BANK PARTICIPATION IN FUTURES MARKETS
(IN CONTRACTS)
BANK BANK LONG SHORT OPEN
DATE COMMODITY TYPE COUNT FUTURES % FUTURES % INTEREST
09/06/05 CBT WHEAT U.S. 1 9,854 3.8 0 0.0 261,552
NON U.S. 7 47,470 18.1 1,219 0.5
---- --------- ---- --------- ----
8 57,324 21.9 1,219 0.5
09/06/05 KCBT WHEAT U.S. 1 1,526 1.6 0 0.0 94,432
NON U.S. 4 3,349 3.5 0 0.0
---- --------- ---- --------- ----
5 4,875 5.2 0 0.0
09/06/05 CBT CORN U.S. 1 16,107 2.3 0 0.0 709,074
NON U.S. 7 68,924 9.7 978 0.1
---- --------- ---- --------- ----
8 85,031 12.0 978 0.1
09/06/05 CBT SOYBEANS U.S. 1 6,481 2.6 0 0.0 245,509
NON U.S. 5 13,260 5.4 283 0.1
---- --------- ---- --------- ----
6 19,741 8.0 283 0.1
09/06/05 CBT U.S. TREASURY BONDS U.S. 4 21,162 3.1 11,867 1.8 672,598
NON U.S. 18 42,658 6.3 44,972 6.7
---- --------- ---- --------- ----
22 63,820 9.5 56,839 8.5
09/06/05 NYME NO. 2 HEATING OIL, N.Y. HARBOR U.S. 1 6,336 3.5 1,802 1.0 178,746
NON U.S. 4 9,976 5.6 3,100 1.7
---- --------- ---- --------- ----
5 16,312 9.1 4,902 2.7
09/06/05 NYME NATURAL GAS U.S. 6 18,737 3.6 21,865 4.2 519,727
NON U.S. 8 28,277 5.4 40,873 7.9
---- --------- ---- --------- ----
14 47,014 9.0 62,738 12.1
09/06/05 NYME PERMIAN BASIS SWAP U.S. 3 4,050 9.9 271 0.7 40,921
NON U.S. 2 430 1.1 1,094 2.7
---- --------- ---- --------- ----
5 4,480 10.9 1,365 3.3
09/06/05 NYME MALIN BASIS SWAP U.S. 1 558 0.9 1,007 1.5 65,008
NON U.S. 4 4,835 7.4 3,738 5.8
---- --------- ---- --------- ----
5 5,393 8.3 4,745 7.3
09/06/05 NYME PG&E CITYGATE BASIS SWAP U.S. 2 1,954 3.5 982 1.8 56,110
NON U.S. 3 3,007 5.4 916 1.6
---- --------- ---- --------- ----
5 4,961 8.8 1,898 3.4
09/06/05 NYME SUMAS BASIS SWAP U.S. 3 4,629 7.1 604 0.9 65,500
NON U.S. 5 6,439 9.8 2,062 3.1
---- --------- ---- --------- ----
8 11,068 16.9 2,666 4.1
09/06/05 NYME DEMARC BASIS SWAP U.S. 4 213 1.6 733 5.5 13,220
NON U.S. 1 453 3.4 0 0.0
---- --------- ---- --------- ----
5 666 5.0 733 5.5
09/06/05 NYME WAHA BASIS SWAP U.S. 2 433 1.1 1,612 4.3 37,927
NON U.S. 3 248 0.7 2,930 7.7
---- --------- ---- --------- ----
5 681 1.8 4,542 12.0
09/06/05 NYME CIG BASIS SWAP U.S. 4 1,460 2.9 3,146 6.3 49,713
NON U.S. 3 2,015 4.1 9,716 19.5
---- --------- ---- --------- ----
7 3,475 7.0 12,862 25.9
09/06/05 CME 1-MONTH LIBOR RATE U.S. 3 12,190 28.6 12,755 30.0 42,552
NON U.S. 9 12,642 29.7 13,251 31.1
---- --------- ---- --------- ----
