BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
07/05/05 CBT WHEAT U.S. 1 9,245 4.0 0 0.0 229,828
NON U.S. 7 42,722 18.6 1,001 0.4
---- --------- ---- --------- ----
8 51,967 22.6 1,001 0.4
07/05/05 KCBT WHEAT U.S. 1 1,468 1.9 0 0.0 76,322
NON U.S. 4 3,185 4.2 0 0.0
---- --------- ---- --------- ----
5 4,653 6.1 0 0.0
07/05/05 CBT CORN U.S. 1 15,285 2.2 0 0.0 689,252
NON U.S. 5 62,683 9.1 528 0.1
---- --------- ---- --------- ----
6 77,968 11.3 528 0.1
07/05/05 CBT SOYBEANS U.S. 1 7,006 2.4 0 0.0 290,635
NON U.S. 6 12,869 4.4 424 0.1
---- --------- ---- --------- ----
7 19,875 6.8 424 0.1
07/05/05 CBT U.S. TREASURY BONDS U.S. 4 17,076 2.8 11,671 1.9 619,184
NON U.S. 21 7,952 1.3 22,833 3.7
---- --------- ---- --------- ----
25 25,028 4.0 34,504 5.6
07/05/05 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 1 4,326 2.3 0 0.0 190,385
NON U.S. 4 9,824 5.2 4,402 2.3
---- --------- ---- --------- ----
5 14,150 7.4 4,402 2.3
07/05/05 NYME NATURAL GAS U.S. 6 12,507 2.6 13,987 2.9 476,263
NON U.S. 7 25,704 5.4 40,866 8.6
---- --------- ---- --------- ----
13 38,211 8.0 54,853 11.5
07/05/05 NYME PERMIAN BASIS SWAP U.S. 3 2,558 6.7 240 0.6 38,090
NON U.S. 3 1,222 3.2 1,462 3.8
---- --------- ---- --------- ----
6 3,780 9.9 1,702 4.5
07/05/05 NYME PG&E CITYGATE BASIS SWAP U.S. 2 730 1.3 2,248 4.0 56,501
NON U.S. 3 1,649 2.9 1,438 2.5
---- --------- ---- --------- ----
5 2,379 4.2 3,686 6.5
07/05/05 NYME SUMAS BASIS SWAP U.S. 3 3,996 6.2 784 1.2 64,435
NON U.S. 5 7,531 11.7 2,509 3.9
---- --------- ---- --------- ----
8 11,527 17.9 3,293 5.1
07/05/05 NYME WAHA BASIS SWAP U.S. 2 122 0.4 1,723 5.4 31,638
NON U.S. 3 434 1.4 2,498 7.9
---- --------- ---- --------- ----
5 556 1.8 4,221 13.3
07/05/05 NYME CIG BASIS SWAP U.S. 3 761 1.8 2,201 5.2 42,471
NON U.S. 3 576 1.4 9,038 21.3
---- --------- ---- --------- ----
6 1,337 3.1 11,239 26.5
07/05/05 CME 1-MONTH LIBOR RATE U.S. 5 32,414 38.0 27,243 31.9 85,384
NON U.S. 8 10,514 12.3 19,116 22.4
---- --------- ---- --------- ----
13 42,928 50.3 46,359 54.3
07/05/05 NYBT COTTON NO. 2 U.S. 1 3,346 3.6 0 0.0 91,929
NON U.S. 6 7,729 8.4 199 0.2
---- --------- ---- --------- ----
7 11,075 12.0 199 0.2
07/05/05 NYME ALBERTA BASIS SWAP U.S. 3 7,267 6.0 302 0.3 120,167
NON U.S. 6 7,827 6.5 35,039 29.2
---- --------- ---- --------- ----
9 15,094 12.6 35,341 29.4
07/05/05 NYME CHICAGO BASIS SWAP U.S. 3 0 0.0 880 1.6 55,622
NON U.S. 4 368 0.7 761 1.4
---- --------- ---- --------- ----
7 368 0.7 1,641 3.0
07/05/05 NYME HOUSTON SHIP CH BASIS SWAP U.S. 3 4,013 3.4 7,723 6.6 117,095
NON U.S. 4 3,643 3.1 15,817 13.5
---- --------- ---- --------- ----
7 7,656 6.5 23,540 20.1
07/05/05 NYME NW PIPE ROCKIES BASIS SWAP U.S. 4 2,909 2.6 1,050 1.0 110,017
NON U.S. 5 3,709 3.4 8,764 8.0
---- --------- ---- --------- ----
