知 · 信 · 托


注: 资金管理人不是专业翻译人员,仅是英文爱好者,错误之处敬请谅解!有时故意加多余“的”,是为了强调“分类”!




Disaggregated Commitments of Traders Report


Explanatory Notes


The Commodity Futures Trading Commission (Commission) began publishing a Disaggregated Commitments of Traders (Disaggregated COT) report on September 4, 2009.The first iteration of the report covered 22 major physical commodity markets; on December 4, 2009, the remaining physical commodity markets were included.1


The Disaggregated COT report increases transparency from the legacy COT reports by separating traders into the following four categories of traders: Producer/Merchant/Processor/User; Swap Dealers; Managed Money; and Other Reportables. The legacy COT report separates reportable traders only into “commercial” and “non-commercial” categories.

细分的COT报告增加透明度,从传统的COT报告中,把交易商分离成以下四类交易商: 生产者/商家/加工商/用户; 掉期交易商; 管理基金;和其它交易商报表。传统的COT报告,仅把交易商的报告分离成,“商业的”和“非商业的”类别。

All of the COT reports provide a breakdown of each Tuesday's open interest for markets in which 20 or more traders hold positions equal to or above the reporting levels established by the CFTC. The reports are published in futures-only formats as well as futures-and-options-combined formats. The data are available in both a short format and a long format.2




The Disaggregated COT report is being published side-by-side with the legacy COT formats at least through the end of 2009. The Commission is soliciting comment on the new report and will review whether to continue to publish both side-by-side or to replace the legacy report with the new report.



This initiative for providing market transparency arises from the recommendation to disaggregate the existing “commercial” category in the Commission’s September 2008 Staff Report on Commodity Swap Dealers & Index Traders. 3 Specifically, that report recommended:

细分委员会现存的“商业的” 类别,提供市场透明度的这一举措,建议源自于2008年9月工作人员报告的商品掉期交易商和指数交易商,3 具体而言,该报告建议如下:

Remove Swap Dealer from Commercial Category and Create New Swap Dealer Classification for Reporting Purposes:


In order to provide for increased transparency of the exchange traded futures and options markets, the Commission has instructed the staff to develop a proposal to enhance and improve the CFTC‘s weekly Commitments of Traders Report by including more delineated trader classification categories beyond commercial and non-commercial, which may include at a minimum the addition of a separate category identifying the trading of swap dealers.


1 As a separate endeavor, staff is working to create a new disaggregated COT for all of the financial markets in a form that will improve the transparency of those markets. This may be different than the disaggregation being applied to the physical markets.



2 The short format of the Disaggregated COT shows open interest held by the four categories of reportable traders. The data show, for each specific category of traders, the positions, the changes from the previous report, the percents of open interest, and the numbers of traders. The long format, in addition to the information in the short format, shows the total size of positions held by no reportable traders (derived by subtracting total long and short “Reportable Positions" from the total open interest); the data by crop year, where appropriate; and shows the concentration of positions held by the largest four and eight traders.



长格式中,除了有短格式中的信息,显示没有申报的交易商,所有仓位的规模(从总的未平仓数量,减去的总多头和总空头即“申报的持仓量” 即衍生); 通过作物年度的数据,在适当情况下; 显示了最大四个和八个交易商所持有的集中的仓位。

3 That report is available at





The Disaggregated Commitments of Traders Report细分的交易商持仓报告

The Commission, by regulation, collects confidential daily large-trader data as part of its market surveillance program. The data, which also support the legacy COT report, is separated into the following categories:4


1) “Producer/Merchant/Processor/User,”


2) “Swap Dealers,”


3) “Managed Money,” and


4) “Other Reportables.”


Trader Classification交易商分类

Staff use Form 40 data and, where appropriate, conversations with a trader and other data available to the Commission regarding a trader’s market activities to make a judgment on each trader’s appropriate classification.


