BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
11/01/05 CBT WHEAT U.S. 1 10,395 3.4 200 0.1 305,362
NON U.S. 8 49,173 16.1 1,917 0.6
---- --------- ---- --------- ----
9 59,568 19.5 2,117 0.7
11/01/05 KCBT WHEAT U.S. 1 1,524 1.2 0 0.0 126,404
NON U.S. 6 4,308 3.4 0 0.0
---- --------- ---- --------- ----
7 5,832 4.6 0 0.0
11/01/05 CBT CORN U.S. 1 17,473 2.0 0 0.0 859,864
NON U.S. 7 76,775 8.9 105 0.0
---- --------- ---- --------- ----
8 94,248 11.0 105 0.0
11/01/05 CBT SOYBEANS U.S. 1 7,542 2.7 50 0.0 274,636
NON U.S. 5 15,755 5.7 50 0.0
---- --------- ---- --------- ----
6 23,297 8.5 100 0.0
11/01/05 CBT SOYBEAN OIL U.S. 1 4,181 2.4 100 0.1 171,539
NON U.S. 4 8,105 4.7 1 0.0
---- --------- ---- --------- ----
5 12,286 7.2 101 0.1
11/01/05 CBT U.S. TREASURY BONDS U.S. 4 18,880 3.1 4,969 0.8 601,814
NON U.S. 18 6,406 1.1 24,565 4.1
---- --------- ---- --------- ----
22 25,286 4.2 29,534 4.9
11/01/05 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 2 6,607 4.0 1,266 0.8 166,299
NON U.S. 6 9,727 5.8 3,104 1.9
---- --------- ---- --------- ----
8 16,334 9.8 4,370 2.6
11/01/05 NYME NATURAL GAS U.S. 6 28,104 5.3 24,401 4.6 527,674
NON U.S. 11 28,487 5.4 37,953 7.2
---- --------- ---- --------- ----
17 56,591 10.7 62,354 11.8
11/01/05 NYME MICHCON BASIS SWAP U.S. 2 182 0.5 0 0.0 38,050
NON U.S. 3 968 2.5 853 2.2
---- --------- ---- --------- ----
5 1,150 3.0 853 2.2
11/01/05 NYME PERMIAN BASIS SWAP U.S. 3 2,680 7.4 637 1.8 36,072
NON U.S. 2 124 0.3 974 2.7
---- --------- ---- --------- ----
5 2,804 7.8 1,611 4.5
11/01/05 NYME MALIN BASIS SWAP U.S. 1 61 0.1 8,115 12.2 66,773
NON U.S. 4 5,787 8.7 3,014 4.5
---- --------- ---- --------- ----
5 5,848 8.8 11,129 16.7
11/01/05 NYME SUMAS BASIS SWAP U.S. 4 4,671 7.9 363 0.6 58,854
NON U.S. 5 5,031 8.5 1,815 3.1
---- --------- ---- --------- ----
9 9,702 16.5 2,178 3.7
11/01/05 NYME CIG BASIS SWAP U.S. 4 1,361 2.8 2,972 6.2 48,165
NON U.S. 4 3,934 8.2 9,952 20.7
---- --------- ---- --------- ----
8 5,295 11.0 12,924 26.8
11/01/05 CME 1-MONTH LIBOR RATE U.S. 2 2,084 5.2 8,482 21.2 39,943
NON U.S. 9 11,501 28.8 9,690 24.3
---- --------- ---- --------- ----
11 13,585 34.0 18,172 45.5
11/01/05 NYBT COTTON NO. 2 U.S. 1 3,753 3.2 0 0.0 116,387
NON U.S. 9 9,429 8.1 334 0.3
---- --------- ---- --------- ----
10 13,182 11.3 334 0.3
11/01/05 NYME ALBERTA BASIS SWAP U.S. 4 8,278 5.6 819 0.6 147,005
NON U.S. 8 9,886 6.7 41,151 28.0
---- --------- ---- --------- ----
12 18,164 12.4 41,970 28.6
11/01/05 NYME HOUSTON SHIP CH BASIS SWAP U.S. 4 1,339 1.0 9,499 7.1 134,488
NON U.S. 5 3,411 2.5 20,287 15.1
---- --------- ---- --------- ----
9 4,750 3.5 29,786 22.1
11/01/05 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 6,928 4.5 2,337 1.5 152,388
NON U.S. 6 12,314 8.1 14,722 9.7
---- --------- ---- --------- ----
11 19,242 12.6 17,059 11.2