9 6,618 6.0 9,814 8.9
07/05/05 NYME PANHANDLE BASIS SWAP U.S. 3 272 0.3 10,873 12.1 90,057
NON U.S. 4 5,482 6.1 1,702 1.9
---- --------- ---- --------- ----
7 5,754 6.4 12,575 14.0
07/05/05 NYME SAN JUAN BASIS SWAP U.S. 3 966 4.3 429 1.9 22,327
NON U.S. 2 490 2.2 1,158 5.2
---- --------- ---- --------- ----
5 1,456 6.5 1,587 7.1
07/05/05 NYME SOCAL BASIS SWAP U.S. 3 616 0.6 1,496 1.4 107,200
NON U.S. 4 4,135 3.9 2,200 2.1
---- --------- ---- --------- ----
7 4,751 4.4 3,696 3.4
07/05/05 NYME HENRY HUB GAS SWAP U.S. 6 22,471 2.1 123,111 11.5 1,073,777
NON U.S. 6 48,586 4.5 170,827 15.9
---- --------- ---- --------- ----
12 71,057 6.6 293,938 27.4
07/05/05 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 4 5,931 3.5 6,149 3.6 169,646
NON U.S. 6 33,165 19.5 21,085 12.4
---- --------- ---- --------- ----
10 39,096 23.0 27,234 16.1
07/05/05 CBT 2-YEAR U.S. TREASURY NOTES U.S. 3 7,370 2.1 2,244 0.6 352,512
NON U.S. 11 25,827 7.3 7,997 2.3
---- --------- ---- --------- ----
14 33,197 9.4 10,241 2.9
07/05/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 74,125 4.1 23,719 1.3 1,792,932
NON U.S. 39 38,344 2.1 82,385 4.6
---- --------- ---- --------- ----
45 112,469 6.3 106,104 5.9
07/05/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 14,384 1.3 17,250 1.5 1,139,902
NON U.S. 27 100,771 8.8 63,743 5.6
---- --------- ---- --------- ----
32 115,155 10.1 80,993 7.1
07/05/05 CBT 30-DAY FEDERAL FUNDS U.S. 4 51,568 15.0 26,524 7.7 343,769
NON U.S. 22 43,470 12.6 65,974 19.2
---- --------- ---- --------- ----
26 95,038 27.6 92,498 26.9
07/05/05 CME LIVE CATTLE U.S. 2 4,963 4.0 271 0.2 124,653
NON U.S. 3 8,761 7.0 0 0.0
---- --------- ---- --------- ----
5 13,724 11.0 271 0.2
07/05/05 NYME PJM ELECTRICITY MONTHLY U.S. 2 2,060 3.1 1,870 2.8 66,939
NON U.S. 3 1,220 1.8 1,840 2.7
---- --------- ---- --------- ----
5 3,280 4.9 3,710 5.5
07/05/05 NYME CRUDE OIL, LIGHT SWEET U.S. 5 30,762 3.8 57,337 7.0 813,974
NON U.S. 15 73,141 9.0 78,265 9.6
---- --------- ---- --------- ----
20 103,903 12.8 135,602 16.7
07/05/05 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 3 648 2.5 4,026 15.5 25,996
NON U.S. 2 1,470 5.7 1,590 6.1
---- --------- ---- --------- ----
5 2,118 8.1 5,616 21.6
07/05/05 NYBT COCOA U.S. 1 495 0.4 0 0.0 118,026
NON U.S. 5 1,181 1.0 518 0.4
---- --------- ---- --------- ----
6 1,676 1.4 518 0.4
07/05/05 NYME PALLADIUM U.S. 1 0 0.0 319 2.3 13,772
NON U.S. 9 321 2.3 1,303 9.5
---- --------- ---- --------- ----
10 321 2.3 1,622 11.8
07/05/05 NYBT SUGAR NO. 11 U.S. 1 12,125 3.2 0 0.0 376,077
NON U.S. 6 22,490 6.0 5,732 1.5
---- --------- ---- --------- ----
7 34,615 9.2 5,732 1.5
07/05/05 NYBT COFFEE C U.S. 1 1,976 2.2 0 0.0 89,739
NON U.S. 9 4,637 5.2 3,613 4.0
---- --------- ---- --------- ----
10 6,613 7.4 3,613 4.0
