BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
06/07/05 CBT WHEAT U.S. 1 8,491 4.0 0 0.0 210,544
NON U.S. 7 38,731 18.4 640 0.3
---- --------- ---- --------- ----
8 47,222 22.4 640 0.3
06/07/05 KCBT WHEAT U.S. 1 1,324 1.7 0 0.0 77,011
NON U.S. 5 3,077 4.0 149 0.2
---- --------- ---- --------- ----
6 4,401 5.7 149 0.2
06/07/05 CBT CORN U.S. 1 14,070 2.1 0 0.0 682,827
NON U.S. 8 58,322 8.5 1,686 0.2
---- --------- ---- --------- ----
9 72,392 10.6 1,686 0.2
06/07/05 CBT SOYBEANS U.S. 1 5,666 1.9 0 0.0 303,804
NON U.S. 6 12,322 4.1 329 0.1
---- --------- ---- --------- ----
7 17,988 5.9 329 0.1
06/07/05 CBT U.S. TREASURY BONDS U.S. 5 24,769 3.6 5,982 0.9 686,536
NON U.S. 19 15,094 2.2 22,501 3.3
---- --------- ---- --------- ----
24 39,863 5.8 28,483 4.1
06/07/05 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 3 6,154 3.4 1,295 0.7 179,860
NON U.S. 4 9,707 5.4 3,252 1.8
---- --------- ---- --------- ----
7 15,861 8.8 4,547 2.5
06/07/05 NYME NATURAL GAS U.S. 6 9,621 2.1 12,403 2.7 459,896
NON U.S. 6 25,403 5.5 39,907 8.7
---- --------- ---- --------- ----
12 35,024 7.6 52,310 11.4
06/07/05 NYME PERMIAN BASIS SWAP U.S. 2 2,204 6.4 240 0.7 34,632
NON U.S. 3 1,439 4.2 1,710 4.9
---- --------- ---- --------- ----
5 3,643 10.5 1,950 5.6
06/07/05 NYME PG&E CITYGATE BASIS SWAP U.S. 2 730 1.3 3,188 5.5 57,980
NON U.S. 3 1,907 3.3 2,932 5.1
---- --------- ---- --------- ----
5 2,637 4.5 6,120 10.6
06/07/05 NYME SUMAS BASIS SWAP U.S. 3 3,614 5.7 814 1.3 63,538
NON U.S. 5 10,038 15.8 1,545 2.4
---- --------- ---- --------- ----
8 13,652 21.5 2,359 3.7
06/07/05 NYME WAHA BASIS SWAP U.S. 2 126 0.4 1,793 5.4 33,037
NON U.S. 3 186 0.6 3,126 9.5
---- --------- ---- --------- ----
5 312 0.9 4,919 14.9
06/07/05 NYME CIG BASIS SWAP U.S. 3 730 1.9 2,478 6.5 38,280
NON U.S. 3 215 0.6 9,374 24.5
---- --------- ---- --------- ----
6 945 2.5 11,852 31.0
06/07/05 CME 1-MONTH LIBOR RATE U.S. 3 25,576 37.7 24,855 36.6 67,930
NON U.S. 10 17,362 25.6 15,713 23.1
---- --------- ---- --------- ----
13 42,938 63.2 40,568 59.7
06/07/05 NYBT COTTON NO. 2 U.S. 1 3,246 3.4 0 0.0 96,381
NON U.S. 7 7,583 7.9 831 0.9
---- --------- ---- --------- ----
8 10,829 11.2 831 0.9
06/07/05 NYME ALBERTA BASIS SWAP U.S. 3 4,847 4.2 392 0.3 114,646
NON U.S. 6 6,850 6.0 34,843 30.4
---- --------- ---- --------- ----
9 11,697 10.2 35,235 30.7
06/07/05 NYME CHICAGO BASIS SWAP U.S. 1 0 0.0 548 1.0 52,521
NON U.S. 4 492 0.9 792 1.5
---- --------- ---- --------- ----
5 492 0.9 1,340 2.6
06/07/05 NYME HOUSTON SHIP CH BASIS SWAP U.S. 3 5,157 4.3 7,211 6.0 121,059
NON U.S. 4 3,373 2.8 18,396 15.2
---- --------- ---- --------- ----
7 8,530 7.0 25,607 21.2
06/07/05 NYME NW PIPE ROCKIES BASIS SWAP U.S. 3 1,790 1.7 1,917 1.8 105,766
NON U.S. 5 3,530 3.3 8,672 8.2
