BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
10/04/05 CBT WHEAT U.S. 1 10,106 3.4 0 0.0 297,221
NON U.S. 7 48,780 16.4 1,798 0.6
---- --------- ---- --------- ----
8 58,886 19.8 1,798 0.6
10/04/05 KCBT WHEAT U.S. 1 1,528 1.3 0 0.0 114,813
NON U.S. 6 4,136 3.6 0 0.0
---- --------- ---- --------- ----
7 5,664 4.9 0 0.0
10/04/05 CBT CORN U.S. 1 16,200 2.2 0 0.0 749,162
NON U.S. 7 74,517 9.9 339 0.0
---- --------- ---- --------- ----
8 90,717 12.1 339 0.0
10/04/05 CBT SOYBEANS U.S. 1 6,477 2.4 50 0.0 267,206
NON U.S. 5 15,083 5.6 0 0.0
---- --------- ---- --------- ----
6 21,560 8.1 50 0.0
10/04/05 CBT SOYBEAN OIL U.S. 1 3,996 2.6 100 0.1 153,305
NON U.S. 4 7,766 5.1 0 0.0
---- --------- ---- --------- ----
5 11,762 7.7 100 0.1
10/04/05 CBT U.S. TREASURY BONDS U.S. 4 22,423 3.9 9,146 1.6 582,145
NON U.S. 14 7,378 1.3 15,649 2.7
---- --------- ---- --------- ----
18 29,801 5.1 24,795 4.3
10/04/05 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 1 6,157 3.7 1,289 0.8 167,990
NON U.S. 6 10,691 6.4 3,729 2.2
---- --------- ---- --------- ----
7 16,848 10.0 5,018 3.0
10/04/05 NYME NATURAL GAS U.S. 6 20,784 3.8 22,827 4.1 552,970
NON U.S. 11 29,377 5.3 42,539 7.7
---- --------- ---- --------- ----
17 50,161 9.1 65,366 11.8
10/04/05 NYME PERMIAN BASIS SWAP U.S. 4 3,833 10.1 664 1.7 38,118
NON U.S. 2 244 0.6 1,094 2.9
---- --------- ---- --------- ----
6 4,077 10.7 1,758 4.6
10/04/05 NYME MALIN BASIS SWAP U.S. 1 0 0.0 1,791 2.7 65,172
NON U.S. 4 4,677 7.2 3,020 4.6
---- --------- ---- --------- ----
5 4,677 7.2 4,811 7.4
10/04/05 NYME PG&E CITYGATE BASIS SWAP U.S. 2 1,278 1.9 2,114 3.1 67,331
NON U.S. 3 3,572 5.3 974 1.4
---- --------- ---- --------- ----
5 4,850 7.2 3,088 4.6
10/04/05 NYME SUMAS BASIS SWAP U.S. 3 4,377 7.0 453 0.7 62,246
NON U.S. 5 5,370 8.6 2,262 3.6
---- --------- ---- --------- ----
8 9,747 15.7 2,715 4.4
10/04/05 NYME NGPL MID-CON BASIS SWAP U.S. 2 755 1.8 0 0.0 42,475
NON U.S. 3 2,990 7.0 730 1.7
---- --------- ---- --------- ----
5 3,745 8.8 730 1.7
10/04/05 NYME DEMARC BASIS SWAP U.S. 5 666 5.1 2,321 17.7 13,111
NON U.S. 1 453 3.5 0 0.0
---- --------- ---- --------- ----
6 1,119 8.5 2,321 17.7
10/04/05 NYME CIG BASIS SWAP U.S. 4 1,460 3.0 3,022 6.2 48,453
NON U.S. 3 2,075 4.3 10,074 20.8
---- --------- ---- --------- ----
7 3,535 7.3 13,096 27.0
10/04/05 CME 1-MONTH LIBOR RATE U.S. 2 1,389 3.6 13,012 33.3 39,084
NON U.S. 8 13,161 33.7 5,735 14.7
---- --------- ---- --------- ----
10 14,550 37.2 18,747 48.0
10/04/05 NYBT COTTON NO. 2 U.S. 1 3,660 3.3 50 0.0 110,391
NON U.S. 9 9,334 8.5 117 0.1
---- --------- ---- --------- ----
10 12,994 11.8 167 0.2
10/04/05 NYME ALBERTA BASIS SWAP U.S. 4 9,084 6.4 516 0.4 142,546
NON U.S. 7 9,194 6.4 42,036 29.5
---- --------- ---- --------- ----
11 18,278 12.8 42,552 29.9
10/04/05 NYME HOUSTON SHIP CH BASIS SWAP U.S. 4 1,222 1.0 8,755 6.9 127,262
