BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
05/03/05 CBT WHEAT U.S. 1 7,636 3.9 0 0.0 195,264
NON U.S. 6 36,333 18.6 1,167 0.6
---- --------- ---- --------- ----
7 43,969 22.5 1,167 0.6
05/03/05 KCBT WHEAT U.S. 1 1,244 2.1 0 0.0 60,516
NON U.S. 4 2,954 4.9 0 0.0
---- --------- ---- --------- ----
5 4,198 6.9 0 0.0
05/03/05 CBT CORN U.S. 1 12,604 1.9 0 0.0 673,304
NON U.S. 6 63,277 9.4 393 0.1
---- --------- ---- --------- ----
7 75,881 11.3 393 0.1
05/03/05 CBT SOYBEANS U.S. 1 5,015 2.1 0 0.0 241,954
NON U.S. 5 11,613 4.8 239 0.1
---- --------- ---- --------- ----
6 16,628 6.9 239 0.1
05/03/05 CBT U.S. TREASURY BONDS U.S. 5 20,335 2.8 13,711 1.9 716,898
NON U.S. 21 35,051 4.9 16,492 2.3
---- --------- ---- --------- ----
26 55,386 7.7 30,203 4.2
05/03/05 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 2 5,563 3.2 1,065 0.6 171,362
NON U.S. 5 9,097 5.3 3,394 2.0
---- --------- ---- --------- ----
7 14,660 8.6 4,459 2.6
05/03/05 NYME NATURAL GAS U.S. 6 8,355 1.8 12,515 2.7 471,994
NON U.S. 6 23,689 5.0 39,260 8.3
---- --------- ---- --------- ----
12 32,044 6.8 51,775 11.0
05/03/05 NYME PERMIAN BASIS SWAP U.S. 2 2,234 6.9 240 0.7 32,356
NON U.S. 3 1,619 5.0 1,160 3.6
---- --------- ---- --------- ----
5 3,853 11.9 1,400 4.3
05/03/05 NYME M-3 BASIS SWAP U.S. 1 604 0.6 0 0.0 101,393
NON U.S. 4 691 0.7 974 1.0
---- --------- ---- --------- ----
5 1,295 1.3 974 1.0
05/03/05 NYME PG&E CITYGATE BASIS SWAP U.S. 2 730 1.4 1,532 2.9 52,280
NON U.S. 3 2,332 4.5 3,053 5.8
---- --------- ---- --------- ----
5 3,062 5.9 4,585 8.8
05/03/05 NYME SUMAS BASIS SWAP U.S. 3 3,450 5.5 664 1.1 62,394
NON U.S. 5 11,514 18.5 1,424 2.3
---- --------- ---- --------- ----
8 14,964 24.0 2,088 3.3
05/03/05 NYME NGPL MID-CON BASIS SWAP U.S. 1 604 2.1 0 0.0 29,002
NON U.S. 4 1,954 6.7 1,460 5.0
---- --------- ---- --------- ----
5 2,558 8.8 1,460 5.0
05/03/05 NYME WAHA BASIS SWAP U.S. 2 122 0.4 1,857 5.6 33,199
NON U.S. 3 0 0.0 3,608 10.9
---- --------- ---- --------- ----
5 122 0.4 5,465 16.5
05/03/05 NYME CIG BASIS SWAP U.S. 3 730 1.9 2,535 6.6 38,149
NON U.S. 3 153 0.4 7,545 19.8
---- --------- ---- --------- ----
6 883 2.3 10,080 26.4
05/03/05 CME 1-MONTH LIBOR RATE U.S. 6 2,858 3.8 24,550 32.7 75,020
NON U.S. 14 20,532 27.4 25,694 34.2
---- --------- ---- --------- ----
20 23,390 31.2 50,244 67.0
05/03/05 NYBT COTTON NO. 2 U.S. 1 3,406 2.9 0 0.0 118,694
NON U.S. 6 6,920 5.8 847 0.7
---- --------- ---- --------- ----
7 10,326 8.7 847 0.7
05/03/05 NYME ALBERTA BASIS SWAP U.S. 3 6,317 5.8 302 0.3 109,741