---- --------- ---- --------- ----
8 5,320 5.0 10,589 10.0
06/07/05 NYME PANHANDLE BASIS SWAP U.S. 3 551 0.6 11,101 12.3 90,529
NON U.S. 4 6,443 7.1 1,096 1.2
---- --------- ---- --------- ----
7 6,994 7.7 12,197 13.5
06/07/05 NYME SOCAL BASIS SWAP U.S. 2 825 0.8 2,419 2.2 109,599
NON U.S. 4 3,848 3.5 2,549 2.3
---- --------- ---- --------- ----
6 4,673 4.3 4,968 4.5
06/07/05 NYME HENRY HUB GAS SWAP U.S. 6 18,018 1.8 120,496 11.9 1,011,954
NON U.S. 6 50,286 5.0 156,645 15.5
---- --------- ---- --------- ----
12 68,304 6.7 277,141 27.4
06/07/05 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 4 6,872 4.8 4,093 2.9 143,175
NON U.S. 6 20,658 14.4 9,447 6.6
---- --------- ---- --------- ----
10 27,530 19.2 13,540 9.5
06/07/05 CBT 2-YEAR U.S. TREASURY NOTES U.S. 1 3,220 0.8 2,856 0.7 399,847
NON U.S. 14 27,925 7.0 18,402 4.6
---- --------- ---- --------- ----
15 31,145 7.8 21,258 5.3
06/07/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 5 56,485 2.9 21,422 1.1 1,942,546
NON U.S. 35 32,700 1.7 89,674 4.6
---- --------- ---- --------- ----
40 89,185 4.6 111,096 5.7
06/07/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 6 14,473 1.3 15,364 1.4 1,135,365
NON U.S. 25 91,747 8.1 59,473 5.2
---- --------- ---- --------- ----
31 106,220 9.4 74,837 6.6
06/07/05 CBT 30-DAY FEDERAL FUNDS U.S. 4 45,791 12.0 33,880 8.9 381,307
NON U.S. 27 43,501 11.4 70,934 18.6
---- --------- ---- --------- ----
31 89,292 23.4 104,814 27.5
06/07/05 CME LEAN HOGS U.S. 1 3,849 4.1 0 0.0 94,451
NON U.S. 4 7,449 7.9 0 0.0
---- --------- ---- --------- ----
5 11,298 12.0 0 0.0
06/07/05 CME LIVE CATTLE U.S. 2 4,604 3.3 300 0.2 141,343
NON U.S. 4 9,106 6.4 0 0.0
---- --------- ---- --------- ----
6 13,710 9.7 300 0.2
06/07/05 CME FEEDER CATTLE U.S. 2 324 1.4 77 0.3 23,298
NON U.S. 3 673 2.9 0 0.0
---- --------- ---- --------- ----
5 997 4.3 77 0.3
06/07/05 NYME CRUDE OIL, LIGHT SWEET U.S. 5 23,387 3.0 59,321 7.6 783,546
NON U.S. 16 76,166 9.7 76,933 9.8
---- --------- ---- --------- ----
21 99,553 12.7 136,254 17.4
06/07/05 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 3 668 2.5 3,933 14.6 26,868
NON U.S. 2 1,584 5.9 1,470 5.5
---- --------- ---- --------- ----
5 2,252 8.4 5,403 20.1
06/07/05 NYBT COCOA U.S. 1 572 0.4 0 0.0 136,319
NON U.S. 6 1,271 0.9 560 0.4
---- --------- ---- --------- ----
7 1,843 1.4 560 0.4
06/07/05 NYME PALLADIUM U.S. 1 0 0.0 270 2.1 13,063
NON U.S. 9 489 3.7 1,219 9.3
---- --------- ---- --------- ----
10 489 3.7 1,489 11.4
06/07/05 NYBT SUGAR NO. 11 U.S. 1 11,693 3.2 0 0.0 361,372
NON U.S. 8 23,144 6.4 8,284 2.3
---- --------- ---- --------- ----
9 34,837 9.6 8,284 2.3
06/07/05 NYBT COFFEE C U.S. 1 2,308 2.3 0 0.0 102,392
NON U.S. 9 4,547 4.4 4,237 4.1
---- --------- ---- --------- ----
