9.4 138,179
NON U.S. 5 15,635 11.3 616 0.4
---- --------- ---- --------- ----
10 19,145 13.9 13,557 9.8
12/06/05 NYME SAN JUAN BASIS SWAP U.S. 5 2,110 7.4 2,596 9.1 28,443
NON U.S. 3 751 2.6 428 1.5
---- --------- ---- --------- ----
8 2,861 10.1 3,024 10.6
12/06/05 NYME SOCAL BASIS SWAP U.S. 4 13,351 8.9 1,832 1.2 149,635
NON U.S. 5 6,464 4.3 3,928 2.6
---- --------- ---- --------- ----
9 19,815 13.2 5,760 3.8
12/06/05 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 0 0.0 9,935 15.9 62,323
NON U.S. 3 1,659 2.7 275 0.4
---- --------- ---- --------- ----
5 1,659 2.7 10,210 16.4
12/06/05 NYME HENRY HUB GAS SWAP U.S. 6 31,409 2.3 169,637 12.2 1,385,539
NON U.S. 8 90,771 6.6 208,659 15.1
---- --------- ---- --------- ----
14 122,180 8.8 378,296 27.3
12/06/05 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 5 10,708 3.6 3,251 1.1 300,334
NON U.S. 7 59,793 19.9 62,267 20.7
---- --------- ---- --------- ----
12 70,501 23.5 65,518 21.8
12/06/05 CBT 2-YEAR U.S. TREASURY NOTES U.S. 3 8,432 2.5 7,546 2.2 336,264
NON U.S. 17 14,027 4.2 21,580 6.4
---- --------- ---- --------- ----
20 22,459 6.7 29,126 8.7
12/06/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 5 15,201 0.9 42,995 2.5 1,707,068
NON U.S. 32 38,980 2.3 95,428 5.6
---- --------- ---- --------- ----
37 54,181 3.2 138,423 8.1
12/06/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 16,586 1.4 19,286 1.6 1,195,373
NON U.S. 31 103,531 8.7 74,459 6.2
---- --------- ---- --------- ----
36 120,117 10.0 93,745 7.8
12/06/05 CBT 30-DAY FEDERAL FUNDS U.S. 3 26,708 7.8 17,463 5.1 340,331
NON U.S. 23 46,425 13.6 72,112 21.2
---- --------- ---- --------- ----
26 73,133 21.5 89,575 26.3
12/06/05 CME LEAN HOGS U.S. 1 4,435 3.5 0 0.0 127,281
NON U.S. 4 8,447 6.6 0 0.0
---- --------- ---- --------- ----
5 12,882 10.1 0 0.0
12/06/05 CME LIVE CATTLE U.S. 2 5,349 2.7 1,448 0.7 196,414
NON U.S. 4 10,111 5.1 0 0.0
---- --------- ---- --------- ----
6 15,460 7.9 1,448 0.7
12/06/05 CME FEEDER CATTLE U.S. 2 341 1.1 268 0.9 30,100
NON U.S. 3 644 2.1 0 0.0
---- --------- ---- --------- ----
5 985 3.3 268 0.9
12/06/05 NYME PJM ELECTRICITY MONTHLY U.S. 2 280 0.4 3,075 4.2 72,431
NON U.S. 3 1,812 2.5 1,588 2.2
---- --------- ---- --------- ----
5 2,092 2.9 4,663 6.4
12/06/05 NYME NYISO ZONE A LBMP SWAP U.S. 2 5,093 19.2 299 1.1 26,571
NON U.S. 3 842 3.2 3,564 13.4
---- --------- ---- --------- ----
5 5,935 22.3 3,863 14.5
12/06/05 NYME CRUDE OIL, LIGHT SWEET U.S. 5 27,572 3.2 61,582 7.1 861,412
NON U.S. 18 73,593 8.5 73,439 8.5
---- --------- ---- --------- ----
23 101,165 11.7 135,021 15.7
12/06/05 NYBT COCOA U.S. 1 435 0.4 0 0.0 120,051
NON U.S. 5 1,678 1.4 461 0.4
---- --------- ---- --------- ----
6 2,113 1.8 461 0.4
12/06/05 NYME PALLADIUM U.S. 1 0 0.0 315 2.1 15,157
NON U.S. 11 554 3.7 3,355 22.1
---- --------- ---- --------- ----
12 554 3.7 3,670 24.2
12/06/05 NYME PLATINUM U.S. 1 0 0.0 130 1.1 12,234
NON U.S. 7 387 3.2 438 3.6
---- --------- ---- --------- ----
8 387 3.2 568 4.6
12/06/05 NYBT SUGAR NO. 11 U.S. 1 11,839 2.3 0 0.0 517,813