Some multi-service or multi-functional organizations have centralized their futures trading. In such cases, their Form 40 may show more than one of the new categories. Division of Market Oversight staff place each reportable trader in the most appropriate category based on their predominant activity. In most cases, the choice of category is clear, but in some cases judgment must be exercised by Commission staff as to what is a trader’s predominant activity.6


Some parent organizations set up separately reportable trading entities to handle their different businesses or locations. In such cases, each of these entities files a separate Form 40 and is analyzed separately for determining that entity’s proper Disaggregated COT classification.

有些母公司组织成立独立报告交易实体,来处理他们不同的业务或定位。在这种情况下,这些交易实体的文件在一个分开的表40, 并分别分析确定交易实体的正确的交易商持仓报告的明细分类。

A trader’s classifications may change over a period of time for a number of reasons. A trader may change the different ways it uses the markets, may trade additional or fewer commodities, and may find that its client base evolves. These changes may lead to changes in classifications and categories and/or changes in the commodities to which a trader’s various classifications apply. Moreover, a trader’s classification may change because the Commission has received additional information about the trader.


4 The four categories in the Disaggregated COT are derived from trader responses on the Form 40 (version of May 2000), including information contained on Schedule 1 of that form. (Available at

http://www.cftc.gov/stellent/groups/public/@forms/documents/file/cftcform40.pdf ).

4 这个交易商持仓报告的四个类别是从交易商对表格40的反应而衍生的(2000年5月的版本),包括的信息,在附表1包含的信息。(可在如下链接中得到

http://www.cftc.gov/stellent/groups/public/@forms/documents/file/cftcform40.pdf ).

5 The Form 40 is required under CFTC Regulation 18.04 to be completed by reportable traders. Failure to file a Form 40, or failure to answer truthfully, is a violation of the Commodity Exchange Act and CFTC regulations, and violators are subject to criminal or administrative sanctions. An updated Form 40 is requested of a trader every 2 years, or more often at the discretion of CFTC staff, if the trader remains reportable. The Form 40 is subject to audits or spot checks as conditions warrant. CFTC staff members are available to large traders and their representatives to answer questions about the proper way to complete a Form 40 and to help interpret it in unusual circumstances.

5 该表格40须根据CFTC的18.04规则,由值得报告的交易商来完成。他们没有递交表格40,或未能如实回答,就是违反了商品交易法和美国商品期货交易委员会的规定。违犯者要受到刑事或行政制裁。在美国商品期货交易委员会的工作人员的自由裁量权下,假如交易商仍然值得报告,一个更新的表40,每2年或更频繁地,要求一个交易者递交。在条件授权允许下,这个表格40会被递交审计或抽查。美国商品期货交易委员会的工作人员,随时会向任何大型贸易商和他们的代表解答,以正确的方式来完成表格40,并在表格异常情况下提供帮助和解释。

6 For example, a trader that has filed for an exemption from Federal position limits on the basis of their corn processing requirements would likely be placed in the producer/merchant/processor/user category, whereas an investment bank that seeks an exemption on the basis of their swaps activity in corn would likely be placed in the swap dealer category.

6 例如,一个交易商,从他们的玉米深加工需求的基础上,从联邦持仓限额申请豁免,将可能被放置在生产者/商家/加工商/用户的类别里,


Content of the Disaggregated Commitments of Traders Report



A “producer/merchant/processor/user” is an entity that predominantly engages in the production, processing, packing or handling of a physical commodity and uses the futures markets to manage or hedge risks associated with those activities.

一个“生产者/商家/加工商/用户” 是一个实体,即主要从事实物商品的生产,加工,包装或处理,和利用期货市场来管理,或对冲风险与这些交易活动相关的对冲风险的,这样的实体。

Swap Dealer掉期交易商

A “swap dealer” is an entity that deals primarily in swaps for a commodity and uses the futures markets to manage or hedge the risk associated with those swaps transactions. The swap dealer’s counterparties may be speculative traders, like hedge funds, or traditional commercial clients that are managing risk arising from their dealings in the physical commodity.