NON U.S. 4 3,197 2.5 19,687 15.5
---- --------- ---- --------- ----
8 4,419 3.5 28,442 22.3
10/04/05 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 5,470 3.6 2,986 2.0 152,124
NON U.S. 5 9,002 5.9 15,976 10.5
---- --------- ---- --------- ----
10 14,472 9.5 18,962 12.5
10/04/05 NYME PANHANDLE BASIS SWAP U.S. 5 2,134 1.9 11,804 10.3 114,423
NON U.S. 5 3,500 3.1 2,436 2.1
---- --------- ---- --------- ----
10 5,634 4.9 14,240 12.4
10/04/05 NYME SAN JUAN BASIS SWAP U.S. 4 1,998 8.2 2,710 11.1 24,512
NON U.S. 3 762 3.1 856 3.5
---- --------- ---- --------- ----
7 2,760 11.3 3,566 14.5
10/04/05 NYME SOCAL BASIS SWAP U.S. 3 4,886 3.4 882 0.6 142,150
NON U.S. 4 5,062 3.6 2,117 1.5
---- --------- ---- --------- ----
7 9,948 7.0 2,999 2.1
10/04/05 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 0 0.0 3,488 5.6 62,778
NON U.S. 3 1,631 2.6 275 0.4
---- --------- ---- --------- ----
5 1,631 2.6 3,763 6.0
10/04/05 NYME HENRY HUB GAS SWAP U.S. 6 34,110 2.7 170,949 13.5 1,262,871
NON U.S. 8 81,889 6.5 188,303 14.9
---- --------- ---- --------- ----
14 115,999 9.2 359,252 28.4
10/04/05 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 4 7,495 3.5 2,764 1.3 213,701
NON U.S. 6 28,191 13.2 35,954 16.8
---- --------- ---- --------- ----
10 35,686 16.7 38,718 18.1
10/04/05 CBT 2-YEAR U.S. TREASURY NOTES U.S. 2 9,740 2.9 3,449 1.0 335,140
NON U.S. 14 13,935 4.2 17,398 5.2
---- --------- ---- --------- ----
16 23,675 7.1 20,847 6.2
10/04/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 43,477 2.6 12,110 0.7 1,641,098
NON U.S. 38 42,488 2.6 78,248 4.8
---- --------- ---- --------- ----
44 85,965 5.2 90,358 5.5
10/04/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 6 19,124 1.6 12,522 1.0 1,214,256
NON U.S. 31 86,336 7.1 65,841 5.4
---- --------- ---- --------- ----
37 105,460 8.7 78,363 6.5
10/04/05 CBT 30-DAY FEDERAL FUNDS U.S. 6 21,391 6.1 42,676 12.1 353,263
NON U.S. 25 51,842 14.7 60,553 17.1
---- --------- ---- --------- ----
31 73,233 20.7 103,229 29.2
10/04/05 CME LEAN HOGS U.S. 1 4,390 3.9 0 0.0 113,443
NON U.S. 5 8,077 7.1 0 0.0
---- --------- ---- --------- ----
6 12,467 11.0 0 0.0
10/04/05 CME LIVE CATTLE U.S. 2 5,396 3.3 1,626 1.0 164,709
NON U.S. 4 9,631 5.8 0 0.0
---- --------- ---- --------- ----
6 15,027 9.1 1,626 1.0
10/04/05 CME FEEDER CATTLE U.S. 2 368 1.2 245 0.8 30,276
NON U.S. 3 634 2.1 0 0.0
---- --------- ---- --------- ----
5 1,002 3.3 245 0.8
10/04/05 NYME PJM ELECTRICITY MONTHLY U.S. 2 280 0.4 1,885 2.5 75,340
NON U.S. 3 2,468 3.3 2,036 2.7
---- --------- ---- --------- ----
5 2,748 3.6 3,921 5.2
10/04/05 NYME CRUDE OIL, LIGHT SWEET U.S. 5 40,143 4.6 65,408 7.6 866,124
NON U.S. 15 78,246 9.0 77,664 9.0
---- --------- ---- --------- ----
20 118,389 13.7 143,072 16.5
10/04/05 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 3 504 2.2 3,972 17.0 23,335
NON U.S. 2 1,465 6.3 1,740 7.5
