BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
03/01/05 CBT WHEAT U.S. 1 7,778 3.6 0 0.0 214,658
NON U.S. 4 33,338 15.5 553 0.3
---- --------- ---- --------- ----
5 41,116 19.2 553 0.3
03/01/05 CBT CORN U.S. 1 12,714 2.0 0 0.0 638,828
NON U.S. 6 50,662 7.9 251 0.0
---- --------- ---- --------- ----
7 63,376 9.9 251 0.0
03/01/05 CBT U.S. TREASURY BONDS U.S. 6 31,251 3.9 9,917 1.2 807,644
NON U.S. 20 35,509 4.4 77,901 9.6
---- --------- ---- --------- ----
26 66,760 8.3 87,818 10.9
03/01/05 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 3 5,603 3.4 1,208 0.7 162,734
NON U.S. 3 9,288 5.7 3,657 2.2
---- --------- ---- --------- ----
6 14,891 9.2 4,865 3.0
03/01/05 NYME NATURAL GAS U.S. 6 6,179 1.5 7,957 1.9 418,238
NON U.S. 7 24,048 5.7 39,652 9.5
---- --------- ---- --------- ----
13 30,227 7.2 47,609 11.4
03/01/05 NYME SUMAS BASIS SWAP U.S. 3 3,544 5.8 784 1.3 61,235
NON U.S. 5 9,766 15.9 996 1.6
---- --------- ---- --------- ----
8 13,310 21.7 1,780 2.9
03/01/05 NYME NGPL MID-CON BASIS SWAP U.S. 1 604 2.4 0 0.0 25,013
NON U.S. 5 2,781 11.1 1,460 5.8
---- --------- ---- --------- ----
6 3,385 13.5 1,460 5.8
03/01/05 NYME WAHA BASIS SWAP U.S. 2 122 0.4 1,931 5.7 33,960
NON U.S. 3 62 0.2 3,732 11.0
---- --------- ---- --------- ----
5 184 0.5 5,663 16.7
03/01/05 NYME CIG BASIS SWAP U.S. 3 31 0.1 2,901 8.0 36,449
NON U.S. 4 0 0.0 5,856 16.1
---- --------- ---- --------- ----
7 31 0.1 8,757 24.0
03/01/05 CME 1-MONTH LIBOR RATE U.S. 4 6,773 20.1 9,909 29.3 33,775
NON U.S. 12 9,724 28.8 10,554 31.2
---- --------- ---- --------- ----
16 16,497 48.8 20,463 60.6
03/01/05 NYBT COTTON NO. 2 U.S. 1 3,032 2.8 0 0.0 108,045
NON U.S. 5 5,359 5.0 886 0.8
---- --------- ---- --------- ----
6 8,391 7.8 886 0.8
03/01/05 NYME ALBERTA BASIS SWAP U.S. 3 6,868 7.1 302 0.3 97,312
NON U.S. 6 6,372 6.5 22,851 23.5
---- --------- ---- --------- ----
9 13,240 13.6 23,153 23.8
03/01/05 NYME CHICAGO BASIS SWAP U.S. 1 0 0.0 730 1.8 41,018
NON U.S. 4 977 2.4 791 1.9
---- --------- ---- --------- ----
5 977 2.4 1,521 3.7
03/01/05 NYME HOUSTON SHIP CH BASIS SWAP U.S. 3 7,004 6.7 6,599 6.3 104,847
NON U.S. 4 3,246 3.1 17,656 16.8
---- --------- ---- --------- ----
7 10,250 9.8 24,255 23.1
03/01/05 NYME NW PIPE ROCKIES BASIS SWAP U.S. 3 1,919 2.3 424 0.5 84,191
NON U.S. 4 4,194 5.0 6,247 7.4
---- --------- ---- --------- ----
7 6,113 7.3 6,671 7.9
03/01/05 NYME PANHANDLE BASIS SWAP U.S. 3 0 0.0 12,529 16.7 74,886
NON U.S. 3 4,358 5.8 2,398 3.2
