BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
02/01/05 CBT WHEAT U.S. 1 8,061 3.6 0 0.0 222,294
NON U.S. 5 29,613 13.3 775 0.3
---- --------- ---- --------- ----
6 37,674 16.9 775 0.3
02/01/05 CBT CORN U.S. 1 13,503 2.1 0 0.0 649,713
NON U.S. 6 51,770 8.0 1,389 0.2
---- --------- ---- --------- ----
7 65,273 10.0 1,389 0.2
02/01/05 CBT U.S. TREASURY BONDS U.S. 4 30,466 4.0 12,396 1.6 754,773
NON U.S. 21 9,404 1.2 38,885 5.2
---- --------- ---- --------- ----
25 39,870 5.3 51,281 6.8
02/01/05 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 3 5,790 3.7 1,015 0.6 157,694
NON U.S. 3 8,689 5.5 3,898 2.5
---- --------- ---- --------- ----
6 14,479 9.2 4,913 3.1
02/01/05 NYME NATURAL GAS U.S. 6 8,056 2.1 7,569 1.9 391,909
NON U.S. 7 25,814 6.6 35,568 9.1
---- --------- ---- --------- ----
13 33,870 8.6 43,137 11.0
02/01/05 NYME PERMIAN BASIS SWAP U.S. 2 1,313 4.3 307 1.0 30,855
NON U.S. 3 1,377 4.5 184 0.6
---- --------- ---- --------- ----
5 2,690 8.7 491 1.6
02/01/05 NYME SUMAS BASIS SWAP U.S. 3 3,397 5.8 784 1.3 58,655
NON U.S. 5 7,511 12.8 1,341 2.3
---- --------- ---- --------- ----
8 10,908 18.6 2,125 3.6
02/01/05 NYME NGPL MID-CON BASIS SWAP NON U.S. 5 3,008 15.9 1,578 8.4 18,898
02/01/05 NYME CIG BASIS SWAP U.S. 3 87 0.3 2,641 7.7 34,400
NON U.S. 4 0 0.0 6,640 19.3
---- --------- ---- --------- ----
7 87 0.3 9,281 27.0
02/01/05 CME 1-MONTH LIBOR RATE U.S. 6 7,746 18.2 7,303 17.1 42,638
NON U.S. 14 17,324 40.6 18,933 44.4
---- --------- ---- --------- ----
20 25,070 58.8 26,236 61.5
02/01/05 NYBT COTTON NO. 2 U.S. 1 3,031 3.4 0 0.0 90,430
NON U.S. 6 4,764 5.3 970 1.1
---- --------- ---- --------- ----
7 7,795 8.6 970 1.1
02/01/05 NYME ALBERTA BASIS SWAP U.S. 3 6,328 6.7 302 0.3 94,096
NON U.S. 6 7,597 8.1 17,018 18.1
---- --------- ---- --------- ----
9 13,925 14.8 17,320 18.4
02/01/05 NYME CHICAGO BASIS SWAP U.S. 2 0 0.0 459 1.1 40,750
NON U.S. 4 918 2.3 1,494 3.7
---- --------- ---- --------- ----
6 918 2.3 1,953 4.8
02/01/05 NYME HOUSTON SHIP CH BASIS SWAP U.S. 3 7,502 7.1 7,332 7.0 105,312
NON U.S. 4 1,350 1.3 20,035 19.0
---- --------- ---- --------- ----
7 8,852 8.4 27,367 26.0
02/01/05 NYME NW PIPE ROCKIES BASIS SWAP U.S. 3 1,708 2.5 947 1.4 69,517
NON U.S. 4 1,650 2.4 5,670 8.2
---- --------- ---- --------- ----
7 3,358 4.8 6,617 9.5
02/01/05 NYME PANHANDLE BASIS SWAP U.S. 3 403 0.6 12,564 20.2 62,120
NON U.S. 3 3,113 5.0 1,306 2.1
---- --------- ---- --------- ----
6 3,516 5.7 13,870 22.3
02/01/05 NYME SOCAL BASIS SWAP U.S. 1 1,807 2.6 365 0.5 70,310
NON U.S. 4 1,619 2.3 3,702 5.3
---- --------- ---- --------- ----
5 3,426 4.9 4,067 5.8
02/01/05 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 666 1.1 62 0.1 61,790
NON U.S. 3 1,662 2.7 493 0.8
---- --------- ---- --------- ----
5 2,328 3.8 555 0.9
02/01/05 NYME HENRY HUB GAS SWAP U.S. 6 14,435 1.6 111,518 12.2 913,002
NON U.S. 6 51,360 5.6 138,439 15.2
---- --------- ---- --------- ----
12 65,795 7.2 249,957 27.4
02/01/05 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 2 448 0.4 929 0.9 99,972
NON U.S. 5 5,033 5.0 11,002 11.0
---- --------- ---- --------- ----
7 5,481 5.5 11,931 11.9
02/01/05 CBT 2-YEAR U.S. TREASURY NOTES U.S. 2 2,872 0.9 2,549 0.8 308,462
NON U.S. 20 17,609 5.7 26,884 8.7