NON U.S. 6 6,361 5.8 32,375 29.5
---- --------- ---- --------- ----
9 12,678 11.6 32,677 29.8
05/03/05 NYME CHICAGO BASIS SWAP U.S. 1 0 0.0 608 1.3 45,695
NON U.S. 5 673 1.5 882 1.9
---- --------- ---- --------- ----
6 673 1.5 1,490 3.3
05/03/05 NYME HOUSTON SHIP CH BASIS SWAP U.S. 3 5,542 5.1 6,722 6.2 108,175
NON U.S. 4 2,818 2.6 15,737 14.5
---- --------- ---- --------- ----
7 8,360 7.7 22,459 20.8
05/03/05 NYME NW PIPE ROCKIES BASIS SWAP U.S. 3 1,248 1.3 847 0.9 98,959
NON U.S. 5 5,547 5.6 8,181 8.3
---- --------- ---- --------- ----
8 6,795 6.9 9,028 9.1
05/03/05 NYME PANHANDLE BASIS SWAP U.S. 3 401 0.5 11,583 14.5 79,937
NON U.S. 4 6,323 7.9 1,062 1.3
---- --------- ---- --------- ----
7 6,724 8.4 12,645 15.8
05/03/05 NYME SOCAL BASIS SWAP U.S. 2 733 0.7 1,375 1.4 98,512
NON U.S. 4 2,561 2.6 3,123 3.2
---- --------- ---- --------- ----
6 3,294 3.3 4,498 4.6
05/03/05 NYME HENRY HUB GAS SWAP U.S. 6 15,063 1.6 128,958 13.4 964,588
NON U.S. 6 50,531 5.2 143,969 14.9
---- --------- ---- --------- ----
12 65,594 6.8 272,927 28.3
05/03/05 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 4 9,118 7.0 3,139 2.4 130,899
NON U.S. 6 28,727 21.9 6,684 5.1
---- --------- ---- --------- ----
10 37,845 28.9 9,823 7.5
05/03/05 CBT 2-YEAR U.S. TREASURY NOTES U.S. 3 2,804 0.8 5,818 1.7 335,267
NON U.S. 14 19,787 5.9 25,295 7.5
---- --------- ---- --------- ----
17 22,591 6.7 31,113 9.3
05/03/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 39,846 1.9 37,808 1.8 2,119,888
NON U.S. 47 52,517 2.5 106,417 5.0
---- --------- ---- --------- ----
53 92,363 4.4 144,225 6.8
05/03/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 5 15,054 1.1 19,571 1.4 1,377,412
NON U.S. 39 120,571 8.8 95,567 6.9
---- --------- ---- --------- ----
44 135,625 9.8 115,138 8.4
05/03/05 CBT 30-DAY FEDERAL FUNDS U.S. 4 55,663 13.6 37,818 9.2 410,130
NON U.S. 25 49,960 12.2 82,518 20.1
---- --------- ---- --------- ----
29 105,623 25.8 120,336 29.3
05/03/05 CME LIVE CATTLE U.S. 2 4,136 3.0 917 0.7 139,364
NON U.S. 4 8,596 6.2 0 0.0
---- --------- ---- --------- ----
6 12,732 9.1 917 0.7
05/03/05 NYME CRUDE OIL, LIGHT SWEET U.S. 5 19,997 2.5 65,166 8.0 810,793
NON U.S. 17 65,505 8.1 71,582 8.8
---- --------- ---- --------- ----
22 85,502 10.5 136,748 16.9
05/03/05 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 3 688 2.5 3,936 14.0 28,038
NON U.S. 2 1,732 6.2 1,470 5.2
---- --------- ---- --------- ----
5 2,420 8.6 5,406 19.3
05/03/05 NYBT COCOA U.S. 1 485 0.4 0 0.0 121,197
NON U.S. 4 977 0.8 513 0.4