10 6,855 6.7 4,237 4.1
06/07/05 CMX SILVER U.S. 3 0 0.0 19,178 15.7 121,857
NON U.S. 11 6,058 5.0 13,631 11.2
---- --------- ---- --------- ----
14 6,058 5.0 32,809 26.9
06/07/05 CMX COPPER-GRADE #1 U.S. 2 3,225 3.2 22 0.0 99,573
NON U.S. 5 5,082 5.1 4,596 4.6
---- --------- ---- --------- ----
7 8,307 8.3 4,618 4.6
06/07/05 CMX GOLD U.S. 4 1,239 0.5 49,659 19.7 252,151
NON U.S. 21 15,505 6.1 28,054 11.1
---- --------- ---- --------- ----
25 16,744 6.6 77,713 30.8
06/07/05 CME RUSSIAN RUBLE U.S. 1 222 3.3 54 0.8 6,824
NON U.S. 5 3,630 53.2 5,257 77.0
---- --------- ---- --------- ----
6 3,852 56.4 5,311 77.8
06/07/05 CME CANADIAN DOLLAR U.S. 5 3,935 4.2 2,546 2.7 94,186
NON U.S. 11 12,188 12.9 16,095 17.1
---- --------- ---- --------- ----
16 16,123 17.1 18,641 19.8
06/07/05 CME SWISS FRANC U.S. 4 3,088 3.4 0 0.0 90,020
NON U.S. 7 19,636 21.8 30 0.0
---- --------- ---- --------- ----
11 22,724 25.2 30 0.0
06/07/05 CME MEXICAN PESO U.S. 4 1,444 1.2 22,625 18.7 120,880
NON U.S. 11 4,820 4.0 28,193 23.3
---- --------- ---- --------- ----
15 6,264 5.2 50,818 42.0
06/07/05 CME BRITISH POUND STERLING U.S. 6 7,566 7.5 1,442 1.4 101,520
NON U.S. 10 20,633 20.3 2,542 2.5
---- --------- ---- --------- ----
16 28,199 27.8 3,984 3.9
06/07/05 CME JAPANESE YEN U.S. 6 324 0.2 28,242 15.2 185,988
NON U.S. 13 13,018 7.0 16,430 8.8
---- --------- ---- --------- ----
19 13,342 7.2 44,672 24.0
06/07/05 CME EURO FX U.S. 6 10,530 5.4 2,277 1.2 193,707
NON U.S. 22 45,349 23.4 7,709 4.0
---- --------- ---- --------- ----
28 55,879 28.8 9,986 5.2
06/07/05 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 2 5,464 3.9 40 0.0 141,590
NON U.S. 7 7,149 5.0 1,827 1.3
---- --------- ---- --------- ----
9 12,613 8.9 1,867 1.3
06/07/05 NYBT NEW ZEALAND DOLLAR NON U.S. 6 1,504 51.2 332 11.3 2,938
06/07/05 CME NEW ZEALAND DOLLAR NON U.S. 5 892 10.5 1,089 12.8 8,535
06/07/05 CME SOUTH AFRICAN RAND U.S. 2 305 6.5 40 0.9 4,668
NON U.S. 3 651 13.9 140 3.0
---- --------- ---- --------- ----
5 956 20.5 180 3.9
06/07/05 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 5 4,113 9.7 0 0.0 42,498
NON U.S. 10 2,404 5.7 14,299 33.6
---- --------- ---- --------- ----
15 6,517 15.3 14,299 33.6
06/07/05 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 1 0 0.0 398 0.5 72,584
NON U.S. 5 24,971 34.4 209 0.3
---- --------- ---- --------- ----
6 24,971 34.4 607 0.8
06/07/05 CME 3-MONTH EURODOLLARS U.S. 11 950,951 10.6 843,232 9.4 8,953,488
NON U.S. 67 1,400,114 15.6 1,566,653 17.5
---- --------- ---- --------- ----
78 2,351,065 26.3 2,409,885 26.9
06/07/05 CME S&P 500 STOCK INDEX U.S. 5 33,002 4.6 609 0.1 714,795
NON U.S. 16 6,342 0.9 128,369 18.0
---- --------- ---- --------- ----
21 39,344 5.5 128,978 18.0