---- --------- ---- --------- ----
5 1,969 8.4 5,712 24.5
10/04/05 NYBT COCOA U.S. 1 412 0.3 0 0.0 124,673
NON U.S. 5 1,678 1.3 560 0.4
---- --------- ---- --------- ----
6 2,090 1.7 560 0.4
10/04/05 NYME PALLADIUM U.S. 1 0 0.0 353 2.7 13,206
NON U.S. 8 319 2.4 2,254 17.1
---- --------- ---- --------- ----
9 319 2.4 2,607 19.7
10/04/05 NYME PLATINUM U.S. 1 0 0.0 194 1.5 13,071
NON U.S. 5 236 1.8 574 4.4
---- --------- ---- --------- ----
6 236 1.8 768 5.9
10/04/05 NYBT SUGAR NO. 11 U.S. 1 11,889 2.6 0 0.0 458,136
NON U.S. 7 23,797 5.2 11,523 2.5
---- --------- ---- --------- ----
8 35,686 7.8 11,523 2.5
10/04/05 NYBT COFFEE C U.S. 1 2,002 2.3 0 0.0 87,370
NON U.S. 11 5,532 6.3 5,153 5.9
---- --------- ---- --------- ----
12 7,534 8.6 5,153 5.9
10/04/05 CMX SILVER U.S. 2 676 0.5 18,127 14.4 125,742
NON U.S. 10 4,454 3.5 11,019 8.8
---- --------- ---- --------- ----
12 5,130 4.1 29,146 23.2
10/04/05 CMX COPPER-GRADE #1 U.S. 2 3,751 3.5 22 0.0 107,932
NON U.S. 8 6,642 6.2 2,459 2.3
---- --------- ---- --------- ----
10 10,393 9.6 2,481 2.3
10/04/05 CMX GOLD U.S. 4 967 0.3 87,031 23.9 363,529
NON U.S. 20 15,287 4.2 57,258 15.8
---- --------- ---- --------- ----
24 16,254 4.5 144,289 39.7
10/04/05 CME RUSSIAN RUBLE U.S. 1 55 1.3 0 0.0 4,166
NON U.S. 6 1,320 31.7 3,708 89.0
---- --------- ---- --------- ----
7 1,375 33.0 3,708 89.0
10/04/05 CME CANADIAN DOLLAR U.S. 5 1,497 1.4 6,627 6.1 108,178
NON U.S. 10 4,640 4.3 20,441 18.9
---- --------- ---- --------- ----
15 6,137 5.7 27,068 25.0
10/04/05 CME SWISS FRANC U.S. 4 4,535 5.2 0 0.0 87,779
NON U.S. 6 25,143 28.6 2,027 2.3
---- --------- ---- --------- ----
10 29,678 33.8 2,027 2.3
10/04/05 CME MEXICAN PESO U.S. 5 2,792 3.4 3,769 4.6 81,286
NON U.S. 9 882 1.1 59,028 72.6
---- --------- ---- --------- ----
14 3,674 4.5 62,797 77.3
10/04/05 CME BRITISH POUND STERLING U.S. 4 3,080 3.4 45 0.1 89,889
NON U.S. 6 15,009 16.7 65 0.1
---- --------- ---- --------- ----
10 18,089 20.1 110 0.1
10/04/05 CME JAPANESE YEN U.S. 4 1,841 1.1 19,979 11.9 167,979
NON U.S. 13 40,818 24.3 378 0.2
---- --------- ---- --------- ----
17 42,659 25.4 20,357 12.1
10/04/05 CME EURO FX U.S. 5 16,161 11.3 0 0.0 143,338
NON U.S. 17 12,122 8.5 14,573 10.2
---- --------- ---- --------- ----
22 28,283 19.7 14,573 10.2
10/04/05 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 2 6,264 4.6 699 0.5 134,972
NON U.S. 6 7,836 5.8 1,463 1.1
---- --------- ---- --------- ----
8 14,100 10.4 2,162 1.6
10/04/05 NYBT NEW ZEALAND DOLLAR U.S. 1 0 0.0 541 21.5 2,519
NON U.S. 5 623 24.7 1,257 49.9
---- --------- ---- --------- ----
6 623 24.7 1,798 71.4
10/04/05 CME NEW ZEALAND DOLLAR U.S. 1 0 0.0 300 3.3 9,132
NON U.S. 5 884 9.7 3,485 38.2
---- --------- ---- --------- ----
6 884 9.7 3,785 41.4
10/04/05 NYBT SOUTH AFRICAN RAND NON U.S. 5 2,428 68.3 0 0.0 3,553
10/04/05 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 3,654 10.2 657 1.8 35,810