Money Manager管理基金

A “money manager,” for the purpose of this report, is a registered commodity trading advisor (CTA); a registered commodity pool operator (CPO); or an unregistered fund identified by CFTC. 7 These traders are engaged in managing and conducting organized futures trading on behalf of clients.

一个“基金经理”,此报告的目的,是一个注册的商品交易顾问(CTA); 一个注册的商品基金经理(CPO); 或未经美国商品期货交易委员会。注册确认的基金经理。 7 这些交易商所,主要代表客户从事,管理、组织、开展期货的交易。

Other Reportables 和其它交易商报表

Every other reportable trader that is not placed into one of the other three categories is placed into the “other reportables” category.



The Disaggregated COT sets out open interest by long, short, and spreading for the three categories of traders—“swap dealers,” “managed money,” and “other reportable.” For the“producer/merchant/processor/user” category, open interest is reported only by long or short positions. “Spreading” is a computed amount equal to offsetting long and short positions held by a trader. The computed amount of spreading is calculated as the amount of offsetting futures indifferent calendar months or offsetting futures and options in the same or different calendar months. Any residual long or short position is reported in the long or short column. Inter-market spreads are not considered.

在细分的交易商持仓报告中,列出未平仓合约的长仓,短仓,双向都持仓的三类交易商,“掉期交易商,”“基金经理,”和“其它值得报告的。”而对“生产者/商家/加工商/用户”范畴,未平仓持仓仅申报长仓仓位,短仓仓位。“双向都持仓”是一个计算量仓位,相当于对冲抵消了,交易者持有多头和空头头寸。要计算“双向仓的净持仓”的数量,是好像在计算期货,在对冲抵消不同期货月的期货,或对冲抵消了在同一个期货月的期货或期权,或对冲抵消了不同期货月的期货或期权。任何残留的多头或空头头寸报告,会在长仓或短仓的栏框内列出。跨市场的“双向都持仓” ​​不会考虑。

Numbers of Traders交易商数量

The sum of the numbers of traders in each separate category typically exceeds the total number of reportable traders. This results from the fact that, in the “swap dealers,” “managed money,” and “other reportables” categories, “spreading” can be a partial activity, so the same trader can fall into either the outright “long” or “short” trader count, as well as into the “spreading” count.

在每个单分范畴的交易商数量总和,通常超过所有值得报告的交易商。这个事实导致的结果,即“掉期交易商,”“管理基金,”和“其它值得报告的”范畴,“双向都持仓”可以是部分交易活动,所以,同样的交易者,可以分到,或者彻底的“长仓”, 或者彻底的“短仓”的交易商数目中,如同直接进入“双向都持仓的”数目中。

Additionally, a reportable “producer/merchant/processor/user” may be in both the long and the short position columns. In order to preserve the confidentiality of traders, for any given commodity where a specific category has fewer than four active traders, the size of the relevant positions will be provided but the trader count will be suppressed (specifically, a “·” will appear for trader counts of fewer than four traders).

此外,一个值得报告的“生产者/商家/加工商/用户”,可能会在长仓栏目里,也可能会在短仓栏目里。为了保护交易商的保密性,对于任何给定的商品,即其中一个特定的类别,会有少于四个活跃的交易商,相关的交易仓位的规模将会提供,也将提供有关仓位规模的大小,但交易商数量将不会提供(具体而言,假如交易商数量少于四个,有一个“ • ”号出现)。

7 An unregistered fund may have a Part 4 exclusion from CTA/CPO registration or be a non-U.S. entity that is unregistered. So called “hedge funds” are included in this category, regardless of whether they are registered.


一个未注册的基金或非美国的实体,可能会从CTA/ CPO登记的第四部分排除非。


Historical Data历史数据

Historical data for the Disaggregated COT report are (or soon will be) available back to June 13,2006. Note that CFTC does not maintain a history of large-trader classifications, so, recent classifications had to be used to classify the historical positions of each reportable trader. Due to shifts in trader classifications over time (as discussed above), this “back casting” approach diminishes the data’s accuracy as it goes further back in time. Nonetheless, the data back as far as 2006 should be reasonably representative of trader classifications over that period.

