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Commodity Futures Trading Commission
Commission Actions in Response to the “Comprehensive Review
of the Commitments of Traders Reporting Program” (June 21, 2006)
December 5, 2006

委员会就“交易商递交交易报告程序的综合评述”的回应(2006年6月 21日)
2006年12月 5日

I. Introduction
I. 介绍

The Commitments of Traders (“COT”) reports are weekly reports, published by the Commodity Futures Trading Commission (“CFTC” or “Commission”), showing aggregate trader positions in certain futures and options markets. Over time, both the trading activity that is the subject of the COT reports, and the reports themselves, have continued to change and evolve. As part of its ongoing efforts both to maintain an information system that reflects changing market conditions, and to provide the public with useful information regarding futures and options markets, the Commission, on June 21, 2006, published a document entitled, “Comprehensive Review of the Commitments of Traders Reporting Program.” The document (hereafter referred to as the “request for comments”) was intended to: (1) provide useful background information regarding the COT reports; (2) lay out various issues and questions regarding the COT reports; and (3)solicit public comment regarding the reports, including suggestions as to possible changes in the COT reporting system.

交易商持仓(“COT”)报告是周报表,由美国商品期货交易委员会(“CFTC” or “委员会”)公布,显示某些期货和期权市场的交易商持仓。随着时间的推移,提交的交易商报告,所显示的双方交易活动主题,和报告本身,不断变化和发展。作为其正在进行努力的一部分,既要保持信息系统,又要反映市场的不断变化,并向公众提供关于期货和期权市场的有用信息,美国商品期货交易委员会,在2006年6月21日,发表了一份题为“交易商递交交易报告程序的综合评述。”1文件(以下简称“征求意见稿”)的目的是:(1)就COT报告提供有用的背景资料; (2)就COT报告展示的各种观点和问题;和(3)就报告征求公众意见,包括就COT报告系统有可能需改变的建议。

This document will: (1) briefly summarize the issues discussed in the request for comments; (2)describe the commenters and review the comments received in response to the request for comments; and (3) describe the actions the Commission will take in addressing the issues raised in the request for comments. In a nutshell, the Commission’s response to the comments, and its review of COT issues, will consist of the following actions:


1. The Commission will continue to provide the COT reports it currently publishes, 2 covering over 90 U.S. commodity markets, with no changes in the form, format, or timing;
1. 美国商品期货交易委员会将继续提供目前公布的COT报告,2 覆盖超过90的美国商品市场,在形式上版本上及时间上,没有变化。

2. On January 5, 2007, the Commission will begin publishing an additional COT weekly report entitled “COT - Supplemental;”

2. 从2007年1月5日,美国商品期货交易委员会将开始公布一份额外的周COT报告,命名为“补充的COT报告”

3. The new report will show aggregate futures and option positions of Noncommercial, Commercial, and Index Traders in 12 selected agricultural commodities; 3 and

3. 这份新报告将显示非商业性的,商业的和12个选定的农产品指数交易商的期货和期权的汇总头寸,3和

4. The new report will be published on a two-year, pilot program basis.
4. 新的报告将发表两年周期的试点的程序基础上。


1 171 FR 35627 (June 21, 2006).
1 指文件171 FR 35627 (June 21, 2006).

2 The Commission currently publishes four weekly COT reports: Futures-Only Commitments of Traders (both long form and short form); and Futures-and-Options-Combined Commitments of Traders (both long form and short form).
2 美国商品期货交易委员会,目前出版的4周持仓报告:仅仅是期货交易商提交的持仓报告(包括长格式和短格式); 期货和期权交易商提交的综合持仓报告(包括长格式和短格式)。

3 In order to put the data in the new COT—Supplemental report in context, the Commission will publish, contemporaneously with the new report, comparable weekly data for 2006 for the 12 markets covered by the report. During the pilot program period, the Commission will review whether, and if so how, to improve the report.
3 为了使数据能植入新的COT附加报告的上下文中,”美国商品期货交易委员会”将会发布,同时地用新的报告,类似2006年涵盖12个市场报告的周数据。在试点期间,”美国商品期货交易委员会”将检讨是否,如果是的话,将改进报告。

II. Issues Discussed in the Request for Comments
II. “征求意见稿”的观点讨论

The request for comments described the history and evolution of the COT reports. Over time, for some commodities the nature of the positions carried in the COT reports has changed significantly. Prior to 1991, both the long and the short side of the commercial open interest listed in the COT reports represented traditional hedgers (producers, processors, manufacturers or merchants handling the commodity or its products or byproducts). Since that time, trading practices have evolved to such an extent that, today, a significant proportion of the long-side open interest in a number of major physical commodity futures contracts is held by so-called non-traditional hedgers (e.g., swap dealers), while the traditional hedgers may be either net long or net short (more often, the latter). This has raised questions as to whether the COT report can reliably be used to assess overall futures activity by persons who are directly involved in the underlying physical commodity markets.
要征求的意见描述COT报告的历史和演变。随着时间的推移,某些商品在COT报告中,所持有的仓位的性质已经显著改变。1991年以前,无论是商业持仓的,做多的多仓和做空的空仓,代表传统的套期保值者,都要在COT报告中列出来,(生产者,加工者,制造商或中间商或其产品或副产品)。自那时起,交易行为已经发展到这样的程度,直至今天,一些很大比例的实物商品期货做多未平仓合约, 被所谓的非传统的套期保值者持有(例如,掉期交易商),而传统的套期保值者可能即是净多仓持有者,也可能是净空仓持有者(更多的时候是后者)。这就提出了问题,涉及相关实物商品市场的人,他是否能够可靠地用COT报告作为对期货交易活动的总体评估。