NON U.S. 7 10,476 29.3 623 1.7
---- --------- ---- --------- ----
11 14,130 39.5 1,280 3.6
10/04/05 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 1 148 0.3 0 0.0 53,360
NON U.S. 5 1,890 3.5 200 0.4
---- --------- ---- --------- ----
6 2,038 3.8 200 0.4
10/04/05 CME 3-MONTH EURODOLLARS U.S. 11 920,123 11.3 550,996 6.7 8,172,516
NON U.S. 62 1,472,099 18.0 1,158,919 14.2
---- --------- ---- --------- ----
73 2,392,222 29.3 1,709,915 20.9
10/04/05 CME S&P 500 STOCK INDEX U.S. 6 23,511 3.7 102 0.0 630,502
NON U.S. 15 5,312 0.8 89,631 14.2
---- --------- ---- --------- ----
21 28,823 4.6 89,733 14.2
10/04/05 CME E-MINI S&P 500 STOCK INDEX U.S. 6 44,096 4.6 5,654 0.6 956,849
NON U.S. 25 44,380 4.6 77,445 8.1
---- --------- ---- --------- ----
31 88,476 9.2 83,099 8.7
10/04/05 CME NASDAQ-100 STOCK INDEX U.S. 5 1,907 3.4 4,564 8.1 56,366
NON U.S. 14 9,379 16.6 1,261 2.2
---- --------- ---- --------- ----
19 11,286 20.0 5,825 10.3
10/04/05 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 4 1,389 0.5 8,731 3.2 269,833
NON U.S. 22 43,435 16.1 2,105 0.8
---- --------- ---- --------- ----
26 44,824 16.6 10,836 4.0
10/04/05 CME AUSTRALIAN DOLLAR U.S. 5 299 0.4 3,588 5.2 69,587
NON U.S. 6 26 0.0 11,980 17.2
---- --------- ---- --------- ----
11 325 0.5 15,568 22.4
10/04/05 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 5 355 1.1 2,238 7.0 32,198
NON U.S. 3 3,245 10.1 288 0.9
---- --------- ---- --------- ----
8 3,600 11.2 2,526 7.8
10/04/05 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 1 0 0.0 1,369 0.6 230,566
NON U.S. 7 30,614 13.3 2,989 1.3
---- --------- ---- --------- ----
8 30,614 13.3 4,358 1.9
10/04/05 CME NIKKEI STOCK AVERAGE NON U.S. 12 4,067 7.7 2,566 4.8 52,991
10/04/05 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 1 751 2.1 0 0.0 35,013
NON U.S. 5 1,837 5.2 390 1.1
---- --------- ---- --------- ----
6 2,588 7.4 390 1.1
10/04/05 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 4 762 2.3 9,584 28.6 33,490
NON U.S. 7 1,635 4.9 1,914 5.7
---- --------- ---- --------- ----
11 2,397 7.2 11,498 34.3
10/04/05 CBT INTEREST RATE SWAPS 5YR - 3MO U.S. 4 9,876 69.9 910 6.4 14,133
NON U.S. 3 1,000 7.1 250 1.8
---- --------- ---- --------- ----
7 10,876 77.0 1,160 8.2
10/04/05 NYBT EURO FX/JAPANESE YEN XRATE U.S. 1 0 0.0 631 5.0 12,647
NON U.S. 7 1,021 8.1 4,764 37.7
---- --------- ---- --------- ----
8 1,021 8.1 5,395 42.7
10/04/05 NYBT EURO FX/SWISS FRANC XRATE U.S. 2 0 0.0 1,830 6.6 27,861
NON U.S. 4 0 0.0 4,889 17.5
---- --------- ---- --------- ----
6 0 0.0 6,719 24.1
10/04/05 CME 3-MO. EUROYEN TIBOR U.S. 4 1,924 5.3 620 1.7 36,299
NON U.S. 21 10,239 28.2 20,470 56.4
---- --------- ---- --------- ----
25 12,163 33.5 21,090 58.1
10/04/05 NYBT EURO FX/BRITISH POUND XRATE U.S. 1 87 0.7 0 0.0 13,378
NON U.S. 4 2,036 15.2 0 0.0
---- --------- ---- --------- ----
5 2,123 15.9 0 0.0