12 24,832 58.4 26,006 61.1
09/06/05 NYBT COTTON NO. 2 U.S. 1 3,587 3.3 0 0.0 107,098
NON U.S. 9 8,720 8.1 317 0.3
---- --------- ---- --------- ----
10 12,307 11.5 317 0.3
09/06/05 NYME ALBERTA BASIS SWAP U.S. 4 8,953 7.0 516 0.4 128,261
NON U.S. 7 9,497 7.4 38,385 29.9
---- --------- ---- --------- ----
11 18,450 14.4 38,901 30.3
09/06/05 NYME CHICAGO BASIS SWAP U.S. 2 0 0.0 665 1.2 56,840
NON U.S. 4 275 0.5 1,128 2.0
---- --------- ---- --------- ----
6 275 0.5 1,793 3.2
09/06/05 NYME HOUSTON SHIP CH BASIS SWAP U.S. 3 1,907 1.5 8,516 6.9 123,657
NON U.S. 4 4,075 3.3 20,587 16.6
---- --------- ---- --------- ----
7 5,982 4.8 29,103 23.5
09/06/05 NYME NW PIPE ROCKIES BASIS SWAP U.S. 5 5,155 3.6 3,059 2.1 143,802
NON U.S. 5 11,084 7.7 12,108 8.4
---- --------- ---- --------- ----
10 16,239 11.3 15,167 10.5
09/06/05 NYME PANHANDLE BASIS SWAP U.S. 4 211 0.2 12,001 10.0 119,824
NON U.S. 4 3,851 3.2 2,860 2.4
---- --------- ---- --------- ----
8 4,062 3.4 14,861 12.4
09/06/05 NYME SAN JUAN BASIS SWAP U.S. 4 1,946 8.7 2,500 11.2 22,384
NON U.S. 3 762 3.4 1,158 5.2
---- --------- ---- --------- ----
7 2,708 12.1 3,658 16.3
09/06/05 NYME SOCAL BASIS SWAP U.S. 3 3,871 2.8 516 0.4 137,785
NON U.S. 4 4,358 3.2 4,326 3.1
---- --------- ---- --------- ----
7 8,229 6.0 4,842 3.5
09/06/05 NYME TRANSCO ZONE 6 BASIS SWAP U.S. 2 0 0.0 3,370 4.8 69,986
NON U.S. 3 1,355 1.9 306 0.4
---- --------- ---- --------- ----
5 1,355 1.9 3,676 5.3
09/06/05 NYME HENRY HUB GAS SWAP U.S. 6 40,673 3.3 147,924 12.0 1,230,454
NON U.S. 7 70,082 5.7 156,377 12.7
---- --------- ---- --------- ----
13 110,755 9.0 304,301 24.7
09/06/05 NYME HENRY HUB PENULTIMATE GAS SWAP U.S. 3 5,328 2.6 3,219 1.6 204,832
NON U.S. 6 35,583 17.4 36,981 18.1
---- --------- ---- --------- ----
9 40,911 20.0 40,200 19.6
09/06/05 CBT 2-YEAR U.S. TREASURY NOTES U.S. 1 9,717 2.5 1,639 0.4 388,067
NON U.S. 14 20,338 5.2 12,295 3.2
---- --------- ---- --------- ----
15 30,055 7.7 13,934 3.6
09/06/05 CBT 10-YEAR U.S. TREASURY NOTES U.S. 6 36,111 1.9 6,573 0.4 1,857,524
NON U.S. 34 16,955 0.9 73,898 4.0
---- --------- ---- --------- ----
40 53,066 2.9 80,471 4.3
09/06/05 CBT 5-YEAR U.S. TREASURY NOTES U.S. 4 19,774 1.5 12,848 1.0 1,311,247
NON U.S. 27 78,695 6.0 93,340 7.1
---- --------- ---- --------- ----
31 98,469 7.5 106,188 8.1
09/06/05 CBT 30-DAY FEDERAL FUNDS U.S. 5 50,131 12.1 69,281 16.8 413,224