In view of the changes in markets and trading patterns described in the request for comments, the Commission sought public comment concerning whether it should adopt any changes to the way data are presented in the COT reports. In an effort to solicit the widest possible range of comments, the Commission also asked whether it should stop publishing the COT reports altogether “if it is determined that either: (1) there are data anomalies in the reports for which no satisfactory solution can be found; or (2) the data in the reports provide no public benefit.” The request for comments included a list of 11 specific questions designed to elicit information helpful to the Commission in assessing possible changes to the COT reporting system. The questions are reproduced in the next section of this document, along with a summary of the comments received in response to each question.
鉴于在“征求意见稿”中描述的市场和交易模式的改变,“美国商品期货交易委员会” 征求公众意见,是否应接纳当前的COT报告中数据的变化。尽可能地在广泛范围内努力征求意见,“美国商品期货交易委员会”还要求是否应当停止发布的COT报告一起的 “假如测定的是如下任一情况:(1)在报告中数据异常,不能找到满意的解决方案; 或(2)在报告中的数据,没有显示公众的利益。”

III. The Comments Received
III. 收到的意见

A. The Commenters
A.  所有建议者

The Commission received a total of 4,659 comments in response to the request for comments, by far the largest number of comments received in response to any such request ever issued in the agency’s 31-year history (the previous record was 1,062 comments). In addition to comments from U.S. residents, the Commission received comments from citizens of Australia, Cambodia, Canada, France, Germany, Hungary, India, Indonesia, Ireland, Italy, Japan, Netherlands, New Zealand, Russia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand and the United Kingdom.
“美国商品期货交易委员会”共收到4,659份“征求意见稿”的回应意见,目前为止所收到的有史以来, 该机构31年历史上发出的此类请求的,回应数量最多的意见(此前的纪录是1,062份意见)。除了美国居民的意见, 该委员会还收到其它国家公民的意见,如澳大利亚,柬埔寨,加拿大,法国,德国,匈牙利,印度,印度尼西亚,爱尔兰,意大利,日本,荷兰,新西兰,俄罗斯,新加坡,南非,西班牙,瑞典,瑞士,台湾,泰国和英国。

The vast majority of the comments were from individuals. Some of these commenters provided no indication of their background, status or affiliation. Many, however, included a reference to trading or advisory activity for which they depend on the COT reports. Several academics also commented, including mostly professors of finance or economics.
提供建议的绝大多数是个人。有些建议者没有说明他们的背景,地位或从属关系。然而,很多人,包括依赖COT报告作为参考, 进行交易活动或咨询活动的人。一些学者也提供了建议,主要包括的是金融学或经济学的教授。


4 The discussion in this section is a brief summary. For more details, see the request for comments, 71 FR 35627(June 21, 2006).

4 在本节讨论是一个简要的总结。欲了解更多详细信息,请参阅征求意见的文件,71 FR 35627(June 21, 2006).

Comments were also received from officers or employees of various firms and organizations. In some cases, the comments were clearly filed on behalf of the firm or organization, but often it was impossible to determine whether these commenters were expressing their individual views or speaking on behalf of their firm or organization. Also, while some comments did describe the firms’ business activities, most of these commenters did not provide any description of their firm’s business beyond its name. Nevertheless, judging by those firm names and the commenters’ titles, it is clear that these firms are generally involved in managing investments for, or providing investment advice to, their clients. Also, a number of comments were received from publications or services that rely on COT data in providing information or analysis to their subscribers or clients.
从不同的企业和组织的官员和员工收到建议。在某些情况下,填写该意见的是由代表机构或组织利益的,但这往往不可能推定,这些建议者表达的是否是个人或发言人建议,还是代表机构或组织利益的。此外,虽然一些建议者确实描述了企业的经营活动,但大部分评论者都跳过公司名称,且没有提供他们公司的业务说明。不过,从这些公司的名字和建议者的职位来看,很显然这些公司, 通常涉及的业务是为他们的客户, 提供投资管理或提供投资建议。此外,收到的若干出版物或服务的意见, 即他们是依靠COT数据,来向他们的订户或客户提供信息和分析的服务的。

