Large Trader Reporting Program

The CFTC operates a comprehensive system of collecting information on market participants as part of its market surveillance program. Under regulations set out in Parts 15, 16, 17, 18, 19, and 21 of the CFTC’s regulations, 17 CFR Parts 15, 16, 17, 18, 19, and 21, promulgated under the Commodity Exchange Act (CEA), the Commission collects market data and position information from exchanges, clearing members, futures commission merchants (FCMs), foreign brokers, and traders.

To ensure privacy of the information they provide, the CFTC has assigned confidential reporting numbers to reporting firms and traders. The Commission is prohibited under Section 8 of the CEA, 7 USC 12, from publicly disclosing any person’s positions, transactions, or trade secrets, except under limited circumstances.

Exchange Code and Strike Price Format
Position Entry for Reportable Traders (PERT Online)
Large Trader Record Format

In addition to providing public data on trading volume, open contracts, futures delivery notices, exchanges of futures for cash, and prices, under Part 16 of the CFTC’s regulations, 17 CFR Part 16, exchanges must provide the Commission with confidential information on the aggregate positions and trading activity for each of their clearing members.

Each day, exchanges report each clearing member’s open long and short positions, purchases and sales, exchanges of futures for cash, and futures delivery notices for the previous trading day. This data is reported separately by proprietary and customer accounts by futures month, and for options by puts and calls, expiration date and strike price.

An example of clearing member data for fictitious firms A and B is given below in Table 1: Clearing Member Data:

Table 1: Clearing Member Data

The Commission staff uses data like this to identify large cleared positions in single markets or across many markets and exchanges, to audit large trader reports, and to resolve any account aggregation issue.

Clearing member data, however, do not directly identify the beneficial owners of positions. The aggregate customer position reported for a clearing member could represent either a single trader or numerous traders. Also, the data would not reveal a circumstance where a single trader controls substantial portions of the customer positions with more than one clearing member, and therefore, could control a substantial portion of the market. To address such a limitation on clearing member data, the Commission’s market surveillance program uses its large trader reporting system.

Market surveillance staff assesses individual trader’s activities and potential market power and enforces speculative position limits by using a large trader reporting system (LTRS).

Under the Commission’s LTRS, clearing members, FCMs, and foreign brokers (collectively called reporting firms) file daily reports with the Commission under Part 17 of the CFTC’s regulations, 17 CFR Part 17. The reports show futures and option positions of traders with positions at or above specific reporting levels as set by the Commission. Current reporting levels are found in CFTC Regulation 15.03(b), 17 CFR 15.03(b).

If, at the daily market close, a reporting firm has a trader with a position at or above the Commission’s reporting level in any single futures or option expiration month, the firm reports that trader’s entire position in all futures and options expiration months in that commodity, regardless of size.

The aggregate of all large trader positions reported to the Commission usually represents 70 to 90 percent of the total open interest in any given market. The reporting level for large trader reports can range from 25 contracts to over 1,000 contracts. The level for any given market is based on the total open positions in that market, the size of positions held by traders in the market, the surveillance history of the market, and the size of deliverable supplies for physical delivery markets.

The Commission has the discretion to raise or lower the reporting levels in specific markets to strike a balance between collecting sufficient information to oversee the markets and minimizing the reporting burden on traders that are reportable.

Aggregate data concerning reported positions are published by the CFTC in its weekly Commitments of Traders reports. The data are aggregated to protect the identity of any individual reportable trader.

Since traders frequently carry futures positions through more than one broker and control or have a financial interest in more than one account, the Commission routinely collects information that enables its surveillance staff to aggregate related accounts.

Specifically, reporting firms must file a CFTC Form 102: Identification of “Special Accounts” to identify each new account that acquires a reportable position (this form is also used by futures exchanges with their own large trader reporting systems). In addition, once an account reaches a reportable size, the Commission may contact the trader directly and require that the trader file a more detailed identification report, a CFTC Form 40: Statement of Reporting Trader. 17 CFR Part 18.