NON U.S. 21 38,946 9.4 105,702 25.6
---- --------- ---- --------- ----
26 89,077 21.6 174,983 42.3
09/06/05 CME LEAN HOGS U.S. 1 4,352 4.1 0 0.0 105,279
NON U.S. 4 7,382 7.0 0 0.0
---- --------- ---- --------- ----
5 11,734 11.1 0 0.0
09/06/05 CME LIVE CATTLE U.S. 2 5,251 3.9 556 0.4 136,364
NON U.S. 3 8,926 6.5 0 0.0
---- --------- ---- --------- ----
5 14,177 10.4 556 0.4
09/06/05 NYME PJM ELECTRICITY MONTHLY U.S. 2 585 0.7 1,085 1.4 80,042
NON U.S. 3 2,200 2.7 1,962 2.5
---- --------- ---- --------- ----
5 2,785 3.5 3,047 3.8
09/06/05 NYME CRUDE OIL, LIGHT SWEET U.S. 5 40,652 4.5 66,326 7.4 897,560
NON U.S. 17 75,383 8.4 83,243 9.3
---- --------- ---- --------- ----
22 116,035 12.9 149,569 16.7
09/06/05 NYME WTI CRUDE OIL CALENDAR SWAP U.S. 3 552 2.2 4,038 16.2 24,972
NON U.S. 2 1,610 6.4 1,815 7.3
---- --------- ---- --------- ----
5 2,162 8.7 5,853 23.4
09/06/05 NYBT COCOA U.S. 1 411 0.4 0 0.0 115,177
NON U.S. 5 1,340 1.2 560 0.5
---- --------- ---- --------- ----
6 1,751 1.5 560 0.5
09/06/05 NYME PALLADIUM U.S. 1 0 0.0 348 2.6 13,315
NON U.S. 8 430 3.2 1,157 8.7
---- --------- ---- --------- ----
9 430 3.2 1,505 11.3
09/06/05 NYME PLATINUM U.S. 1 0 0.0 154 1.4 11,319
NON U.S. 4 500 4.4 445 3.9
---- --------- ---- --------- ----
5 500 4.4 599 5.3
09/06/05 NYBT SUGAR NO. 11 U.S. 1 12,391 2.6 0 0.0 483,634
NON U.S. 7 21,409 4.4 10,815 2.2
---- --------- ---- --------- ----
8 33,800 7.0 10,815 2.2
09/06/05 NYBT COFFEE C U.S. 1 1,989 2.3 0 0.0 85,493
NON U.S. 10 4,973 5.8 5,739 6.7
---- --------- ---- --------- ----
11 6,962 8.1 5,739 6.7
09/06/05 CMX SILVER U.S. 2 0 0.0 14,807 13.2 112,175
NON U.S. 10 7,124 6.4 7,331 6.5
---- --------- ---- --------- ----
12 7,124 6.4 22,138 19.7
09/06/05 CMX COPPER-GRADE #1 U.S. 2 3,657 3.5 22 0.0 105,839
NON U.S. 7 5,859 5.5 3,183 3.0
---- --------- ---- --------- ----
9 9,516 9.0 3,205 3.0
09/06/05 CMX GOLD U.S. 4 1,817 0.6 71,598 23.9 299,192
NON U.S. 24 12,760 4.3 45,383 15.2
---- --------- ---- --------- ----
28 14,577 4.9 116,981 39.1
09/06/05 CME RUSSIAN RUBLE U.S. 1 55 1.0 54 1.0 5,465
NON U.S. 7 1,269 23.2 4,490 82.2
---- --------- ---- --------- ----
8 1,324 24.2 4,544 83.1
09/06/05 CME CANADIAN DOLLAR U.S. 5 1,244 1.1 11,719 10.0 117,451
NON U.S. 12 15,005 12.8 38,214 32.5
---- --------- ---- --------- ----
17 16,249 13.8 49,933 42.5
09/06/05 CME SWISS FRANC U.S. 3 21 0.0 3,480 5.7 61,472