The Commission also received comments from a number of organizations, including three designated contract markets, the Chicago Board of Trade (“CBOT”), the Minneapolis Grain Exchange (“MGEX”) and the New York Mercantile Exchange (“NYMEX”). 5 The International Swaps and Derivatives Association (“ISDA”) also commented. The Commission received comments from one grain elevator (Holyoke Cooperative Association) and one large grain merchandising firm (Bunge North America, Inc.). In addition, the Commission received comments from a large number of agricultural organizations, including: the American Cotton Shippers Association, the Illinois Farm Bureau, the Missouri Farm Bureau Federation, the National Grain Trade Council (“NGTC”), the National Grain and Feed Association (“NGFA”), 6 the North American Export Grain Association, and – filing a single joint letter – American Soybean Association, National Association of Wheat Growers, National Barley Growers Association, National Corn Growers Association, National Cotton Council, National Farmers Union, National Sorghum Producers, US Canola Association, USA Rice Federation, and US Rice Producers Association (“USRPA”). Finally, the Commission entered into the comment file a transcript of the morning session of the August 1, 2006 meeting of the Commission’s Agricultural Advisory Committee (“AAC”). That portion of the meeting included an explanation of the COT request for comments by CFTC staff members, a panel discussion of COT issues among representatives of CBOT, NGFA, NGTC, ISDA and USRPA, and questions and comments concerning COT issues by AAC members.

“美国商品期货交易委员会”也从一些组织收到建议,包括三个指定合约市场, 芝加哥期货交易所(“CBOT”), 明尼阿波利斯谷物交易所(“MGEX”)和纽约商业期货交易所(“NYMEX”)。 5国际掉期及衍生工具协会(“ISDA”)也提供了意见。“美国商品期货交易委员会”也收到来自一个谷仓的建议(Holyoke合作协会)。一大型商品粮食企业((Bunge北美公司)。此外,“美国商品期货交易委员会” 从大量的农业组织收到意见,其中包括:美国棉商协会,伊利诺伊州农业局,密苏里州联邦农业局,国家粮食贸易委员会(“NGTC”), 国家粮食和饲料协会(“NGFA”), 6 北美谷物出口协会和, 美国大豆协会,小麦种植者协会,美国国家大麦种植者协会,全国玉米种植者协会,美国国家棉花总会,全国农民联盟,国家高粱生产商,美国油菜籽协会,美国水稻联合会和美国稻米生产者协会(“USRPA”), 共同提交了单一的联名信。最后,“美国商品期货交易委员会”携带意见征求稿纪录进入“农业咨询委员会”(“AAC”)在2006年8月1日上午午会议。会议的部分包括美国商品期货交易委员会工作人员对COT“意见征求稿”的解释, 就COT问题在CBOT, NGFA, NGTC, ISDA 和USRPA之间的代表进行小组讨论,AAC成员就COT被通过涉及的问题和意见。

B. Summary of the Comments Received
B. 收到意见稿的总结

The majority of the comments concentrated only on the issues raised in questions 4 and 5 of the request for comments:

4. Should the Commission continue to publish the COT reports? [and]
4. “美国商品期货交易委员会”要不要继续公布COT报告? [和]

5. If the Commission continues to publish the COT reports, should the reports be revised to include additional categories of data—for example, non-traditional commercial positions, such as those held by swap dealers?
5. 如果“美国商品期货交易委员会”要继续公布COT报告,如果报告进行修订,以包括其他类别的数据 - 例如,非传统的商业仓位,如被掉期交易商持有的仓?

5 Comments were also received from individual members of both the CBOT and the New York Board of Trade.
5 也同时从芝加哥期货交易所和纽约期货交易所的个别成员收到建议。

6 NGFA members, Bartlett Grain and Lortscher Agri Service, Inc., also filed brief comments in support of the NGFA’s position.
6 NGFA成员,Bartlett粮食和Lortscher农业服务公司,也提交简短的建议来支持NGFA的立场。

In response to question 4, the commenters were virtually unanimous7 in strongly recommending that the Commission continue to publish the COT reports. Many of the comments responded only to the issue raised in question 4. Some simply urged the Commission to maintain the status quo (e.g., “please, please do not discontinue this very valuable report,” “please keep the COT,” “save the COT,” “leave it alone you knuckleheads”). Others recommended that the Commission continue publishing the COT reports, but “increase transparency.” Suggestions for increasing the transparency of the COT reports included: revising the COT reporting schedule to publish the (currently weekly) reports twice weekly, daily, hourly, or even in real time; providing spread data for commercial traders; breaking down concentration ratios to show whether the holders are commercials or noncommercials; identifying position holders by name; 8 or publishing data for markets with fewer reportable traders.9
在回答问题4, 建议者都几乎强烈一致地推荐“美国商品期货交易委员会”继续公布COT报告。7 许多建议只回答第4问题所提出的观点。有的干脆敦促“美国商品期货交易委员会”维持现状 (例如,“请,请不要中止这个非常有价值的报告”,“请保持COT”,“拯救COT”,“不要管它,傻瓜”)。 其他人建议委员会继续公布COT报告,但要“增加透明度”。建议增加的COT报告的透明度包括:修改COT报告公布时间为(目前每周一次)每周两次,每天,每小时,甚至实时的公布; 为商业交易提供扩展数据; 打破集中度来显示持有人是否是商业的或非商业的; 确定仓位持有人的姓名; 8 或用更少的交易商的报告来发布市场数据。9