11/01/05 NYME PANHANDLE BASIS SWAP U.S. 5 2,168 1.8 12,465 10.5 118,240
NON U.S. 5 3,576 3.0 2,316 2.0
---- --------- ---- --------- ----
10 5,744 4.9 14,781 12.5
11/01/05 NYME SAN JUAN BASIS SWAP U.S. 4 2,544 9.7 2,168 8.3 26,189
NON U.S. 4 1,402 5.4 1,042 4.0
---- --------- ---- --------- ----
8 3,946 15.1 3,210 12.3
11/01/05 NYME SOCAL BASIS SWAP U.S. 3 11,572 7.7 852 0.6 151,054
NON U.S. 5 7,067 4.7 4,385 2.9
---- --------- ---- --------- ----
8 18,639 12.3 5,237 3.5
11/01/05 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 0 0.0 4,378 7.0 62,460
NON U.S. 3 1,907 3.1 275 0.4
---- --------- ---- --------- ----
5 1,907 3.1 4,653 7.4
11/01/05 NYME HENRY HUB GAS SWAP U.S. 6 28,637 2.1 167,724 12.5 1,343,590
NON U.S. 8 103,927 7.7 188,798 14.1
---- --------- ---- --------- ----
14 132,564 9.9 356,522 26.5
11/01/05 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 4 8,116 3.3 2,873 1.2 246,513
NON U.S. 7 46,911 19.0 35,766 14.5
---- --------- ---- --------- ----
11 55,027 22.3 38,639 15.7
11/01/05 CBT 2-YEAR U.S. TREASURY NOTES U.S. 2 9,269 2.6 4,349 1.2 356,104
NON U.S. 21 23,436 6.6 20,884 5.9
---- --------- ---- --------- ----
23 32,705 9.2 25,233 7.1
11/01/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 40,025 2.3 10,622 0.6 1,746,486
NON U.S. 38 95,988 5.5 79,423 4.5
---- --------- ---- --------- ----
44 136,013 7.8 90,045 5.2
11/01/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 6 16,955 1.2 19,466 1.3 1,444,095
NON U.S. 33 157,645 10.9 70,626 4.9
---- --------- ---- --------- ----
39 174,600 12.1 90,092 6.2
11/01/05 CBT 30-DAY FEDERAL FUNDS U.S. 5 44,668 10.2 40,695 9.3 436,192
NON U.S. 25 54,592 12.5 91,135 20.9
---- --------- ---- --------- ----
30 99,260 22.8 131,830 30.2
11/01/05 CME LEAN HOGS U.S. 1 4,507 4.0 0 0.0 113,354
NON U.S. 4 8,243 7.3 0 0.0
---- --------- ---- --------- ----
5 12,750 11.2 0 0.0
11/01/05 CME LIVE CATTLE U.S. 2 5,437 3.2 1,444 0.9 168,060
NON U.S. 4 9,964 5.9 0 0.0
---- --------- ---- --------- ----
6 15,401 9.2 1,444 0.9
11/01/05 CME FEEDER CATTLE U.S. 2 367 1.3 255 0.9 27,532
NON U.S. 3 677 2.5 0 0.0
---- --------- ---- --------- ----
5 1,044 3.8 255 0.9
11/01/05 NYME PJM ELECTRICITY MONTHLY U.S. 2 280 0.4 3,330 4.5 73,701
NON U.S. 3 1,652 2.2 1,764 2.4
---- --------- ---- --------- ----
5 1,932 2.6 5,094 6.9
11/01/05 NYME NYISO ZONE A LBMP SWAP U.S. 2 4,840 17.4 340 1.2 27,748
NON U.S. 3 1,346 4.9 3,564 12.8
---- --------- ---- --------- ----
5 6,186 22.3 3,904 14.1
11/01/05 NYME CRUDE OIL, LIGHT SWEET U.S. 5 35,369 4.3 63,626 7.7 821,833
NON U.S. 15 68,971 8.4 69,534 8.5
---- --------- ---- --------- ----
20 104,340 12.7 133,160 16.2
11/01/05 NYBT COCOA U.S. 1 410 0.3 0 0.0 146,129
NON U.S. 5 1,704 1.2 560 0.4
---- --------- ---- --------- ----
6 2,114 1.4 560 0.4
11/01/05 NYME PALLADIUM U.S. 1 0 0.0 408 2.9 14,180
NON U.S. 8 306 2.2 2,467 17.4