06/07/05 CME E-MINI S&P 500 STOCK INDEX U.S. 7 30,140 2.8 9,050 0.8 1,089,415
NON U.S. 26 6,188 0.6 110,326 10.1
---- --------- ---- --------- ----
33 36,328 3.3 119,376 11.0
06/07/05 CME NASDAQ-100 STOCK INDEX U.S. 6 1,506 2.7 3,421 6.0 56,595
NON U.S. 15 8,204 14.5 1,964 3.5
---- --------- ---- --------- ----
21 9,710 17.2 5,385 9.5
06/07/05 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 4 2,227 0.7 3,164 1.0 318,613
NON U.S. 20 57,016 17.9 7,324 2.3
---- --------- ---- --------- ----
24 59,243 18.6 10,488 3.3
06/07/05 CME AUSTRALIAN DOLLAR U.S. 5 2,726 3.1 239 0.3 87,578
NON U.S. 8 13,052 14.9 18,892 21.6
---- --------- ---- --------- ----
13 15,778 18.0 19,131 21.8
06/07/05 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 4 418 1.1 1,812 4.7 38,946
NON U.S. 3 5,182 13.3 406 1.0
---- --------- ---- --------- ----
7 5,600 14.4 2,218 5.7
06/07/05 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 4 448 0.2 667 0.3 248,737
NON U.S. 10 16,070 6.5 4,591 1.8
---- --------- ---- --------- ----
14 16,518 6.6 5,258 2.1
06/07/05 CME NIKKEI STOCK AVERAGE U.S. 1 740 1.4 1,384 2.6 52,315
NON U.S. 12 3,483 6.7 5,863 11.2
---- --------- ---- --------- ----
13 4,223 8.1 7,247 13.9
06/07/05 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 4 4,649 11.4 8,654 21.1 40,954
NON U.S. 7 3,367 8.2 3,659 8.9
---- --------- ---- --------- ----
11 8,016 19.6 12,313 30.1
06/07/05 CBT INTEREST RATE SWAPS 5YR - 3MO U.S. 5 10,461 75.3 3,654 26.3 13,893
NON U.S. 2 0 0.0 385 2.8
---- --------- ---- --------- ----
7 10,461 75.3 4,039 29.1
06/07/05 NYBT BRITISH POUND/JPN YEN XRATE NON U.S. 5 1,348 27.4 1,542 31.4 4,915
06/07/05 NYBT EURO FX/JAPANESE YEN XRATE U.S. 3 2,880 17.6 562 3.4 16,363
NON U.S. 7 5,936 36.3 3,213 19.6
---- --------- ---- --------- ----
10 8,816 53.9 3,775 23.1
06/07/05 NYBT AUSSIE DOLLAR/JPN YEN XRATE U.S. 2 972 11.0 924 10.4 8,874
NON U.S. 3 22 0.2 5,542 62.5
---- --------- ---- --------- ----
5 994 11.2 6,466 72.9
06/07/05 CME S&P 400 MIDCAP STOCK INDEX U.S. 1 30 0.2 0 0.0 15,651
NON U.S. 5 487 3.1 1,496 9.6
---- --------- ---- --------- ----
6 517 3.3 1,496 9.6
06/07/05 NYBT EURO FX/SWISS FRANC XRATE NON U.S. 7 3,095 16.9 5,470 29.9 18,315
06/07/05 CME 3-MO. EUROYEN TIBOR U.S. 2 1,624 2.1 350 0.5 76,138
NON U.S. 20 45,601 59.9 17,089 22.4
---- --------- ---- --------- ----
22 47,225 62.0 17,439 22.9
06/07/05 NYBT EURO FX/BRITISH POUND XRATE NON U.S. 7 4,998 44.2 745 6.6 11,298
06/07/05 NYBT EURO FX/NORWEGIAN KRONE XRATE U.S. 1 1,452 17.7 1,452 17.7 8,215
NON U.S. 4 3,089 37.6 869 10.6
---- --------- ---- --------- ----
5 4,541 55.3 2,321 28.3
06/07/05 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 4 665 4.6 355 2.5 14,415
NON U.S. 2 2,845 19.7 325 2.3
---- --------- ---- --------- ----
6 3,510 24.3 680 4.7