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”!




Explanatory Notes

The Traders in Financial Futures (TFF), announced by the Commodity Futures Trading Commission (CFTC) on July 22, 2010, builds on improvements to transparency implemented in 2009 that disaggregated data in the CFTC’s weekly Commitments of Traders (COT) Reports. The new report separates large traders in the financial markets into the following four categories: Dealer/Intermediary; Asset Manager/Institutional; Leveraged Funds; and Other Reportables. The legacy COT report separates reportable traders only into “commercial” and “non-commercial” categories.
金融期货的交易商(TFF), 美国商品期货交易委员会(CFTC)在2010年7月22日宣布,为建立改善实施2009年的透明度,把CFTC每周持仓报告(COT)的数据再进行细分。新的报告将大型金融市场的交易者再分为以下四类:经销商/中介;资产管理公司/机构;杠杆基金;和其他的报表。传统的报告仅将值得报告的交易商分为“商业的”和“非商业的”的类别。

The TFF report, like the COT reports, provides 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. This report is published in futures-only and futures-and-options-combined formats. The TFF report is published side-by-side with the legacy COT.

The TFF Report

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

1) Dealer/Intermediary,
1) 经销商/中介,

2) Asset Manager/Institutional,

3) Leveraged Funds, and

4) Other Reportables.
4) 其他的报表。

Trader Classification

The TFF report divides the financial futures market participants into the “sell side” and “buy side.” This traditional functional division of financial market participants focuses on the irrespective roles in the broader marketplace, not whether they are buyers or sellers of futures/option contracts. The category called “dealer/intermediary,” for instance, represents sell-side participants. Typically, these are dealers and intermediaries that earn commissions on selling financial products, capturing bid/offer spreads and otherwise accommodating clients. The remaining three categories (“asset manager/institutional;” “leveraged funds;” and “other reportables”) represent the buy-side participants. These are essentially clients of the sell-side participants who use the markets to invest, hedge, manage risk, speculate or change the term structure or duration of their assets.
金融期货的交易商报告,把金融期货市场的参与者分成“卖方”和“买方”。金融市场参与者的这种传统的职能分工,在广阔的市场中,无论是否,他们是期货/期权合约的买方或卖方,并不侧重于角色考虑。所谓 “经销商/中介”的类别,举例来说,就是代表卖方的参与者。通常情况下,这些都是销售金融产品来赚取佣金的经销商和中间商,捕捉买入/卖出差价及其它可容纳的客户。其余三个类别(“资产管理公司/机构”;“杠杆基金”,以及“其他值得报告的”)代表买方的参与者。这本质上是卖方参与者的客户, 即利用市场进行投资,对冲,风险管理,投机或改变利率期限结构或延长他们资产持仓时间。

Staff use Form 40 data1 and, where appropriate, conversations with traders and other data available to the Commission regarding a trader’s market activities to make a judgment on each trader’s appropriate classification.2 Some multi-service or multi-functional organizations have centralized their futures trading. In such cases, their Form 40 may show occupations and market usages related to more than one of the new categories. CFTC Division of Market Oversight (DMO) staff place each reportable trader in the most appropriate category based on their predominant activity.
作为对每个交易员的适当分类的一个判断。2 一些多业务和多职能的组织,都集中他们的期货交易。在这种情况下,他们的表格40上,可能显示的职业和相关的市场用途,多于一个以上新的类别。美国商品期货交易委员会,市场监管司(DMO)的工作人员,把每一个值得报告的交易商,根据他们的主要交易活动,布置在最合适的类别中。

1 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. 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 is 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.


2 For example, staff may consider whether a trader is a member of the International Swaps and Derivatives Association (ISDA).

Some parent organizations set up separate 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 TFF classification. A trader’s classifications may change over a period of time for a number of reasons. A trader may change the way it uses the markets, may trade additional or fewer commodities or may find that its client base evolves, for example. These changes may cause DMO staff to change a trader’s classifications and categories and/or change 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.
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金融期货交易商分类。可能因很多原因,一个交易商的分类,在一段时间会改变。一个交易商可能会改变采用市场的方式,可能是交易增加或商品减少,例如,也可能是发现其客户群的演变。这些变化可能会导致,美国商品期货交易委员会,市场监管司的人员,改变交易者的分类和类别,和/或改变交易者的商品各种分类的应用。此外,一个交易者的分类可能会改变,是因为美国商品期货交易委员会,已收到有关交易的更多信息。

Content of the Traders in Financial Futures (TFF) Report


These participants are what are typically described as the “sell side” of the market. Though they may not predominately sell futures, they do design and sell various financial assets to clients. They tend to have matched books or offset their risk across markets and clients. Futures contracts are part of the pricing and balancing of risk associated with the products they sell and their activities. These include large banks (U.S. and non-U.S.) and dealers in securities, swaps and other derivatives.
这些参与者通常被描述为市场的“卖方”。 他们设计并销售各种金融产品给客户,尽管他们可能主要不是销售期货。他们倾向于穿引市场和客户,来匹配预约或抵消他们自己的风险。期货合约是他们销售和交易中,定价和平衡相关产品风险的一部分,其中包括(美国及非美国的)大银行和经销商证券的,掉期和其他衍生工具。

The rest of the market comprises the “buy-side,” which is divided into three separate categories:

Asset Manager/Institutional. 资产管理公司/机构。
These are institutional investors, including pension funds, endowments, insurance companies, mutual funds and those portfolio/investment managers whose clients are predominantly institutional.