历史数据交易商持仓细分报告,将很快提供回到2006年6月13日(或 会很快提供)。注意,在CFTC不保持大交易商分类的历史,所以,最近的分类不得不使用,用为每个值得报告交易商历史的仓位。随着时间的推移,由于交易者类别的变化(如上所述),这种“重新铸造”的做法削弱了数据的准确性,因为从时间上它不能再回到过去。尽管如此,交易商数据分类,追溯到或超过2006年这个期限,应该是具代表性的且合理的。

Potential Limitations of the Data数据的潜在限制

Commission staff reviews the reasonableness of a trader’s classification for many of the largest traders in the markets based upon Form 40 disclosures and other information available to the Commission. As described above, the actual placement of a trader in a particular classification based upon their predominant business activity may involve some exercise of judgment on the part of Commission staff. Some traders being classified in the “swap dealers” category engage in some commercial activities in the physical commodity or have counterparties that do so. Likewise, some traders classified in the “producer/merchant/processor/user” category engage in some swaps activity. Moreover, it has always been true that the staff classifies traders not their trading activity. Staff will generally know, for example, that a trader is a “producer/merchant/processor/user” but we cannot know with certainty that all of that trader’s activity is hedging. Staff is working on improvements to the Form 40 and other methodologies in order to improve the accuracy of the trader classifications. When large reporting or classification issues are found, an announcement is made and corrections are published as quickly as possible.



Comparison of the Disaggregated Commitments of Traders Report to the Legacy Commitments of Traders Report and the Commodity Index Trader Supplement to the COT Report


The legacy COT reports divide reportable traders into the two broad categories of “commercial “and “non-commercial.” The “commercial” trader category has always included producers, merchants, processors and users of the physical commodity who manage their business risks by hedging. It has also included swap dealers that may have incurred a risk in the over-the-counter (OTC) market and then offset that risk in the futures markets, regardless of whether their OTC counterparty was a commercial trader or a speculator. Those two categories of what has been reported as “commercial” traders are separately reported in the Disaggregated COT. The “non-commercial” category of the legacy COT included professional money managers (CTAs, CPOs, and hedge funds) as well as a wide array of other non-commercial (speculative) traders. These two categories of what has been reported as “non-commercial” traders are separately reported as “money managers” and “other reportables” in the Disaggregated COT.


The commodity index trader (CIT) supplement to the COT has been published for 12 agricultural commodities since January 2007. There is some relationship between “index traders” positions in that supplement and “swap dealer” positions in the Disaggregated COT, but there are specific differences. The “swap dealer” category of the Disaggregated COT includes some swap dealers that do no commodity index business and are, therefore, not in the Index Traders category of the CIT Supplemental. Also, the “index trader” category of the CIT supplement includes pension and other investment funds that place their index investment directly into the futures markets rather than going through a swap dealer. Those traders are classified as “managed money” or “other reportables” in the Disaggregated COT, depending on the specific details of their business and trading.

从2007年1月,商品指数交易商(CIT)的补充持仓,已经公布了12个农产品。 在“指数交易商”补充的仓位和“掉期交易商”交易商细分报告的仓位之间,有一些关系,但也有具体的差异。“掉期交易商”在交易商持仓的细分报告的类别中,包括一部分没有商业指数业务的掉期交易商,因此,不能列在指数交易商补充报告的类别中。此外,指数交易商持仓报告中的“指数交易商”的类别,包括一些养老金和其他投资基金,直接把他们的指数投资归入期货市场,而不是归入掉期交易商的类别。这些交易商被分为COT报告中的“管理基金”,或分在COT报告中的“其它报告的”,这要根据他们业务和交易的具体细节。