---- --------- ---- --------- ----
9 306 2.2 2,875 20.3
11/01/05 NYME PLATINUM U.S. 1 6 0.1 0 0.0 11,075
NON U.S. 7 387 3.5 66 0.6
---- --------- ---- --------- ----
8 393 3.5 66 0.6
11/01/05 NYBT SUGAR NO. 11 U.S. 1 11,284 2.4 0 0.0 460,599
NON U.S. 7 26,018 5.6 12,503 2.7
---- --------- ---- --------- ----
8 37,302 8.1 12,503 2.7
11/01/05 NYBT COFFEE C U.S. 1 2,086 2.5 0 0.0 83,960
NON U.S. 9 5,752 6.9 4,965 5.9
---- --------- ---- --------- ----
10 7,838 9.3 4,965 5.9
11/01/05 CMX SILVER U.S. 3 0 0.0 21,076 15.3 137,967
NON U.S. 10 4,218 3.1 13,570 9.8
---- --------- ---- --------- ----
13 4,218 3.1 34,646 25.1
11/01/05 CMX COPPER-GRADE #1 U.S. 2 4,192 4.0 222 0.2 105,650
NON U.S. 8 7,122 6.7 2,003 1.9
---- --------- ---- --------- ----
10 11,314 10.7 2,225 2.1
11/01/05 CMX GOLD U.S. 4 1,284 0.4 78,894 23.6 334,470
NON U.S. 25 18,093 5.4 52,246 15.6
---- --------- ---- --------- ----
29 19,377 5.8 131,140 39.2
11/01/05 CME CANADIAN DOLLAR U.S. 5 2,277 2.1 6,295 5.8 108,226
NON U.S. 12 7,275 6.7 20,703 19.1
---- --------- ---- --------- ----
17 9,552 8.8 26,998 24.9
11/01/05 CME SWISS FRANC U.S. 5 6,914 9.9 0 0.0 69,574
NON U.S. 5 14,063 20.2 4,436 6.4
---- --------- ---- --------- ----
10 20,977 30.2 4,436 6.4
11/01/05 CME MEXICAN PESO U.S. 5 3,016 4.3 8,513 12.2 69,890
NON U.S. 9 1,287 1.8 40,134 57.4
---- --------- ---- --------- ----
14 4,303 6.2 48,647 69.6
11/01/05 CME BRITISH POUND STERLING U.S. 5 3,079 4.4 3,159 4.5 69,583
NON U.S. 5 9,742 14.0 0 0.0
---- --------- ---- --------- ----
10 12,821 18.4 3,159 4.5
11/01/05 CME JAPANESE YEN U.S. 6 21,618 11.0 19,234 9.8 195,803
NON U.S. 9 44,479 22.7 483 0.2
---- --------- ---- --------- ----
15 66,097 33.8 19,717 10.1
11/01/05 CME EURO FX U.S. 5 22,004 15.2 480 0.3 144,306
NON U.S. 15 9,145 6.3 40,633 28.2
---- --------- ---- --------- ----
20 31,149 21.6 41,113 28.5
11/01/05 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 1 5,892 4.5 237 0.2 129,907
NON U.S. 7 9,928 7.6 2,154 1.7
---- --------- ---- --------- ----
8 15,820 12.2 2,391 1.8
11/01/05 NYBT NEW ZEALAND DOLLAR U.S. 1 0 0.0 541 13.9 3,888
NON U.S. 5 425 10.9 1,767 45.4
---- --------- ---- --------- ----
6 425 10.9 2,308 59.4
11/01/05 CME NEW ZEALAND DOLLAR U.S. 1 0 0.0 300 3.0 9,944
NON U.S. 5 869 8.7 3,647 36.7
---- --------- ---- --------- ----
6 869 8.7 3,947 39.7
11/01/05 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 3,564 9.5 657 1.7 37,620
NON U.S. 7 10,593 28.2 623 1.7
---- --------- ---- --------- ----
11 14,157 37.6 1,280 3.4
11/01/05 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 2 144 0.2 640 0.9 71,636
NON U.S. 6 4,334 6.1 541 0.8
---- --------- ---- --------- ----
8 4,478 6.3 1,181 1.6
11/01/05 CME 3-MONTH EURODOLLARS U.S. 12 967,859 10.9 703,124 7.9 8,897,347
NON U.S. 65 1,452,584 16.3 1,245,730 14.0
---- --------- ---- --------- ----
77 2,420,443 27.2 1,948,854 21.9