NON U.S. 7 26,712 5.2 16,310 3.1
---- --------- ---- --------- ----
8 38,551 7.4 16,310 3.1
12/06/05 NYBT COFFEE C U.S. 1 2,089 2.6 0 0.0 79,957
NON U.S. 10 6,037 7.6 4,274 5.3
---- --------- ---- --------- ----
11 8,126 10.2 4,274 5.3
12/06/05 CMX SILVER U.S. 3 145 0.1 21,704 15.3 141,571
NON U.S. 10 1,136 0.8 18,347 13.0
---- --------- ---- --------- ----
13 1,281 0.9 40,051 28.3
12/06/05 CMX COPPER-GRADE #1 U.S. 2 3,793 3.6 22 0.0 105,746
NON U.S. 9 7,360 7.0 2,071 2.0
---- --------- ---- --------- ----
11 11,153 10.5 2,093 2.0
12/06/05 CMX GOLD U.S. 4 2,252 0.7 74,732 21.9 341,011
NON U.S. 21 8,051 2.4 59,486 17.4
---- --------- ---- --------- ----
25 10,303 3.0 134,218 39.4
12/06/05 CME CANADIAN DOLLAR U.S. 5 2,469 2.1 5,818 4.9 118,337
NON U.S. 12 8,239 7.0 20,616 17.4
---- --------- ---- --------- ----
17 10,708 9.0 26,434 22.3
12/06/05 CME SWISS FRANC U.S. 5 12,401 11.8 0 0.0 105,413
NON U.S. 7 21,254 20.2 5,226 5.0
---- --------- ---- --------- ----
12 33,655 31.9 5,226 5.0
12/06/05 CME MEXICAN PESO U.S. 5 3,006 2.2 15,827 11.6 136,373
NON U.S. 8 3,142 2.3 47,496 34.8
---- --------- ---- --------- ----
13 6,148 4.5 63,323 46.4
12/06/05 CME BRITISH POUND STERLING U.S. 5 5,470 5.1 2,819 2.6 107,224
NON U.S. 7 19,597 18.3 150 0.1
---- --------- ---- --------- ----
12 25,067 23.4 2,969 2.8
12/06/05 CME JAPANESE YEN U.S. 7 23,253 10.6 20,709 9.4 220,313
NON U.S. 12 44,923 20.4 1,365 0.6
---- --------- ---- --------- ----
19 68,176 30.9 22,074 10.0
12/06/05 CME EURO FX U.S. 5 32,335 18.0 253 0.1 179,353
NON U.S. 16 23,148 12.9 26,109 14.6
---- --------- ---- --------- ----
21 55,483 30.9 26,362 14.7
12/06/05 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 1 5,824 4.1 246 0.2 143,227
NON U.S. 8 10,216 7.1 2,125 1.5
---- --------- ---- --------- ----
9 16,040 11.2 2,371 1.7
12/06/05 NYBT NEW ZEALAND DOLLAR U.S. 1 0 0.0 541 11.6 4,670
NON U.S. 7 534 11.4 2,231 47.8
---- --------- ---- --------- ----
8 534 11.4 2,772 59.4
12/06/05 CME NEW ZEALAND DOLLAR U.S. 2 0 0.0 601 4.9 12,187
NON U.S. 5 1,359 11.2 4,046 33.2
---- --------- ---- --------- ----
7 1,359 11.2 4,647 38.1
12/06/05 NYBT NORWEGIAN KRONE NON U.S. 5 271 6.4 1,514 35.8 4,227
12/06/05 NYBT SOUTH AFRICAN RAND NON U.S. 5 2,679 84.0 0 0.0 3,191
12/06/05 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 3,974 9.6 965 2.3 41,472
NON U.S. 9 2,216 5.3 1,187 2.9
---- --------- ---- --------- ----
13 6,190 14.9 2,152 5.2
12/06/05 CBT DOW JONES INDUSTRIAL AVG- x $5 NON U.S. 6 362 0.4 13,853 14.6 95,186
12/06/05 CME 3-MONTH EURODOLLARS U.S. 12 1,043,527 10.8 740,090 7.6 9,691,212
NON U.S. 66 1,290,092 13.3 1,358,657 14.0
---- --------- ---- --------- ----
78 2,333,619 24.1 2,098,747 21.7
12/06/05 CME S&P 500 STOCK INDEX U.S. 6 24,789 3.6 1,365 0.2 695,597
NON U.S. 16 8,115 1.2 96,967 13.9
---- --------- ---- --------- ----
22 32,904 4.7 98,332 14.1
12/06/05 CME E-MINI S&P 500 STOCK INDEX U.S. 5 42,458 3.3 22,009 1.7 1,277,369
NON U.S. 31 36,302 2.8 131,862 10.3
---- --------- ---- --------- ----