---- --------- ---- --------- ----
22 20,481 6.6 29,433 9.5
02/01/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 24,361 1.4 16,278 0.9 1,749,409
NON U.S. 46 64,954 3.7 110,313 6.3
---- --------- ---- --------- ----
52 89,315 5.1 126,591 7.2
02/01/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 9,950 0.8 29,024 2.4 1,220,394
NON U.S. 35 93,801 7.7 101,606 8.3
---- --------- ---- --------- ----
39 103,751 8.5 130,630 10.7
02/01/05 CBT 30-DAY FEDERAL FUNDS U.S. 4 103,424 21.1 24,309 5.0 490,328
NON U.S. 27 31,841 6.5 240,259 49.0
---- --------- ---- --------- ----
31 135,265 27.6 264,568 54.0
02/01/05 NYME CRUDE OIL, LIGHT SWEET U.S. 5 22,196 3.0 60,050 8.2 734,197
NON U.S. 13 51,859 7.1 63,112 8.6
---- --------- ---- --------- ----
18 74,055 10.1 123,162 16.8
02/01/05 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 3 216 0.7 3,518 12.0 29,345
NON U.S. 3 3,069 10.5 2,565 8.7
---- --------- ---- --------- ----
6 3,285 11.2 6,083 20.7
02/01/05 NYME PALLADIUM U.S. 1 0 0.0 343 2.6 13,444
NON U.S. 9 488 3.6 1,351 10.0
---- --------- ---- --------- ----
10 488 3.6 1,694 12.6
02/01/05 NYBT SUGAR NO. 11 U.S. 1 7,294 1.7 274 0.1 421,891
NON U.S. 4 12,306 2.9 11,367 2.7
---- --------- ---- --------- ----
5 19,600 4.6 11,641 2.8
02/01/05 NYBT COFFEE C U.S. 1 2,233 2.1 200 0.2 105,119
NON U.S. 8 2,411 2.3 3,378 3.2
---- --------- ---- --------- ----
9 4,644 4.4 3,578 3.4
02/01/05 CMX SILVER U.S. 2 0 0.0 6,902 7.3 95,173
NON U.S. 10 5,524 5.8 14,502 15.2
---- --------- ---- --------- ----
12 5,524 5.8 21,404 22.5
02/01/05 CMX COPPER-GRADE #1 U.S. 2 3,540 4.0 237 0.3 88,810
NON U.S. 4 3,376 3.8 3,660 4.1
---- --------- ---- --------- ----
6 6,916 7.8 3,897 4.4
02/01/05 CMX GOLD U.S. 2 3,596 1.4 22,826 9.0 253,116
NON U.S. 17 23,089 9.1 44,035 17.4
---- --------- ---- --------- ----
19 26,685 10.5 66,861 26.4
02/01/05 CME CANADIAN DOLLAR U.S. 4 3,324 4.3 322 0.4 77,006
NON U.S. 11 13,028 16.9 27,288 35.4
---- --------- ---- --------- ----
15 16,352 21.2 27,610 35.9
02/01/05 CME SWISS FRANC U.S. 3 4,348 8.4 2,894 5.6 51,859
NON U.S. 7 20,021 38.6 1,455 2.8
---- --------- ---- --------- ----
10 24,369 47.0 4,349 8.4
02/01/05 CME MEXICAN PESO U.S. 4 0 0.0 19,330 24.4 79,368
NON U.S. 13 5,064 6.4 22,649 28.5
---- --------- ---- --------- ----
17 5,064 6.4 41,979 52.9
02/01/05 CME BRITISH POUND STERLING U.S. 2 1,013 1.5 0 0.0 65,926
NON U.S. 7 6,631 10.1 3,404 5.2
---- --------- ---- --------- ----
9 7,644 11.6 3,404 5.2
02/01/05 CME JAPANESE YEN U.S. 5 1,196 0.7 6,643 4.0 167,125
NON U.S. 12 18,497 11.1 14,237 8.5
---- --------- ---- --------- ----
17 19,693 11.8 20,880 12.5
02/01/05 CME EURO FX U.S. 4 5,451 4.2 1,218 0.9 129,210
NON U.S. 20 17,739 13.7 8,010 6.2
---- --------- ---- --------- ----
24 23,190 17.9 9,228 7.1
02/01/05 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 2 5,670 3.5 1,212 0.7 162,159
NON U.S. 4 8,854 5.5 3,053 1.9
---- --------- ---- --------- ----
6 14,524 9.0 4,265 2.6
02/01/05 CME NEW ZEALAND DOLLAR U.S. 1 0 0.0 116 1.0 11,643
NON U.S. 4 34 0.3 5,054 43.4
---- --------- ---- --------- ----
5 34 0.3 5,170 44.4
02/01/05 CME SOUTH AFRICAN RAND U.S. 1 140 4.8 0 0.0 2,925
NON U.S. 4 1,472 50.3 253 8.6
---- --------- ---- --------- ----
5 1,612 55.1 253 8.6
