July 22, 2010

CFTC Begins Publishing New Large-Trader Report for Financial Futures Markets

Washington, DC – The U.S. Commodity Futures Trading Commission (CFTC) today announced that it will begin publishing a new report that adds further transparency to the financial futures markets. The report, entitled Traders in Financial Futures (TFF), builds on improvements to transparency implemented last year that disaggregated data in the CFTC’s weekly Commitments of Traders (COT) Reports.

“Promoting transparency is at the core of the CFTC’s mission,” CFTC Chairman Gary Gensler said. “The new Traders in Financial Futures reports will provide the public with a better view into the financial futures marketplace. This transparency effort builds upon prior improvements we made to the COT reports and will provide the market with much helpful information. I thank the CFTC staff for their hard work to prepare these new reports.”

For decades, the CFTC has provided the futures industry with COT reports consisting of aggregated large-trader position data to shed light on the changing composition of the markets. The reports are based on a request by Congress for an annual report, upon passage of original enabling legislation in the 1920’s, and have been intensified over time into weekly reports in several formats.

The new TFF report uses the same data that appears in the COT reports, but separates large traders in the financial futures markets into the following four categories: Dealer/Intermediary; Asset Manager/Institutional; Leveraged Funds; and Other Reportables. The “dealer/intermediary” category comprises the sell-side participants that earn commissions selling financial products, capturing bid/offer spreads and otherwise accommodating clients. The remaining three categories represent buy-side participants. These are generally 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.

Like the COT reports, the TFF report 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. The report is published in futures-only and futures-and-options-combined formats. The TFF report will be published concurrently with the legacy COT. The TFF report, however, is not a disaggregation of the COT data for the financial 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. The CFTC also plans to soon release four years of historical data for the new report.

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Scott Schneider
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R. David Gary
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Last Updated: July 22, 2010