Leveraged Funds. 杠杆基金。
These are typically hedge funds and various types of money managers, including registered commodity trading advisors (CTAs); registered commodity pool operators (CPOs) or unregistered funds identified by CFTC. 3 The strategies may involve taking outright positions or arbitrage within and across markets. The traders may be engaged in managing and conducting proprietary futures trading and trading on behalf of speculative clients.
这些都是典型的对冲基金和各种类型的资金管理,包括注册商品交易顾问(CTAs); 注册商品基金经理(CPOs)或未在美国商品期货交易委员注册确认的资金。3该策略可能涉及到,在市场内或通过市场,持有完全的仓位或套利。

Other Reportables其它交易者报表
Reportable traders that are not placed into one of the first three categories are placed into the “other reportables” category. The traders in this category mostly are using markets to hedge business risk, whether that risk is related to foreign exchange, equities or interest rates. This category includes corporate treasuries, central banks, smaller banks, mortgage originators, credit unions and any other reportable traders not assigned to the other three categories.

3 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.
3 一个未注册的基金,可能从CTA/ CPO登记中排除一个第四部分,或是非美国的实体。所谓的“对冲基金”被包括在这一类中,不论他们是否被注册。所谓的“对冲基金”都包含在这个类别,不论他们是登记。


The TFF sets out open interest by long, short, and spreading for all four categories of traders. “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 in different 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.
金融期货的交易商报告,所有四类交易者都列出持仓的长仓,短仓,双向仓。 “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 “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“双向都持仓”可能是一部分的活动,所以同样的交易商可以分为,彻底的“长仓” 的交易商或彻底的“短仓” 的交易商,因此,计数被计算到“双向都持仓”内。

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 not be (specifically, a “·” will appear for trader counts of fewer than four traders).
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)。

Historical Data 历史数据

Historical data for the TFF report will soon be available back to June 13, 2006. Note that the 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.

Comparison of the TFF Report to the Legacy COT Report and to the Disaggregated COT Report for Physical Commodities

The legacy COT reports divide reportable traders into the two broad categories of “commercial” and “non-commercial.” The “commercial” trader category has always included traders who report that they manage their business risks by hedging in futures. Everyone else is classified as “non-commercial.” The Disaggregated COT report for physical commodities separates each of the two broad categories (commercial and non-commercial) into two groups. The commercials are separated into the more traditional group of “producer/merchant/processor/user,” who incur risk from dealing in the physical commodity, and “swap dealers,” who incur risk in the over-the-counter (OTC) derivatives market. The Disaggregated COT report for physical commodities breaks the “non-commercial” category of the legacy COT into “managed money” and “other reportables.”
[See the Explanatory Notes for the Disaggregated COT for a more complete explanation at
http://www.cftc.gov/ucm/groups/public/@newsroom/documents/file/disaggregatedcotexplanatorynot.pdf  ]

传统交易商持仓报告,报告把交易商分为“商业的”和“非商业的”两大类。“商业”的交易商类别,经常包括交易商,即他们通过期货套期保值业务来管理自己风险的交易商。其他人都被归类为“非商业的”交易商。在细分的交易者持仓报告,把实物商品分为两个(商业的和非商业的)广泛大类并分进这二个组。商业的交易商被分到更传统的组 “生产者/商家/加工者/用户,”内, 即承担实物商品买卖的风险的交易商,而“掉期交易商,”即承担衍生品市场场外交易(OTC)的交易商。为实物商品进行交易者细分的持仓报告,把“非商业”的传统的交易者持仓报告,分成了“基金管理的”和“其它值得报告的”交易商类别。
http://www.cftc.gov/ucm/groups/public/@newsroom/documents/file/disaggregatedcotexplanatorynot.pdf ]

The Disaggregated COT report data for physical commodity markets can be re-aggregated to get back to the two categories of the COT report. The TFF report, however, is not a disaggregation of the COT data for the financial futures markets. The traders classified into one of the four categories in the TFF report may be drawn from either the “commercial” or “noncommercial” categories of traders in the legacy COT reports.
为实物商品市场细分的交易商持仓报告,可以重新聚集,再返回到交易商持仓报告两个类别中。但是,金融期货交易商报告,不是金融期货市场,交易商持仓报告数据的一个细分报告。交易商在金融期货交易商报告中被分类成四个类别,可能来自“商业的”传统的交易商持仓报告类别,也可能来自“非商业的” 传统的交易商持仓报告类别。

Potential Limitations of the Data数据的潜在限制

CFTC 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. Moreover, staff classifies traders, not their trading activity. Staff generally knows, for example, that hedge funds fall into the “leveraged funds” category, but cannot know with certainty that all of that trader’s activity is speculative. The hedge fund might be using the foreign exchange futures for hedging the currency exposure on an OTC position, for example. When staff finds the need to make a large reporting or classification change, an announcement is made and corrections are published as quickly as possible.


CFTC staff is currently working to upgrade CFTC Form 40 (large-trader identification) to improve the way large traders, their occupations and how they use U.S. futures and option markets are identified. Thus, it is likely that at the culmination of the Form 40 upgrade, the TFF report and perhaps other Commission reports may need to be altered to take advantage of the improved identification information available to us.