NON U.S. 5 22,148 36.0 14,624 23.8
---- --------- ---- --------- ----
8 22,169 36.1 18,104 29.5
09/06/05 CME MEXICAN PESO U.S. 4 8,384 11.1 3,005 4.0 75,752
NON U.S. 10 7,674 10.1 31,881 42.1
---- --------- ---- --------- ----
14 16,058 21.2 34,886 46.1
09/06/05 CME BRITISH POUND STERLING U.S. 5 515 0.6 4,438 5.5 80,522
NON U.S. 7 18,505 23.0 24,738 30.7
---- --------- ---- --------- ----
12 19,020 23.6 29,176 36.2
09/06/05 CME JAPANESE YEN U.S. 6 9,590 5.4 1,084 0.6 175,986
NON U.S. 15 52,063 29.6 20,917 11.9
---- --------- ---- --------- ----
21 61,653 35.0 22,001 12.5
09/06/05 CME EURO FX U.S. 5 7,913 4.9 13,243 8.2 161,018
NON U.S. 17 29,394 18.3 12,449 7.7
---- --------- ---- --------- ----
22 37,307 23.2 25,692 16.0
09/06/05 NYME UNLEADED GASOLINE, N.Y. HARBOR U.S. 2 5,619 4.0 585 0.4 139,725
NON U.S. 7 7,237 5.2 2,376 1.7
---- --------- ---- --------- ----
9 12,856 9.2 2,961 2.1
09/06/05 NYBT NEW ZEALAND DOLLAR U.S. 2 184 6.4 374 13.0 2,883
NON U.S. 5 293 10.2 771 26.7
---- --------- ---- --------- ----
7 477 16.5 1,145 39.7
09/06/05 CBT DOW JONES INDUSTRIAL AVERAGE U.S. 4 4,385 12.9 0 0.0 33,980
NON U.S. 8 3,691 10.9 5,618 16.5
---- --------- ---- --------- ----
12 8,076 23.8 5,618 16.5
09/06/05 CBT DOW JONES INDUSTRIAL AVG- x $5 U.S. 1 55 0.1 0 0.0 71,863
NON U.S. 6 23,702 33.0 1,156 1.6
---- --------- ---- --------- ----
7 23,757 33.1 1,156 1.6
09/06/05 CME 3-MONTH EURODOLLARS U.S. 12 701,408 8.5 603,256 7.3 8,296,784
NON U.S. 68 1,384,931 16.7 1,185,215 14.3
---- --------- ---- --------- ----
80 2,086,339 25.1 1,788,471 21.6
09/06/05 CME S&P 500 STOCK INDEX U.S. 5 22,967 3.3 3,361 0.5 687,444
NON U.S. 16 8,595 1.3 127,334 18.5
---- --------- ---- --------- ----
21 31,562 4.6 130,695 19.0
09/06/05 CME E-MINI S&P 500 STOCK INDEX U.S. 6 58,366 4.9 24,839 2.1 1,201,748
NON U.S. 25 40,504 3.4 57,938 4.8
---- --------- ---- --------- ----
31 98,870 8.2 82,777 6.9
09/06/05 NYBT BRIT POUND/SWISS FRANC XRATE U.S. 1 0 0.0 921 21.1 4,361
NON U.S. 4 639 14.7 2,425 55.6
---- --------- ---- --------- ----
5 639 14.7 3,346 76.7
09/06/05 CME NASDAQ-100 STOCK INDEX U.S. 4 1,524 2.6 3,700 6.3 58,349
NON U.S. 12 3,285 5.6 1,737 3.0
---- --------- ---- --------- ----
16 4,809 8.2 5,437 9.3
09/06/05 CME NASDAQ-100 STOCK INDEX (MINI) U.S. 5 5,593 1.7 4,592 1.4 334,813
NON U.S. 24 61,565 18.4 1,504 0.4
---- --------- ---- --------- ----