In addition to recommending that the Commission continue publishing the COT reports, the majority of the commenters, with one notable exception (ISDA), also responded positively to question 5, suggesting that the reports be revised to include additional data categories. Representative comments included: “include a new category for non-traditional commercials;” “[differentiate] fund or other investment activity from traditional ‘commercial’ activity;” “create a separate reporting category … [for] non-traditional traders like funds and swaps;” “[separate] index funds … from the trading activity of traditional ‘commercial’ accounts;” “identify a category of … non-traditional hedge activity, such as financial hedges;” and “please also correct the hedger data … and reserve the hedger category for traditional hedgers.” Many of these commenters also recommended that, if the Commission does implement changes in the COT reports, it should do so “in such a way as to maintain the continuity of historical data [because] absent historical reference, the report becomes nearly unintelligible.”
除了建议委员会继续公布COT报告,大多数建议者,也积极回应了问题5,这表明报告进行修订,可以包括更多的数据类型,(ISDA)有一个显着的例外。具有代表性的意见包括:“包括一个新的非传统商业的类别;” “从传统的‘商业’活动来[鉴别区分]基金或其他投资活动;”“产生出一个单独的报告类型...[供]非传统交易商如基金交易商和掉期交易商作参考;” “[独立]指数基金......从传统的‘商业’账户的交易活动;” “识别一种类型...非传统的对冲活动,如金融对冲,”和“也请纠正套期保值者数据...并保留套期保值者范畴为传统的套期保值者一类。”许多建议者还建议,如果委员会不实施COT报告的变革,应该“以这样的方式保持历史数据的连续性,[因为]缺乏历史参考,报告几乎变得无法理解。”

ISDA, in arguing against any changes in the COT reporting system, stated:
Some commenters, particularly “traditional” agricultural commercial participants, have associated index investor participation in the commodities markets with increased speculation and volatility. … [However] … Index investments are passive and predictable, and should not by themselves increase market volatility. This predictability does, however, provide other market participants that anticipate the recurring rolling of index positions with trading opportunities. To the extent that these market participants are provided with more direct and specific information about the position of the passive index providers, they are more likely to engage in speculative trading that increases volatility. Thus, ironically, the more disclosure that is required of “non-traditional” commercial participants the more likely it is that volatility will increase. … [Therefore] ISDA believes that current public policy is best served by continuing the COT reports in their current form … [and] strongly recommends against the creation of a new non- traditional commercial category. If the Commission decides otherwise, we recommend that any additional reporting be in a no more than two-year pilot program … with a limited number of commodities.

有一些建议者,特别是“传统”农产品的商业参与者,已联合了参与增加投机和波动性的指数投资者... [但是] ... 指数投资是被动的和可预测的,并不可能会自行增加市场的波动性。这确实不可预测,但是,即指数持仓的重复波动为其他市场参与者提供预期的交易机会。这些市场参与者的程序,被动的指数提供者的仓位,提供了更直接更具体的信息,他们更喜欢从事投机性交易,而增加波动性。因此,具有讽刺意味的是 ,
更多的信息披露更需要 “非传统的”商业参与者,他们更喜欢波动性增加... [因此] ISDA相信,目前的公共政策是最好的,继续目前COT报告形式的服务...[和]强烈反对建立一个新的非传统的商业类别。如果委员会另有决定,我们建议,任何额外的报告应不超过两年的试验计划......且在有限的商品数量范围内。


7 None of the commenters suggested that the Commission should discontinue publishing the COT reports. However, in some cases, the commenter’s intent regarding the reports had to be inferred (e.g., it was assumed that the comment reading, in its entirety, “Don’t you dare,” was intended to mean “Don’t you dare stop publishing the COT reports”).
7 没有一个建议者认为,委员会应停止发布COT报告。然而,在某些情况下,关于报告的建议者的意图不得不推断(例如,假定该建议稿被全部阅读,“你敢不敢”,是指“难道你敢停止发布COT报告”)。

8 Separately disclosing the market position of any person would be in direct violation of Section 8(b) of the Commodity Exchange Act.
8 单独披露任何人的市场仓位,将会直接违反商品交易法8(b)条款。

9 Currently, in order to help maintain the confidentiality of position information, COT numbers are only reported for markets in which 20 or more traders have positions at or above Commission reporting levels.
9 目前,为了帮助保持仓位信息的机密性,COT报告持仓数量,委员会在这个或这个以上的水平,只报道了市场中的20个或稍多的交易者所持有的仓位。

A much smaller proportion of the commenters responded to some or all of the other nine questions in the request for comments. The remaining questions, and representative examples of the commenters’ responses, appear below.