---- --------- ---- --------- ----
6 4,358 5.8 14,927 19.9
03/01/05 NYME HENRY HUB GAS SWAP U.S. 6 13,198 1.4 112,207 12.1 930,637
NON U.S. 6 46,281 5.0 144,374 15.5
---- --------- ---- --------- ----
12 59,479 6.4 256,581 27.6
03/01/05 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 3 2,090 1.9 1,952 1.8 108,407
NON U.S. 5 9,206 8.5 9,259 8.5
---- --------- ---- --------- ----
8 11,296 10.4 11,211 10.3
03/01/05 CBT 2-YEAR U.S. TREASURY NOTES U.S. 1 3,074 0.8 2,161 0.6 364,581
NON U.S. 12 18,412 5.1 20,236 5.6
---- --------- ---- --------- ----
13 21,486 5.9 22,397 6.1
03/01/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 7 33,147 1.7 24,354 1.2 1,955,525
NON U.S. 42 76,094 3.9 121,999 6.2
---- --------- ---- --------- ----
49 109,241 5.6 146,353 7.5
03/01/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 9,902 0.8 29,094 2.3 1,285,660
NON U.S. 33 81,436 6.3 105,454 8.2
---- --------- ---- --------- ----
37 91,338 7.1 134,548 10.5
03/01/05 CBT 30-DAY FEDERAL FUNDS U.S. 3 73,878 15.4 24,146 5.0 481,101
NON U.S. 26 43,783 9.1 112,850 23.5
---- --------- ---- --------- ----
29 117,661 24.5 136,996 28.5
03/01/05 NYME CRUDE OIL, LIGHT SWEET U.S. 5 23,537 3.0 61,191 7.9 775,874
NON U.S. 11 51,282 6.6 61,903 8.0
---- --------- ---- --------- ----
16 74,819 9.6 123,094 15.9
03/01/05 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 3 360 1.2 4,036 13.8 29,221
NON U.S. 3 2,721 9.3 2,535 8.7
---- --------- ---- --------- ----
6 3,081 10.5 6,571 22.5
03/01/05 NYBT COCOA U.S. 1 355 0.3 0 0.0 133,028
NON U.S. 4 673 0.5 0 0.0
---- --------- ---- --------- ----
5 1,028 0.8 0 0.0
03/01/05 NYME PALLADIUM U.S. 1 4 0.0 190 1.4 13,290
NON U.S. 8 576 4.3 1,879 14.1
---- --------- ---- --------- ----
9 580 4.4 2,069 15.6
03/01/05 NYBT SUGAR NO. 11 U.S. 1 7,536 2.1 274 0.1 360,142
NON U.S. 6 14,039 3.9 10,217 2.8
---- --------- ---- --------- ----
7 21,575 6.0 10,491 2.9
03/01/05 NYBT COFFEE C U.S. 1 767 0.7 0 0.0 109,420
NON U.S. 8 2,754 2.5 4,231 3.9
---- --------- ---- --------- ----
9 3,521 3.2 4,231 3.9
03/01/05 CMX SILVER U.S. 2 0 0.0 7,749 7.8 99,341
NON U.S. 9 4,453 4.5 14,662 14.8
---- --------- ---- --------- ----
11 4,453 4.5 22,411 22.6
03/01/05 CMX COPPER-GRADE #1 U.S. 2 3,131 2.8 37 0.0 112,973
NON U.S. 3 3,789 3.4 5,105 4.5
---- --------- ---- --------- ----
5 6,920 6.1 5,142 4.6
03/01/05 CMX GOLD U.S. 2 4,209 1.5 26,480 9.2 287,761
NON U.S. 19 20,615 7.2 46,980 16.3
---- --------- ---- --------- ----
21 24,824 8.6 73,460 25.5