---- --------- ---- --------- ----
5 1,462 1.2 513 0.4
05/03/05 NYME PALLADIUM U.S. 1 0 0.0 204 1.5 13,235
NON U.S. 11 501 3.8 1,464 11.1
---- --------- ---- --------- ----
12 501 3.8 1,668 12.6
05/03/05 NYBT SUGAR NO. 11 U.S. 1 11,176 3.2 0 0.0 345,753
NON U.S. 7 21,397 6.2 0 0.0
---- --------- ---- --------- ----
8 32,573 9.4 0 0.0
05/03/05 NYBT COFFEE C U.S. 1 2,114 2.2 0 0.0 97,451
NON U.S. 9 4,302 4.4 2,315 2.4
---- --------- ---- --------- ----
10 6,416 6.6 2,315 2.4
05/03/05 CMX SILVER U.S. 2 0 0.0 7,997 7.6 105,261
NON U.S. 10 8,868 8.4 16,160 15.4
---- --------- ---- --------- ----
12 8,868 8.4 24,157 22.9
05/03/05 CMX COPPER-GRADE #1 U.S. 2 2,846 2.6 0 0.0 107,401
NON U.S. 4 4,151 3.9 4,662 4.3
---- --------- ---- --------- ----
6 6,997 6.5 4,662 4.3
05/03/05 CMX GOLD U.S. 4 2,546 0.9 41,233 14.2 290,539
NON U.S. 22 12,614 4.3 70,845 24.4
---- --------- ---- --------- ----
26 15,160 5.2 112,078 38.6
05/03/05 CME CANADIAN DOLLAR U.S. 4 1,686 1.8 339 0.4 93,278
NON U.S. 13 12,142 13.0 6,711 7.2
---- --------- ---- --------- ----
17 13,828 14.8 7,050 7.6
05/03/05 CME SWISS FRANC U.S. 2 544 1.4 96 0.2 38,584
NON U.S. 8 7,197 18.7 1,931 5.0
---- --------- ---- --------- ----
10 7,741 20.1 2,027 5.3
05/03/05 CME MEXICAN PESO U.S. 4 1,656 1.5 21,062 19.3 109,099
NON U.S. 12 8,091 7.4 26,301 24.1
---- --------- ---- --------- ----
16 9,747 8.9 47,363 43.4
05/03/05 CME BRITISH POUND STERLING U.S. 4 3,325 3.7 0 0.0 88,941
NON U.S. 8 8,406 9.5 6,171 6.9
---- --------- ---- --------- ----
12 11,731 13.2 6,171 6.9
05/03/05 CME JAPANESE YEN U.S. 6 1,186 0.7 25,502 15.9 160,185
NON U.S. 15 5,377 3.4 15,962 10.0
---- --------- ---- --------- ----
21 6,563 4.1 41,464 25.9
05/03/05 CME EURO FX U.S. 4 4,980 3.6 412 0.3 138,018
NON U.S. 22 43,312 31.4 7,553 5.5
---- --------- ---- --------- ----
26 48,292 35.0 7,965 5.8
05/03/05 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 1 5,523 3.8 450 0.3 146,520
NON U.S. 5 5,048 3.4 2,097 1.4
---- --------- ---- --------- ----
6 10,571 7.2 2,547 1.7
05/03/05 NYBT NEW ZEALAND DOLLAR NON U.S. 5 576 19.3 124 4.1 2,989
05/03/05 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 3,771 9.1 0 0.0 41,616
NON U.S. 14 3,514 8.4 14,589 35.1
---- --------- ---- --------- ----
18 7,285 17.5 14,589 35.1
05/03/05 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 1 0 0.0 489 0.8 63,058
NON U.S. 6 23,133 36.7 450 0.7
---- --------- ---- --------- ----
7 23,133 36.7 939 1.5
05/03/05 CME 3-MONTH EURODOLLARS U.S. 10 811,981 9.5 635,564 7.4 8,550,034