07/05/05 CMX SILVER U.S. 3 0 0.0 14,595 11.9 122,624
NON U.S. 10 7,165 5.8 9,558 7.8
---- --------- ---- --------- ----
13 7,165 5.8 24,153 19.7
07/05/05 CMX COPPER-GRADE #1 U.S. 2 3,462 3.4 22 0.0 102,082
NON U.S. 6 5,495 5.4 3,906 3.8
---- --------- ---- --------- ----
8 8,957 8.8 3,928 3.8
07/05/05 CMX GOLD U.S. 4 2,086 0.7 65,241 23.2 281,186
NON U.S. 23 12,963 4.6 39,624 14.1
---- --------- ---- --------- ----
27 15,049 5.4 104,865 37.3
07/05/05 CME RUSSIAN RUBLE U.S. 1 167 3.1 54 1.0 5,410
NON U.S. 5 2,127 39.3 4,227 78.1
---- --------- ---- --------- ----
6 2,294 42.4 4,281 79.1
07/05/05 CME CANADIAN DOLLAR U.S. 4 223 0.3 4,470 6.4 70,074
NON U.S. 13 6,352 9.1 7,915 11.3
---- --------- ---- --------- ----
17 6,575 9.4 12,385 17.7
07/05/05 CME SWISS FRANC U.S. 2 1,148 1.6 0 0.0 73,790
NON U.S. 7 16,008 21.7 579 0.8
---- --------- ---- --------- ----
9 17,156 23.2 579 0.8
07/05/05 CME MEXICAN PESO U.S. 4 648 0.6 7,465 7.1 104,611
NON U.S. 7 1,797 1.7 30,349 29.0
---- --------- ---- --------- ----
11 2,445 2.3 37,814 36.1
07/05/05 CME BRITISH POUND STERLING U.S. 3 231 0.3 415 0.6 73,218
NON U.S. 8 15,669 21.4 445 0.6
---- --------- ---- --------- ----
11 15,900 21.7 860 1.2
07/05/05 CME JAPANESE YEN U.S. 4 7,827 5.0 491 0.3 156,517
NON U.S. 15 30,590 19.5 983 0.6
---- --------- ---- --------- ----
19 38,417 24.5 1,474 0.9
07/05/05 CME EURO FX U.S. 6 3,976 2.7 28 0.0 148,960
NON U.S. 21 17,030 11.4 2,997 2.0
---- --------- ---- --------- ----
27 21,006 14.1 3,025 2.0
07/05/05 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 2 6,092 4.2 40 0.0 146,699
NON U.S. 5 6,855 4.7 2,247 1.5
---- --------- ---- --------- ----
7 12,947 8.8 2,287 1.6
07/05/05 NYBT NEW ZEALAND DOLLAR U.S. 1 0 0.0 173 12.4 1,394
NON U.S. 5 121 8.7 640 45.9
---- --------- ---- --------- ----
6 121 8.7 813 58.3
07/05/05 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 4,390 15.6 0 0.0 28,220
NON U.S. 10 2,223 7.9 2,603 9.2
---- --------- ---- --------- ----
14 6,613 23.4 2,603 9.2
07/05/05 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 1 155 0.3 0 0.0 44,580
NON U.S. 5 6,533 14.7 925 2.1
---- --------- ---- --------- ----
6 6,688 15.0 925 2.1
07/05/05 CME 3-MONTH EURODOLLARS U.S. 10 791,840 10.5 678,377 9.0 7,560,214
NON U.S. 63 1,244,437 16.5 1,128,064 14.9
---- --------- ---- --------- ----
73 2,036,277 26.9 1,806,441 23.9
07/05/05 CME S&P 500 STOCK INDEX U.S. 5 27,705 4.2 613 0.1 657,477
NON U.S. 14 6,983 1.1 127,482 19.4
---- --------- ---- --------- ----
19 34,688 5.3 128,095 19.5
07/05/05 CME E-MINI S&P 500 STOCK INDEX U.S. 6 45,399 5.3 12,706 1.5 858,167
NON U.S. 25 6,362 0.7 79,291 9.2
---- --------- ---- --------- ----
31 51,761 6.0 91,997 10.7
07/05/05 NYBT BRIT POUND/SWISS FRANC XRATE U.S. 1 0 0.0 921 26.8 3,442
NON U.S. 4 0 0.0 1,912 55.5