CFTC Forms 102 and 40 allow the CFTC to identify the name and address of the account, the person(s) controlling the trading, the person to contact regarding trading, the nature of the account (e.g., whether it is an omnibus account for another broker or an individual account), whether the reported account is related—by financial interest or control—to another account, and the principal occupation or business of the account owner. The forms also show whether the account is being used for hedging cash market exposure. If so, it indicates which futures/option markets are used and what merchandising or marketing activities are involved.

CFTC staff use this information to determine if the reported account is a new trader or is an additional account of an existing trader. If the account is an additional one of an existing trader, it is then aggregated with that of other related accounts currently being reported. By properly identifying and aggregating accounts, surveillance staff can make a thorough assessment of a trader’s potential market impact and a trader’s compliance with speculative position limits.

The CFTC uses various means to ensure the accuracy of its large trader data. The large trader positions reported by clearing members are compared to clearing-member data reported by the exchanges. An inquiry is made to the appropriate exchange if:

• the sum of a clearing member’s large trader positions exceeds the member’s open cleared position; or
• a clearing member has a cleared position many times the reporting level for a given market, but reports few or no large trader positions.

The same procedure is used to compare large trader data reported by non-clearing FCMs and foreign brokers to the total positions they are carrying at other brokers or clearing members. Reporting firms are also subject to on-site audits by the exchange and CFTC staff.

Raw large trader data are then transformed into analytical reports. A CFTC economist can view the largest traders in a specific market, a single trader across several markets, and a trader’s pattern of trading over a specific time period.

An example of large trader data for three fictitious traders is given here in Table 2: Large Trader Data:

Table 2: Large Trader Data

Under 17 CFR Part 18, the CFTC also has the authority to require that a trader provide data on open contracts, purchases and sales, delivery notices, exchange of futures, and options exercised.

This method of obtaining large trader data is not used frequently. However, it is useful when a trader is trading through a number of reporting firms and there is concern that the normal data collection process is missing some important information.

The Commission may issue a special call to a reporting firm or a trader under Parts 18 or 21 of its regulations, 17 CFR Parts 18 and 21, to investigate a threat of a market manipulation or other market disorder. The special call is designed to gain additional information about a firm’s traders and/or about a participant’s trading and delivery activity, including information on persons who control or have a financial interest in the account.

The special call may also request information about positions and transactions in the underlying commodity. For example, the special call may be used when a broker (domestic or foreign) is carrying large open positions but is showing few, if any, reportable accounts. Other occasions to use a special call may be when a trader is using too many brokers to be easily monitored through required reports, or when the trader holds positions below the reporting level, or when part of a trader's position is being carried through a foreign broker and the required information is not received from the broker or customer in a timely fashion or is not readily available for inspection.

In the several markets with Federal speculative position limits (grains, the soy complex, and cotton), hedgers that hold positions in excess of those limits must file a monthly report with the Commission under Part 19, 17 CFR Part 19, of the CFTC’s regulations.

The CFTC Form 204: Statement of Cash Positions in Grains and CFTC Form 304: Statement of Cash Positions in Cotton show the trader’s positions in the cash market. They are used to determine whether a trader has sufficient cash positions that justify futures and option positions above the speculative limits.

For example, in the cotton market, merchants and dealers file a weekly CFTC Form 304 report of their unfixed-price cash positions, which is used to publish a weekly Cotton On-Call report, a service to the cotton industry. The Cotton On-Call report shows how many unfixed-price cash cotton purchases and sales are outstanding against each cotton futures month.

Part 18 of the CFTC’s regulations, 17 CFR Part 18, requires traders that hold reportable positions in designated futures and option markets to keep all records showing details concerning their derivative and cash positions and transactions. This includes inventories, purchases and sales of the cash commodity represented by the futures market, and its products and byproducts. Upon request by the Commission, a trader must furnish the CFTC with any pertinent information about those positions and/or transactions.

The CFTC’s reporting system includes timely data on clearing members and large traders, which are at the core of a comprehensive market surveillance program. United States futures markets are monitored daily to preserve their economic functions of hedging and price discovery.