1. What types of traders in the futures and option markets use the COT reports in their current form, and how are they using the COT data? More specifically:
1. 在期货和期权市场,什么类型的交易者在使用现有形式的COT报告,以及它们是如何使用COT数据的?更具体地讲:

(a) How do traders use the COT information on commercial positions?
(a) 交易商如何使用COT商业头寸的持仓信息?

(b) How do they use the COT information on noncommercial positions?

(c) In particular, with respect to information on noncommercial positions, what information or insights do traders gain from the COT reports regarding the possible impact of futures trading on the underlying cash market?
(c) 特别是,对于有关非商业头寸信息,交易商从COT报告得到什么样的信息或见解,及可能对基本现金市场的期货交易造成影响?

The NGFA provided the most comprehensive list of traders who use the COT reports: “farm marketing advisors/brokers; commercial hedging advisors/brokers; FCMs, IBs, and CTAs; cash merchandiser/hedgers or similar decision makers, including end-users, exporters, processors, merchants; [and] OTC dealers or other trading desks.” Other commenters cited one or more of the types of entities subsumed in the NGFA list. In addition to such commercial and professional users, as noted above, a great many individual traders commented that they depend on the COT reports in conducting their personal trading.
NGFA提供了最全面的使用COT报告的交易商清单:“农场营销顾问/经纪人; 商业套期保值顾问/经纪人; 期货经纪商,经纪商,商品交易顾问; 现金采购员/现金对冲保值者或类似的决策者,包括终端用户,出口商,加工商,商人; [和] 场外交易的交易商或其他交易席位。” 其他建议者引用NGFA列表的一种或多种形式的实体类型。除了这些商业和专业用户,如上面提到的,许多个人投资者表示,他们依赖于COT报告进行个人交易的。

With respect to the questions regarding how traders use the COT data, many responses were rather general (e.g., “COT reports appear to be widely used … in analyzing price trends and making trading decisions,” “information on noncommercial positions … [is] widely used as an indicator of trend trading and other speculative fund activity,” “these reports allow me as an individual trader … [to] make judgments based upon overall long and short positions as to the general market direction,” “We use it as a key trading input.”).
对于有关交易者如何利用COT数据的问题,许多反映都是相当普遍的(例如,“COT报告显示被广泛应用...在分析价格趋势和作出买卖决定时,”“非商业的头寸信息...[是]被广泛用作趋势交易和其他投机基金活动的指标,” “这些报告让我作为一个个体交易者...[给]基于整体多头和空头头寸,决定普遍的市场方向时,能作出公平的判断,”
However, several commenters described specific trading strategies based on the COT data (e.g.,“In uptrends, the extent that large noncommercial traders are willing to bid forward futures prices to a premium over normal carrying charges gives me an indication of the potential strength and longevity of bullish conditions.”). Also, Tom Coyle, of the NGFA, speaking at the August 1, 2006, meeting of the Agricultural Advisory Committee,10 cited the example of a farmer trying to decide whether to lock in a price for a part of his crop through a futures hedge. He noted that the farmer is “trying to gauge whether or not there is real consumer demand.” In the past, the farmer could look at the COT report, which shows the positions of “commercials,” and the farmer could rely on the fact that an increase in the long futures positions held by the commercials reflected their sales of the cash commodity, and the farmer could conclude that there would be good demand for the cash grain. Based on that evidence of strong consumer demand, and anticipating a bullish market, the farmer could postpone establishing his short hedge. Today, however, the farmer cannot rely on the COT report to accurately reflect consumer demand because increases in long open interest shown in the COT report may be based on the positions of “non-traditional commercials,” rather than consumer demand. Thus, when the farmer finally does establish a hedge later in the crop year, he finds that demand has not, in fact, grown as the COT report seemed to be telling him, and he is forced to establish his hedge with a less favorable basis than was available earlier in the year. Thus, according to Mr. Coyle, relying on the COT report in today’s environment could cause the farmer to lose money.
然而,一些建议者描述基于COT数据来制定特别的交易策略(例如,“在上升趋势中,在某种程度上,大型非商业交易商愿意出价的期货价格,远远超过正常的保管费价格,这给我们了一种有潜力和长期牛市看涨的显示。”)。此外,NGFA的Tom Coyle,在农业咨询委员会2006年8月1日的会议上发言,10 举了一个例子,一个农场主试图通过期货套期保值,来决定要不要锁定他的一部分农作物价格。他指出,农场主正在“试图衡量是否有真正的消费需求。”在过去,农民可以看COT报告,该报告显示的头寸是“商业的”,而农民可以依靠事实,长期期货头寸的增加,被商业持有即反映了他们所销售的商品价格,农场主可以得出这样的结论将是粮食现价需求良好。基于强劲的消费需求证据,并能预期看涨的市场,农场主可以推迟建立自己的空头套期保值仓位。然而,今天,农民不能依靠COT报告,来准确反映消费需求的增加,因为COT报告显示的未平长仓增加,可能是基于“非传统的商业仓位,”而不是消费者的需求。因此,当农场主最后建立了一个作物年度的对冲套期保值仓位,他发现,是没有需求的,其实,新的COT报告似乎在告诉他,他在一个不太有利的基础,被迫建立自己的对冲保值仓位,而这个仓位应在今年早些时候建立。因此,根据Coyle先生的解释,依靠今天环境中的COT报告,可能会导致农场主赔钱。


10 See: Meeting of the CFTC Agricultural Advisory Committee, August 1, 2006, Transcript pp. 85-88.

10 请参阅: CFTC农业咨询委员会,在2006年8月1日的会议,副本85-88页。

In summary, a wide variety of both commercial/professional traders and individual traders/speculators depend on the COT reports for a wide variety of uses in planning and conducting their trading activities.