03/01/05 CME RUSSIAN RUBLE U.S. 1 372 5.2 0 0.0 7,136
NON U.S. 4 4,110 57.6 2,289 32.1
---- --------- ---- --------- ----
5 4,482 62.8 2,289 32.1
03/01/05 CME CANADIAN DOLLAR U.S. 4 3,316 3.5 305 0.3 95,644
NON U.S. 11 14,068 14.7 35,534 37.2
---- --------- ---- --------- ----
15 17,384 18.2 35,839 37.5
03/01/05 CME SWISS FRANC U.S. 3 5,201 8.4 2,048 3.3 61,956
NON U.S. 9 15,611 25.2 1,866 3.0
---- --------- ---- --------- ----
12 20,812 33.6 3,914 6.3
03/01/05 CME MEXICAN PESO U.S. 4 0 0.0 20,426 19.9 102,386
NON U.S. 11 5,143 5.0 32,865 32.1
---- --------- ---- --------- ----
15 5,143 5.0 53,291 52.0
03/01/05 CME BRITISH POUND STERLING U.S. 4 367 0.5 1,214 1.5 79,910
NON U.S. 7 4,524 5.7 8,342 10.4
---- --------- ---- --------- ----
11 4,891 6.1 9,556 12.0
03/01/05 CME JAPANESE YEN U.S. 5 2,463 1.6 6,693 4.4 153,631
NON U.S. 11 21,928 14.3 11,368 7.4
---- --------- ---- --------- ----
16 24,391 15.9 18,061 11.8
03/01/05 CME EURO FX U.S. 6 7,671 4.5 1,738 1.0 169,942
NON U.S. 19 19,946 11.7 15,409 9.1
---- --------- ---- --------- ----
25 27,617 16.3 17,147 10.1
03/01/05 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 2 5,158 3.3 300 0.2 156,234
NON U.S. 5 9,159 5.9 3,967 2.5
---- --------- ---- --------- ----
7 14,317 9.2 4,267 2.7
03/01/05 NYBT NEW ZEALAND DOLLAR NON U.S. 5 174 3.9 1,784 40.1 4,453
03/01/05 CME SOUTH AFRICAN RAND U.S. 1 130 4.3 0 0.0 3,048
NON U.S. 4 955 31.3 257 8.4
---- --------- ---- --------- ----
5 1,085 35.6 257 8.4
03/01/05 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 3 2,722 5.2 0 0.0 52,811
NON U.S. 13 2,704 5.1 25,139 47.6
---- --------- ---- --------- ----
16 5,426 10.3 25,139 47.6
03/01/05 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2 528 0.7 1,204 1.7 70,707
NON U.S. 4 450 0.6 13,514 19.1
---- --------- ---- --------- ----
6 978 1.4 14,718 20.8
03/01/05 CME 3-MONTH EURODOLLARS U.S. 11 847,762 10.2 513,436 6.2 8,314,107
NON U.S. 68 1,823,396 21.9 1,187,918 14.3
---- --------- ---- --------- ----
79 2,671,158 32.1 1,701,354 20.5
03/01/05 CME S&P 500 STOCK INDEX U.S. 6 33,339 4.7 2,435 0.3 709,236
NON U.S. 22 14,693 2.1 136,428 19.2
---- --------- ---- --------- ----
28 48,032 6.8 138,863 19.6
03/01/05 CME E-MINI S&P 500 STOCK INDEX U.S. 4 14,264 1.4 3,382 0.3 1,001,414
NON U.S. 22 20,248 2.0 46,693 4.7
---- --------- ---- --------- ----
26 34,512 3.4 50,075 5.0
03/01/05 NYBT BRIT POUND/SWISS FRANC XRATE NON U.S. 5 0 0.0 935 61.8 1,513
03/01/05 CME NASDAQ-100 STOCK INDEX U.S. 5 1,265 1.4 4,327 4.8 89,809