NON U.S. 69 1,576,399 18.4 1,496,521 17.5
---- --------- ---- --------- ----
79 2,388,380 27.9 2,132,085 24.9
05/03/05 CME S&P 500 STOCK INDEX U.S. 5 30,045 4.4 624 0.1 689,971
NON U.S. 22 10,291 1.5 133,691 19.4
---- --------- ---- --------- ----
27 40,336 5.8 134,315 19.5
05/03/05 CME E-MINI S&P 500 STOCK INDEX U.S. 6 21,386 2.2 21,065 2.2 972,551
NON U.S. 27 7,223 0.7 116,305 12.0
---- --------- ---- --------- ----
33 28,609 2.9 137,370 14.1
05/03/05 CME NASDAQ-100 STOCK INDEX U.S. 5 504 0.9 2,005 3.4 58,203
NON U.S. 15 11,584 19.9 2,235 3.8
---- --------- ---- --------- ----
20 12,088 20.8 4,240 7.3
05/03/05 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 5 4,820 1.4 3,392 1.0 339,430
NON U.S. 24 63,495 18.7 1,930 0.6
---- --------- ---- --------- ----
29 68,315 20.1 5,322 1.6
05/03/05 CME AUSTRALIAN DOLLAR U.S. 4 1,956 2.2 3 0.0 89,548
NON U.S. 8 5,924 6.6 16,861 18.8
---- --------- ---- --------- ----
12 7,880 8.8 16,864 18.8
05/03/05 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 3 234 0.7 903 2.6 35,257
NON U.S. 3 5,124 14.5 406 1.2
---- --------- ---- --------- ----
6 5,358 15.2 1,309 3.7
05/03/05 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 4 21 0.0 3,166 1.4 233,934
NON U.S. 10 27,296 11.7 5,207 2.2
---- --------- ---- --------- ----
14 27,317 11.7 8,373 3.6
05/03/05 CME NIKKEI STOCK AVERAGE U.S. 1 0 0.0 286 0.8 37,540
NON U.S. 11 3,199 8.5 5,067 13.5
---- --------- ---- --------- ----
12 3,199 8.5 5,353 14.3
05/03/05 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 4 5,149 14.1 4,310 11.8 36,423
NON U.S. 5 1,572 4.3 2,389 6.6
---- --------- ---- --------- ----
9 6,721 18.5 6,699 18.4
05/03/05 CBT INTEREST RATE SWAPS 5YR - 3MO U.S. 4 10,441 72.9 2,560 17.9 14,323
NON U.S. 3 0 0.0 885 6.2
---- --------- ---- --------- ----
7 10,441 72.9 3,445 24.1
05/03/05 NYBT BRITISH POUND/JPN YEN XRATE NON U.S. 5 458 7.7 1,495 25.3 5,918
05/03/05 NYBT EURO FX/JAPANESE YEN XRATE U.S. 1 2,088 15.9 0 0.0 13,152
NON U.S. 7 1,654 12.6 3,645 27.7
---- --------- ---- --------- ----
8 3,742 28.5 3,645 27.7
05/03/05 NYBT AUSSIE DOLLAR/JPN YEN XRATE NON U.S. 5 7 0.1 5,060 82.7 6,120
05/03/05 CME 3-MO. EUROYEN TIBOR U.S. 2 1,624 2.3 350 0.5 71,127
NON U.S. 20 45,668 64.2 15,305 21.5
---- --------- ---- --------- ----
22 47,292 66.5 15,655 22.0
05/03/05 NYBT EURO FX/BRITISH POUND XRATE NON U.S. 7 5,959 45.8 755 5.8 13,022
05/03/05 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 4 655 4.1 405 2.6 15,840
NON U.S. 2 2,825 17.8 500 3.2
---- --------- ---- --------- ----
6 3,480 22.0 905 5.7