11/01/05 CME S&P 500 STOCK INDEX U.S. 6 24,035 3.7 156 0.0 651,988
NON U.S. 16 5,826 0.9 92,786 14.2
---- --------- ---- --------- ----
22 29,861 4.6 92,942 14.3
11/01/05 CME E-MINI S&P 500 STOCK INDEX U.S. 5 29,657 2.7 15,485 1.4 1,107,973
NON U.S. 28 65,702 5.9 84,594 7.6
---- --------- ---- --------- ----
33 95,359 8.6 100,079 9.0
11/01/05 CME NASDAQ-100 STOCK INDEX U.S. 5 1,742 2.8 5,800 9.3 62,439
NON U.S. 16 11,218 18.0 1,340 2.1
---- --------- ---- --------- ----
21 12,960 20.8 7,140 11.4
11/01/05 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 5 824 0.2 12,706 3.4 375,609
NON U.S. 22 59,760 15.9 4,112 1.1
---- --------- ---- --------- ----
27 60,584 16.1 16,818 4.5
11/01/05 CME AUSTRALIAN DOLLAR U.S. 5 2,422 4.0 3,629 5.9 61,243
NON U.S. 7 14,629 23.9 5,741 9.4
---- --------- ---- --------- ----
12 17,051 27.8 9,370 15.3
11/01/05 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 4 350 1.0 1,721 4.8 35,941
NON U.S. 3 3,533 9.8 288 0.8
---- --------- ---- --------- ----
7 3,883 10.8 2,009 5.6
11/01/05 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 2 0 0.0 6,669 2.3 286,803
NON U.S. 8 42,012 14.6 3,568 1.2
---- --------- ---- --------- ----
10 42,012 14.6 10,237 3.6
11/01/05 CME NIKKEI STOCK AVERAGE NON U.S. 13 5,631 9.5 3,702 6.3 59,019
11/01/05 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 2 1,133 2.9 325 0.8 39,407
NON U.S. 6 1,272 3.2 465 1.2
---- --------- ---- --------- ----
8 2,405 6.1 790 2.0
11/01/05 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 4 917 2.8 8,514 26.0 32,729
NON U.S. 6 1,488 4.5 1,813 5.5
---- --------- ---- --------- ----
10 2,405 7.3 10,327 31.6
11/01/05 CBT INTEREST RATE SWAPS 5YR - 3MO U.S. 3 8,820 66.4 600 4.5 13,282
NON U.S. 3 1,000 7.5 250 1.9
---- --------- ---- --------- ----
6 9,820 73.9 850 6.4
11/01/05 NYBT BRITISH POUND/JPN YEN XRATE NON U.S. 5 308 3.5 1,490 16.9 8,795
11/01/05 NYBT EURO FX/JAPANESE YEN XRATE U.S. 2 0 0.0 1,131 5.2 21,871
NON U.S. 8 2,022 9.2 9,337 42.7
---- --------- ---- --------- ----
10 2,022 9.2 10,468 47.9
11/01/05 NYBT EURO FX/SWISS FRANC XRATE U.S. 2 0 0.0 1,847 14.7 12,528
NON U.S. 4 1,926 15.4 2,717 21.7
---- --------- ---- --------- ----
6 1,926 15.4 4,564 36.4
11/01/05 CME 3-MO. EUROYEN TIBOR U.S. 4 1,924 5.1 1,320 3.5 37,484
NON U.S. 19 8,671 23.1 18,543 49.5
---- --------- ---- --------- ----
23 10,595 28.3 19,863 53.0
11/01/05 NYBT EURO FX/BRITISH POUND XRATE U.S. 1 87 1.2 0 0.0 7,413
NON U.S. 4 2,240 30.2 4 0.1
---- --------- ---- --------- ----
5 2,327 31.4 4 0.1
11/01/05 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 3 705 7.9 305 3.4 8,946
NON U.S. 3 2,270 25.4 800 8.9
---- --------- ---- --------- ----
6 2,975 33.3 1,105 12.4
11/01/05 NYME UNL GAS CRACK SPRD CAL SWAP U.S. 2 0 0.0 460 7.0 6,613
NON U.S. 3 0 0.0 425 6.4
---- --------- ---- --------- ----
5 0 0.0 885 13.4