The Commission believes that a new “COT - Supplemental” report, which separately reports “Index Trading,” will better represent its original intent in publishing the COT data with respect to the Commercial and Noncommercial categories, namely, that they show the positions of traders engaged in hedging cash market activities (Commercials) and traders who are speculating (Noncommercials). Traders in the new category of Index Traders will mostly be those that are seeking a more general exposure to commodity prices, typically in a long-only, unleveraged, and passively-managed manner using a standardized commodity index. Traders in the first two categories may be very responsive to price movements and changing market dynamics. Traders in the third category are generally much less responsive to price movements and market fundamentals.
“美国商品期货交易委员会”相信,新的“COT - 补充”报告,相对于商业和非商业的类别,其中单独报告“指数交易”,将更好地代表它发布COT数据的原意,即,他们显示从事对冲现货市场活动(商业的)交易商的仓位,和那些进行投机的(非商业的)交易商的仓位。在新的指数交易商范畴的交易商,大部分的他们在寻求一个更广泛的公开的商品价格,典型的非杠杆的和被动管理方式的长仓而已,使用一个标准化商品指数的长仓而已。在前两类交易者范畴里, 可能会对价格走势和不断变化的市场动态,非常敏感。第三类交易者,一般对价格走势和市场基本面,并不那么热衷。

Commission staff spent considerable effort to achieve its purpose of creating an accurate “Index Traders” category. The data in the CFTC large-trader reporting system, which was designed to separate reportable traders only into two broad categories of Commercial and Noncommercial traders, needed to be modified to create, as accurately as possible, a third category of “Index Traders.” To accomplish this, the Commission’s Market Surveillance economists have: (1)analyzed the futures positions of hundreds of reportable traders in physical commodity futures to determine patterns consistent with index trading; (2) reviewed information from traders’ CFTC Forms 40, in which a trader broadly describes his/her uses of futures markets; and (3) conducted over 30 confidential interviews with traders that were known to be, or appeared to be, involved in index trading. Commission staff, having weighed all the available information, has used its best judgment to designate certain traders as Index Traders.13 Some traders assigned to this category are engaged in other futures activity that could not be disaggregated.14 As a result, the Index Traders category, which is typically made up of traders with long-only futures positions, will include some short futures positions where traders have multi-dimensional trading activities, the preponderance of which is index trading.
委员会工作人员花了相当大的努力,以实现它的目的,建立一个准确的“指数交易商”范畴。在CFTC大型交易商报告系统的数据中,就是设计分离值得报告的交易商,仅仅是商业和非商业的二类广泛范畴中的交易者,需要进行修改,尽可能准确地创建第三类“指数交易商。”要完成这些,委员会的市场监管经济学家,已经:(1)分析了数以百计的值得报告的指数交易商的实物商品期货,以确定模式与指数交易一致;(2)从CFTC表格40的审核信息,一位交易商大致描述了他的/她的利用期货市场; 和(3)进行了超过30秘密地采访了被称为是的,或看来是参与指数的交易商。委员会工作人员,已权衡了所有可用的信息,利用其最佳判断来指定某些交易商作为指数交易商,13从事其它期货活动的一些交易商,即能够被细分的交易商,被分配到这个范畴。14因此,指数交易商的类别,通常是由做多持长仓的期货头寸交易者,其中包括一些期货短仓做空头寸仓位,即交易员具有多维的交易活动,是具有优势的指数交易。

The new supplemental report will be restricted to selected commodity futures markets that are included in commodity indices. The Commission believes that these are the markets where the advent of commodity index trading has raised questions as to whether the current classification of traders into noncommercials and commercials has become inadequate and misleading. No such concern has been expressed about financial futures markets or the many commodity futures markets that are not included in commodity indices.


13 These designations have operationally been made by internally assigning an Index Trader code to these traders within the Commission’s large-trader reporting system. This assignment as an Index Trader did not change a trader’s original classification as either a Commercial or Noncommercial trader.

13这些名称与符号在委员会的大 交易商报告系统内,在操作上,已经由内部分配一个指数交易商代码给交易商。无论是作为商业或非商业性交易商,作为指数交易商对这种分配,不能改变原来交易商的最初分类。

14 This issue is not unique to the Index Trader category. For example, the Commercial category includes traders who are engaged in business activities hedged by use of futures or options markets. However, these traders may also use futures markets for other reasons, including for speculation.