29 67,158 20.1 6,096 1.8
09/06/05 CME AUSTRALIAN DOLLAR U.S. 4 2,544 3.9 5,373 8.2 65,292
NON U.S. 9 8,677 13.3 15,277 23.4
---- --------- ---- --------- ----
13 11,221 17.2 20,650 31.6
09/06/05 CME RUSSEL 2000 STOCK INDEX FUTURE U.S. 4 381 1.0 1,221 3.2 38,141
NON U.S. 4 742 1.9 468 1.2
---- --------- ---- --------- ----
8 1,123 2.9 1,689 4.4
09/06/05 CME RUSSEL 2000 STOCK INDEX (MINI) U.S. 2 0 0.0 1,549 0.6 240,805
NON U.S. 8 3,634 1.5 2,213 0.9
---- --------- ---- --------- ----
10 3,634 1.5 3,762 1.6
09/06/05 CME NIKKEI STOCK AVERAGE U.S. 2 1,716 2.6 8 0.0 65,798
NON U.S. 13 4,497 6.8 5,684 8.6
---- --------- ---- --------- ----
15 6,213 9.4 5,692 8.7
09/06/05 CME NIKKEI STOCK AVERAGE YEN DENOM U.S. 2 1,305 3.3 653 1.7 39,046
NON U.S. 5 729 1.9 142 0.4
---- --------- ---- --------- ----
7 2,034 5.2 795 2.0
09/06/05 CBT INTEREST RATE SWAPS 10YR - 3MO U.S. 4 8,191 20.3 7,758 19.2 40,441
NON U.S. 7 1,730 4.3 3,777 9.3
---- --------- ---- --------- ----
11 9,921 24.5 11,535 28.5
09/06/05 CBT INTEREST RATE SWAPS 5YR - 3MO U.S. 5 10,504 74.0 3,210 22.6 14,192
NON U.S. 3 600 4.2 250 1.8
---- --------- ---- --------- ----
8 11,104 78.2 3,460 24.4
09/06/05 NYBT EURO FX/JAPANESE YEN XRATE U.S. 2 0 0.0 4,224 32.0 13,197
NON U.S. 7 833 6.3 3,090 23.4
---- --------- ---- --------- ----
9 833 6.3 7,314 55.4
09/06/05 NYBT AUSSIE DOLLAR/JPN YEN XRATE U.S. 2 0 0.0 2,349 25.1 9,342
NON U.S. 4 878 9.4 6,221 66.6
---- --------- ---- --------- ----
6 878 9.4 8,570 91.7
09/06/05 NYBT EURO FX/SWEDISH KRONA XRATE U.S. 1 656 6.0 256 2.4 10,887
NON U.S. 4 14 0.1 1,527 14.0
---- --------- ---- --------- ----
5 670 6.2 1,783 16.4
09/06/05 NYBT SWISS FRANC/JAPANESE YEN XRATE U.S. 1 635 11.3 0 0.0 5,605
NON U.S. 5 2,522 45.0 2,017 36.0
---- --------- ---- --------- ----
6 3,157 56.3 2,017 36.0
09/06/05 NYBT EURO FX/SWISS FRANC XRATE U.S. 1 2,453 12.6 1,593 8.2 19,532
NON U.S. 4 0 0.0 7,263 37.2
---- --------- ---- --------- ----
5 2,453 12.6 8,856 45.3
09/06/05 CME 3-MO. EUROYEN TIBOR U.S. 2 1,624 4.1 250 0.6 39,484
NON U.S. 20 9,930 25.1 22,006 55.7
---- --------- ---- --------- ----
22 11,554 29.3 22,256 56.4
09/06/05 NYBT EURO FX/BRITISH POUND XRATE NON U.S. 6 3,266 30.8 48 0.5 10,604
09/06/05 NYME HEAT OIL CRACK SPRD CAL SWAP U.S. 3 660 6.5 255 2.5 10,168
NON U.S. 2 2,525 24.8 150 1.5
---- --------- ---- --------- ----
5 3,185 31.3 405 4.0