NON U.S. 13 7,125 7.9 1,746 1.9
---- --------- ---- --------- ----
18 8,390 9.3 6,073 6.8
03/01/05 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 3 200 0.0 4,361 1.0 457,495
NON U.S. 20 43,473 9.5 4,834 1.1
---- --------- ---- --------- ----
23 43,673 9.5 9,195 2.0
03/01/05 CME AUSTRALIAN DOLLAR U.S. 4 227 0.2 1,548 1.5 104,099
NON U.S. 12 2,144 2.1 28,417 27.3
---- --------- ---- --------- ----
16 2,371 2.3 29,965 28.8
03/01/05 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 2 814 0.4 0 0.0 211,226
NON U.S. 9 29,095 13.8 501 0.2
---- --------- ---- --------- ----
11 29,909 14.2 501 0.2
03/01/05 CME NIKKEI STOCK AVERAGE U.S. 1 418 1.0 0 0.0 40,064
NON U.S. 11 3,906 9.7 6,306 15.7
---- --------- ---- --------- ----
12 4,324 10.8 6,306 15.7
03/01/05 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 5 14,225 35.2 3,766 9.3 40,429
NON U.S. 5 1,702 4.2 1,474 3.6
---- --------- ---- --------- ----
10 15,927 39.4 5,240 13.0
03/01/05 CBT INTEREST RATE SWAPS 5YR - 3MO U.S. 4 3,805 26.0 1,700 11.6 14,613
NON U.S. 3 0 0.0 917 6.3
---- --------- ---- --------- ----
7 3,805 26.0 2,617 17.9
03/01/05 NYBT BRITISH POUND/JPN YEN XRATE U.S. 1 1 0.0 267 6.5 4,079
NON U.S. 5 1,405 34.4 659 16.2
---- --------- ---- --------- ----
6 1,406 34.5 926 22.7
03/01/05 NYBT EURO FX/JAPANESE YEN XRATE U.S. 1 0 0.0 2,660 15.9 16,710
NON U.S. 7 2,327 13.9 6,618 39.6
---- --------- ---- --------- ----
8 2,327 13.9 9,278 55.5
03/01/05 CME EURO FX/BRITISH POUND XRATE U.S. 1 45 2.2 0 0.0 2,068
NON U.S. 5 1,028 49.7 1,043 50.4
---- --------- ---- --------- ----
6 1,073 51.9 1,043 50.4
03/01/05 NYBT AUSSIE DOLLAR/JPN YEN XRATE NON U.S. 5 400 5.8 3,165 46.1 6,859
03/01/05 NYBT EURO FX/SWEDISH KRONA XRATE U.S. 1 0 0.0 30 0.3 8,833
NON U.S. 5 4,369 49.5 5 0.1
---- --------- ---- --------- ----
6 4,369 49.5 35 0.4
03/01/05 NYBT SWISS FRANC/JAPANESE YEN XRATE NON U.S. 6 135 2.7 2,421 48.1 5,037
03/01/05 NYBT EURO FX/SWISS FRANC XRATE NON U.S. 5 3,196 20.4 5,975 38.2 15,652
03/01/05 CME 3-MO. EUROYEN TIBOR U.S. 4 1,724 1.5 951 0.8 118,566
NON U.S. 21 50,659 42.7 60,572 51.1
---- --------- ---- --------- ----
25 52,383 44.2 61,523 51.9
03/01/05 NYBT EURO FX/BRITISH POUND XRATE NON U.S. 5 984 18.3 828 15.4 5,364
03/01/05 NYBT EURO FX/NORWEGIAN KRONE XRATE NON U.S. 6 1,378 54.4 579 22.8 2,534
03/01/05 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 4 560 3.1 325 1.8 17,829
NON U.S. 2 3,445 19.3 645 3.6
---- --------- ---- --------- ----
6 4,005 22.5 970 5.4