14 这个问题不是唯一的指数交易商的范畴。例如,商业类包括的交易商,即从事利用期货或期权市场对冲保值业务交易的交易商。然而,这些交易者也可能由于其他原因,利用期货市场,包括投机。

At this time, the new report will be limited to agricultural futures markets and, therefore, it will not include energy and metals futures markets. This determination is based on an evaluation of the large-trader data available to the Commission, and in particular on an assessment of the accuracy with which this data can be parsed out, for firms engaged in commodity index trading, between such index trading and other unrelated trading activity. For reasons that are described in more detail below, this issue does not present a significant problem for classification of positions in agricultural futures markets, but presents a substantial obstacle to accurate reporting of commodity index trading in energy and metals futures markets.

The two sources of the difference between agricultural futures markets on the one hand, and energy and metals markets on the other, are the degree to which firms engage in multiple trading activities that fall into different classifications and the degree to which firms engage in internal netting of these activities. This may be illustrated by looking specifically at swap dealers—the most significant component of the new Commodity Index Trading category. A careful review of swap dealer positions shows that, with respect to agricultural commodities, swap dealers’ OTC trading activities are generally limited to taking short OTC positions opposite pension funds or other index-based traders seeking to diversify portfolios by adding long commodities exposure. Thus, the swap dealers’ futures positions are generally limited to long futures hedges offsetting their short OTC exposure to those pension funds or other index-based traders. Therefore, by separating out the swap dealers’ predominantly long futures positions from the Commercial category, the new reports will provide users of the COT reports with a more accurate picture of the use of agricultural futures markets by traders that are engaged in commercial activity in the underlying agricultural cash markets.
一方面的农产品期货市场,另一方面的能源和金属市场,两个来源之间的差异,即企业是在何种程度上从事多个交易活动,该公司并在何种程度上从事内部净结算活动。这可能说明是特别在看掉期交易商 – 在新的商品指数交易范畴的最显著组成部分。仔细回顾掉期交易商持仓显示,相对于农产品类商品,掉期交易商的场外交易活动,一般仅限于持有场外交易的养老基金类的相反的短仓即空仓仓位,或其他指数型投资者正在寻求通过增加长期大宗商品,而使投资组合多样化。因此,从商业类别分离出掉期交易商的期货头寸的主要长仓,提供给用户使用的新的COT报告,会有更准确的图片,给通过使用农业期货市场交易商,即在基础的农产品现货市场里从事商业活动的交易商。

In the case of energy and metals markets, however, there are alternative U.S. and non-U.S. exchanges and a multitude of OTC markets and derivative products. Many swap dealers, in addition to their commodity index-related OTC activity, enter into other OTC derivative transactions in individual commodities, both with commercial firms hedging price risk and with speculators taking on price risk. In addition, some swap dealers are very actively engaged in commercial activity in the underlying cash market, such as a physical merchandising or dealing activity. As a result of these other activities, the overall futures positions held by these energy and metals traders in Commission-regulated markets do not necessarily correspond closely with their hedging of OTC commodity index transactions. Indeed, placing the futures positions of such swap dealers in a commodity index trader category would not accurately reflect commodity index trading activity for energy and metals markets. Such a placement would also remove from the Commercial category activity that is predominantly hedging of physical commercial activity. This issue cannot be solved simply by separately reporting futures positions of swap dealers by commercial activity, because much of the underlying activity at these firms is spread among other exchange-traded and OTC markets and is internally netted, with only the residual amount resulting in positions being taken in the futures market.15 It would be difficult, if not impossible, to link these residual futures positions with any particular part of the underlying activity that makes up the “book” of the swap dealer. The Commission has concluded, therefore, that, at present, including the energy and metal markets in the COT—Supplemental report would seriously mislead the public as to the actual amount of index trading and the amount of commercial trading that was present in those markets.
在整体的期货持仓,被那些能源和金属交易商所持的仓位,委员会监管市场不需要密切对应的场外交易的套期保值商品指数交易。事实上,把掉期交易商期货头寸放在指数商品交易商的类别中,这样的布局也将从商业类的活动删除,即不能准确反映能源与金属市场的商品指数交易活动。这样的布局也将从商业范围活动删除,即主要的实物商业活动的对冲中。这个观点不能简单地解决,单独报告掉期交易商在商业活动中的期货头寸,因为许多这些企业的潜在活动,是分散在其他交易所交易和场外交易市场,并在内部是净赚的,只有影响仓位的残留量被抛进期货市场。15这将是困难的,假如不是不可能,连接这些潜在市场活动的特别部分的残留期货头寸,即拼成掉期交易商的“书”。委员会得出的结论,因此,认为,目前,包括能源和金属市场的COT补充报告, 将会严重误导公众,即目前在这些市场上的,指数交易的实际金额及商业交易的金额。


15 For example, some large swap dealers may assume long OTC positions opposite oil producers or metals refiners who are seeking to hedge anticipated physical production. The long exposure to these traditional hedgers is offset internally against the short exposure to pension funds and other index-based traders and only the swap dealer’s net exposure is hedged in the futures market. As a result, the energy and metals positions of these swap dealers may be evenly balanced or even net short.