36 78,760 6.2 153,871 12.0
12/06/05 NYBT BRIT POUND/SWISS FRANC XRATE U.S. 1 1,271 31.2 1,409 34.6 4,071
NON U.S. 4 94 2.3 1,811 44.5
---- --------- ---- --------- ----
5 1,365 33.5 3,220 79.1
12/06/05 CME NASDAQ-100 STOCK INDEX U.S. 6 3,562 5.9 6,479 10.6 60,858
NON U.S. 16 6,486 10.7 1,431 2.4
---- --------- ---- --------- ----
22 10,048 16.5 7,910 13.0
12/06/05 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 6 2,840 0.7 29,032 6.9 418,872
NON U.S. 27 11,932 2.8 31,650 7.6
---- --------- ---- --------- ----
33 14,772 3.5 60,682 14.5
12/06/05 CME AUSTRALIAN DOLLAR U.S. 5 3,814 5.3 4,333 6.0 71,637
NON U.S. 5 9,468 13.2 6,791 9.5
---- --------- ---- --------- ----
10 13,282 18.5 11,124 15.5
12/06/05 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 4 402 1.0 3,903 9.5 41,124
NON U.S. 5 3,550 8.6 340 0.8
---- --------- ---- --------- ----
9 3,952 9.6 4,243 10.3
12/06/05 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 4 50 0.0 7,023 2.3 299,001
NON U.S. 11 39,499 13.2 2,993 1.0
---- --------- ---- --------- ----
15 39,549 13.2 10,016 3.3
12/06/05 CME NIKKEI STOCK AVERAGE NON U.S. 13 6,876 6.5 6,823 6.4 106,263
12/06/05 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 2 1,828 2.9 853 1.3 63,273
NON U.S. 7 3,368 5.3 1,479 2.3
---- --------- ---- --------- ----
9 5,196 8.2 2,332 3.7
12/06/05 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 4 3,859 10.1 11,206 29.3 38,190
NON U.S. 6 1,481 3.9 1,954 5.1
---- --------- ---- --------- ----
10 5,340 14.0 13,160 34.5
12/06/05 CBT INTEREST RATE SWAPS 5YR - 3MO U.S. 3 11,703 75.2 600 3.9 15,556
NON U.S. 3 0 0.0 650 4.2
---- --------- ---- --------- ----
6 11,703 75.2 1,250 8.0
12/06/05 NYBT EURO FX/JAPANESE YEN XRATE U.S. 2 0 0.0 2,621 10.0 26,212
NON U.S. 8 794 3.0 6,137 23.4
---- --------- ---- --------- ----
10 794 3.0 8,758 33.4
12/06/05 CME S&P 400 MIDCAP STOCK INDEX U.S. 1 381 2.5 0 0.0 15,065
NON U.S. 4 385 2.6 1,386 9.2
---- --------- ---- --------- ----
5 766 5.1 1,386 9.2
12/06/05 NYBT AUSSIE/NEW ZEALAND DLR XRATE U.S. 1 1,223 31.0 1,223 31.0 3,939
NON U.S. 4 2,117 53.7 166 4.2
---- --------- ---- --------- ----
5 3,340 84.8 1,389 35.3
12/06/05 NYBT EURO FX/SWISS FRANC XRATE U.S. 2 0 0.0 1,906 15.9 11,969
NON U.S. 4 2,115 17.7 2,556 21.4
---- --------- ---- --------- ----
6 2,115 17.7 4,462 37.3
12/06/05 CME 3-MO. EUROYEN TIBOR U.S. 4 1,924 4.5 1,320 3.1 42,794
NON U.S. 21 8,749 20.4 16,811 39.3
---- --------- ---- --------- ----
25 10,673 24.9 18,131 42.4
12/06/05 NYBT EURO FX/BRITISH POUND XRATE U.S. 1 87 1.1 0 0.0 8,226
NON U.S. 6 2,681 32.6 1,640 19.9
---- --------- ---- --------- ----
7 2,768 33.6 1,640 19.9
12/06/05 NYBT EURO FX/NORWEGIAN KRONE XRATE NON U.S. 5 600 10.8 888 16.0 5,535
12/06/05 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 3 660 8.5 220 2.8 7,739
NON U.S. 3 1,830 23.6 800 10.3
---- --------- ---- --------- ----
6 2,490 32.2 1,020 13.2
12/06/05 NYME UNL GAS CRACK SPRD CAL SWAP U.S. 2 0 0.0 375 6.6 5,687
NON U.S. 3 0 0.0 325 5.7
---- --------- ---- --------- ----
5 0 0.0 700 12.3