02/01/05 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 3 2,220 4.7 0 0.0 47,494
NON U.S. 15 5,636 11.9 19,372 40.8
---- --------- ---- --------- ----
18 7,856 16.5 19,372 40.8
02/01/05 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2 358 0.5 600 0.8 77,997
NON U.S. 5 700 0.9 20,580 26.4
---- --------- ---- --------- ----
7 1,058 1.4 21,180 27.2
02/01/05 CME 3-MONTH EURODOLLARS U.S. 11 703,845 9.3 600,669 7.9 7,573,472
NON U.S. 67 1,855,372 24.5 1,337,095 17.7
---- --------- ---- --------- ----
78 2,559,217 33.8 1,937,764 25.6
02/01/05 CME S&P 500 STOCK INDEX U.S. 6 33,527 5.0 2,493 0.4 668,608
NON U.S. 24 15,255 2.3 146,258 21.9
---- --------- ---- --------- ----
30 48,782 7.3 148,751 22.2
02/01/05 CME E-MINI S&P 500 STOCK INDEX U.S. 3 2,618 0.3 1,008 0.1 812,013
NON U.S. 27 44,794 5.5 47,154 5.8
---- --------- ---- --------- ----
30 47,412 5.8 48,162 5.9
02/01/05 CME NASDAQ-100 STOCK INDEX U.S. 5 1,235 1.6 3,175 4.2 75,187
NON U.S. 13 6,618 8.8 2,035 2.7
---- --------- ---- --------- ----
18 7,853 10.4 5,210 6.9
02/01/05 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 3 1,642 0.4 1,770 0.5 369,383
NON U.S. 25 47,936 13.0 6,034 1.6
---- --------- ---- --------- ----
28 49,578 13.4 7,804 2.1
02/01/05 CME AUSTRALIAN DOLLAR U.S. 5 920 1.2 956 1.2 79,897
NON U.S. 8 3,432 4.3 17,423 21.8
---- --------- ---- --------- ----
13 4,352 5.4 18,379 23.0
02/01/05 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 2 427 0.3 0 0.0 160,705
NON U.S. 10 31,385 19.5 2,726 1.7
---- --------- ---- --------- ----
12 31,812 19.8 2,726 1.7
02/01/05 CME NIKKEI STOCK AVERAGE NON U.S. 11 2,874 8.3 9,505 27.6 34,449
02/01/05 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 5 13,706 33.5 1,110 2.7 40,945
NON U.S. 6 6,676 16.3 1,887 4.6
---- --------- ---- --------- ----
11 20,382 49.8 2,997 7.3
02/01/05 CBT INTEREST RATE SWAPS 5YR - 3MO U.S. 4 4,887 34.6 1,410 10.0 14,134
NON U.S. 2 0 0.0 650 4.6
---- --------- ---- --------- ----
6 4,887 34.6 2,060 14.6
02/01/05 NYBT BRITISH POUND/JPN YEN XRATE NON U.S. 5 1,752 52.6 10 0.3 3,333
02/01/05 NYBT EURO FX/JAPANESE YEN XRATE U.S. 2 1,044 7.7 1,088 8.1 13,487
NON U.S. 8 2,858 21.2 4,485 33.3
---- --------- ---- --------- ----
10 3,902 28.9 5,573 41.3
02/01/05 CME EURO FX/BRITISH POUND XRATE U.S. 1 27 1.4 0 0.0 1,894
NON U.S. 6 1,056 55.8 902 47.6
---- --------- ---- --------- ----
7 1,083 57.2 902 47.6
02/01/05 CME E-MINI S&P 400 STOCK INDEX U.S. 2 656 2.3 45 0.2 28,975
NON U.S. 3 2,992 10.3 501 1.7
---- --------- ---- --------- ----
5 3,648 12.6 546 1.9
02/01/05 NYBT EURO FX/SWEDISH KRONA XRATE U.S. 1 0 0.0 30 0.4 6,848
NON U.S. 6 4,703 68.7 2 0.0
---- --------- ---- --------- ----
7 4,703 68.7 32 0.5
02/01/05 NYBT SWISS FRANC/JAPANESE YEN XRATE NON U.S. 6 409 14.0 2,082 71.1 2,927
02/01/05 NYBT EURO FX/SWISS FRANC XRATE NON U.S. 5 1,671 14.6 4,503 39.3 11,461
02/01/05 CME 3-MO. EUROYEN TIBOR U.S. 3 1,624 1.3 701 0.6 121,270
NON U.S. 18 51,386 42.4 63,980 52.8
---- --------- ---- --------- ----
21 53,010 43.7 64,681 53.3
02/01/05 NYBT EURO FX/BRITISH POUND XRATE NON U.S. 5 699 16.0 2,213 50.5 4,379
02/01/05 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 4 550 3.0 375 2.1 18,254
NON U.S. 2 4,135 22.7 870 4.8
---- --------- ---- --------- ----
6 4,685 25.7 1,245 6.8