15 例如,一些大的掉期交易商,可能假想能长期持有,与石油生产商或金属精炼厂的仓位是相反的场外交易头寸,即那些在寻求对冲保值,来对冲预期的实物生产的掉期交易商。长期公开曝光那些传统对冲套期保值交易者群,在内部就抵销短期养老基金交易者群的公开曝光,和其它指数交易者群的公开曝光,且仅仅是那些公开曝光的掉期交易商净敞口是在期货市场进行对冲保值的。其结果是,这些掉期交易商在能源和金属的持仓可能是均衡的,甚至是净空头。

The Commission understands the strong sentiment that it would be desirable to publish the new report for all futures markets that are part of commodity indices. However, for the reasons previously discussed, the Commission is concerned that publishing this data for energy and metals markets, at this time, would be potentially misleading and would not enhance market transparency. Further, the Commission does not want to delay publication of the new report for markets for which it will enhance market transparency, while it continues to study whether it is feasible to publish meaningful reports for other markets. The Commission, therefore, has decided to proceed with publishing the COT—Supplemental report for the following 12 agricultural commodity futures and options on the following exchanges: corn, soybeans, wheat, and soybean oil on the CBOT; wheat on the KCBOT; cotton no. 2, coffee C, sugar no. 11, and cocoa on the New York Board of Trade; and live cattle, lean hogs, and feeder cattle on the CME. The Commission staff is confident that the new classifications of traders for the COT—Supplemental report for these 12 markets is as accurate as the Commission’s large-trader reporting system allows.
委员会理解强烈情绪,即作为商品指数的一部分,发布所有期货市场的新报告,这是可取的。然而,对于如前所述的原因,委员会关注的是,对能源和金属市场如何发布此数据,在这个时候,将可能产生潜在的误导,也不会提高市场透明度。此外,委员会不希望延迟发布新的市场报告,它会增加市场的透明度,同时继续研究,发布的其他市场有意义的报告是否可行。因此,委员会已决定着手为如下交易所的12类农产品期货和期权,出版COT - 补充报告,如:芝加哥期货交易所的玉米,大豆,小麦和豆油; 堪萨斯城期货交易所的小麦; 纽约期货交易所的棉花2号,咖啡C,糖11号,和可可; 芝加哥商业交易所和活牛,瘦肉猪,育肥用牛。委员会工作人员有信心,即COT - 补充报告,新的交易商分类在12个交易市场,将会与委员会大型交易商报告系统所容许的,会同样的精确。

These 12 markets are substantial in terms of the size of index-trading positions and the numbers of index traders. (The next largest agricultural market in terms of the size of index-trading positions and numbers of index traders is far smaller than any of the 12 selected markets.) Further, each of the these 12 markets has had well over 10 index traders at all times over at least the past 12 months, so that releasing this data in aggregate form should not compromise the confidentiality of the positions of any given trader.

The first of these supplemental reports will be published on January 5, 2007, and will include the positions of traders as of January 2, 2007. Contemporaneously with publication of the first new report, the Commission will also publish comparable weekly data for 2006 for the 12 markets covered by the report in order to allow users of the report to view the new data in context. Thereafter, the new COT—Supplemental report will be published on the same weekly schedule as the existing COT reports. The COT—Supplemental report will be patterned after the current COT short-format report and will be published as a futures-and-options-combined report. The futures-and-options combined report is the most comprehensive of the current COT reports; it shows whether options trading has reduced net exposure as a result of spread trading between futures and options or whether it has added to the futures-only exposure. The Commission believes that the COT—Supplemental report will be most useful as an enhancement to the most comprehensive current report.
第一次的COT补充报告,将在2007年1月5日公布,其中将包括2007年1月2日的交易者的持仓。与第一个新的报告同时发布的还包括,委员会也将公布类似的每周数据,覆盖12个市场的2006年的报告,允许报告的订户在上下文中查看新的数据。此后,新的COT - 补充报告,将刊登在现有COT报告的同周的时间表内。COT - 补充报告,将列图于COT短格式报告的图案后,并如期货和期权组合报告那样公布。期货和期权组合报告是目前COT报告中最全面的; 这表明是否期权交易是否已降低净敞口,作为期货和期权之间价差交易的结果,或是否已加到期货的敞口。委员会认为,COT-补充报告,将作为一个目前最有用的最全面的增强报告。

The new COT—Supplemental report will be published on a two-year, pilot program basis. During the course of the pilot program, the Commission will assess the relevance and usefulness of the new data and study whether it is possible and appropriate to expand the COT—Supplemental report to include data for other physical commodity markets.
新COT - 补充报告,在为期两年的试点方案的基础上发布。在试点方案的过程中,委员会将评估相关和新的有用的数据,并且研究是否可能,适当扩大COT - 补充报告,包括其他实物商品市场的数据。

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