---- --------- ---- --------- ----
5 0 0.0 2,833 82.3
07/05/05 CME NASDAQ-100 STOCK INDEX U.S. 6 1,607 3.2 2,650 5.3 50,039
NON U.S. 14 3,942 7.9 1,155 2.3
---- --------- ---- --------- ----
20 5,549 11.1 3,805 7.6
07/05/05 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 4 2,407 1.0 2,028 0.8 240,002
NON U.S. 23 32,986 13.7 2,586 1.1
---- --------- ---- --------- ----
27 35,393 14.7 4,614 1.9
07/05/05 CME AUSTRALIAN DOLLAR U.S. 5 1,317 2.2 3,201 5.3 60,369
NON U.S. 8 1,222 2.0 8,853 14.7
---- --------- ---- --------- ----
13 2,539 4.2 12,054 20.0
07/05/05 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 3 288 1.0 790 2.7 29,238
NON U.S. 3 3,086 10.6 288 1.0
---- --------- ---- --------- ----
6 3,374 11.5 1,078 3.7
07/05/05 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 2 2,620 1.1 713 0.3 240,200
NON U.S. 8 15,874 6.6 3,902 1.6
---- --------- ---- --------- ----
10 18,494 7.7 4,615 1.9
07/05/05 CME NIKKEI STOCK AVERAGE U.S. 2 1,776 5.6 0 0.0 31,978
NON U.S. 9 3,022 9.5 4,717 14.8
---- --------- ---- --------- ----
11 4,798 15.0 4,717 14.8
07/05/05 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 4 6,317 16.8 5,655 15.0 37,619
NON U.S. 7 2,621 7.0 5,072 13.5
---- --------- ---- --------- ----
11 8,938 23.8 10,727 28.5
07/05/05 CBT INTEREST RATE SWAPS 5YR - 3MO U.S. 5 7,341 62.5 2,210 18.8 11,739
NON U.S. 2 0 0.0 390 3.3
---- --------- ---- --------- ----
7 7,341 62.5 2,600 22.1
07/05/05 NYBT EURO FX/JAPANESE YEN XRATE U.S. 1 120 1.2 0 0.0 10,278
NON U.S. 5 2,056 20.0 1,518 14.8
---- --------- ---- --------- ----
6 2,176 21.2 1,518 14.8
07/05/05 NYBT AUSSIE DOLLAR/JPN YEN XRATE U.S. 2 0 0.0 2,349 26.6 8,817
NON U.S. 3 3 0.0 5,034 57.1
---- --------- ---- --------- ----
5 3 0.0 7,383 83.7
07/05/05 CME S&P 400 MIDCAP STOCK INDEX U.S. 1 330 2.7 0 0.0 12,442
NON U.S. 5 424 3.4 1,450 11.7
---- --------- ---- --------- ----
6 754 6.1 1,450 11.7
07/05/05 NYBT SWISS FRANC/JAPANESE YEN XRATE U.S. 1 635 14.9 0 0.0 4,250
NON U.S. 4 2,557 60.2 48 1.1
---- --------- ---- --------- ----
5 3,192 75.1 48 1.1
07/05/05 NYBT EURO FX/SWISS FRANC XRATE U.S. 1 930 4.6 0 0.0 20,299
NON U.S. 4 0 0.0 6,631 32.7
---- --------- ---- --------- ----
5 930 4.6 6,631 32.7
07/05/05 CME 3-MO. EUROYEN TIBOR U.S. 2 1,624 5.6 250 0.9 28,918
NON U.S. 15 7,953 27.5 15,336 53.0
---- --------- ---- --------- ----
17 9,577 33.1 15,586 53.9
07/05/05 NYBT EURO FX/BRITISH POUND XRATE NON U.S. 6 4,965 43.7 32 0.3 11,368
07/05/05 NYBT EURO FX/NORWEGIAN KRONE XRATE U.S. 1 1,452 33.1 0 0.0 4,382
NON U.S. 4 873 19.9 428 9.8
---- --------- ---- --------- ----
5 2,325 53.1 428 9.8
07/05/05 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 4 645 4.9 305 2.3 13,043
NON U.S. 2 2,850 21.9 150 1.2
---- --------- ---- --------- ----
6 3,495 26.8 455 3.5