THOMSON REUTERS DATASTREAM UNITED STATES: COMMODITY FUTURES TRADING COMMISION REPORTS

THOMSON REUTERS DATASTREAM UNITED STATES: COMMODITY FUTURES TRADING COMMISION REPORTS

CONTENTS BACKGROUND... 3 COMMITMENTS OF TRADERS REPORTS... 4 DISAGGREGATED REPORT... 4 Producer / Merchant / Processor / User... 4 Swap Dealer... 4 Money Manager... 4 Other Reportables... 4 TRADERS IN FINANCIAL FUTURES... 5 Dealer/Intermediary... 5 Asset Manager/Institutional... 5 Leveraged Funds... 5 Other Reportables... 5 LEGACY REPORTS... 6 Commercial and Non-commercial... 6 Reportable Positions... 6 Non-reportable Positions... 6 SUPPLIMENTAL COMMODITY INDEX REPORT... 7 COMMITMENT OF TRADERS POSITION TYPES... 7 LONG... 7 SHORT... 7 SPREADING... 7 COMMITMENTS OF TRADERS DATA ITEMS... 8 OPEN INTEREST (DATATYPE OI)... 8 NUMBER OF TRADERS (DATATYPE TN)... 8 DATASTREAM COT REPORT SYMBOLOGY... 9 FUTURES CLASS CODE... 9 TRADER CATEGORY... 9 POSITION TYPE... 9 COUNT BASIS... 10 EXAMPLES... 10 COT SHORT REPORT EXCEL TEMPLATE... 10 INDEX INVESTMENT DATA REPORT... 11 INDEX INVESTMENT DATA POSITION TYPES... 11 LONG... 11 SHORT... 11 INDEX INVESTMENT DATA ITEMS... 11 NOTIONAL VALUE (DATATYPE MV)... 11 NUMBER OF EQUIVALENT FUTURE CONTRACTS (DATATYPE VM)... 11 DATASTREAM IID REPORT INDIVIDUAL COMMODITY SYMBOLOGY... 12 FUTURES CLASS CODE... 12 FIXED FILLER... 12 POSITION TYPE... 12 EXAMPLES... 12 DATASTREAM IID REPORT TOTALS SYMBOLOGY... 13 2

BACKGROUND In 1974 the United States Congress created the Commodity Futures Trading Commission (CFTC) as an independent agency with the mandate to regulate commodity futures and option markets in the United States. The agency's mandate has been renewed and expanded several times since then, most recently by the Commodity Futures Modernization Act of 2000. Part of fulfilling this mandate includes increasing transparency in futures and options markets by regular publication of reports into market activity. Two key reports are the weekly Commitment of Traders Reports and the monthly Index Investment Data. 3

COMMITMENTS OF TRADERS REPORTS The weekly US CFTC Commitments of Traders Reports provide a detailed breakdown of each Tuesday's open interest and number of traders in markets with 20 or more traders holding positions equal to or above the reporting levels established by the CFTC. The reports are published each Friday afternoon Eastern Standard Time for positions as of the previous Tuesday. Details of each report is in the next section. Datastream provides four COT reports for Futures Only and Futures-and-Options Combined Commitments in the short format via an Excel template which can be downloaded from the Datastream Extranet. NOTE: Due to the data being based on minimum reportable limits not all futures classes will have CFTC COT data available, base dates will also vary. The maximum history available on Datastream is to March 1995. DISAGGREGATED REPORT The CFTC began publishing a Disaggregated Commitments of Traders report on 4 th September 2009. The first iteration of the report covered 22 major physical commodity markets and on 4 th December 2009 the remaining physical commodity markets were included. The Disaggregated COT report is available in Futures Only and Futures and Options Combined. 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 Other Reportables Producer / Merchant / Processor / User 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. Swap Dealer 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 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. These traders are engaged in managing and conducting organized futures trading on behalf of clients. Other Reportables Every other reportable trader that is not placed into one of the other three categories is placed into the other reportables category. 4

TRADERS IN FINANCIAL FUTURES The CFTC began publishing the Traders in Financial Futures Commitments of Traders report on 22 nd July 2010 and builds on improvements to transparency implemented in 2009 from the disaggregated data in the CFTC s weekly COT Reports. The Traders in Financial Futures COT report is available in Futures Only and Futures and Options Combined. The report separates large traders in the financial markets into the following four categories: Dealer / Intermediary Asset Manager / Institutional Leveraged Funds Other Reportables Dealer/Intermediary 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. Asset Manager/Institutional These are institutional investors, including pension funds, endowments, insurance companies, mutual funds and those portfolio/investment managers whose clients are predominantly institutional. Leveraged Funds 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. 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. Other Reportables 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. 5

LEGACY REPORTS Prior to the introduction of the Disaggregated COT report the original Commitment of Traders reports are now called the Legacy Reports. The Legacy COT report is available in Futures Only and Futures and Options Combined. The report separates traders into the following two categories: Commercial Non-commercial Two additional sub-totals categories are also provided. They are: Total Reportable Total Non-reportable Commercial and Non-commercial When an individual reportable trader is identified to the CFTC the trader is either classified as Commercial or Non-Commercial. All of a traders reported positions in a commodity are classified as commercial if the trader uses futures contracts in that particular commodity for hedging as defined in the CFTC regulations 1.3(z). A trading entity generally gets classified as a 'Commercial' by filing a statement with the CFTC (Via Form 40) that it is commercially '...engaged in business activities hedged by the use of the futures or options markets'. In order to ensure that traders are classified with accuracy and consistency the CFTC staff may exercise judgement in re-classifying a trader if it has additional information about the traders use of the markets. A trader may be classified as commercial in some markets and non-commercial in others. A single trading entity cannot be classified as both commercial and non-commercial in the same commodity. A multi-functional organisation with more than one trading entity may have each trading entity separately classified in a commodity. Reportable Positions Clearing members, futures commission merchants and foreign brokers file daily reports with the CFTC. Those reports show the futures and options positions of traders that hold positions above specified reporting levels set by the CFTC. If at the daily close a reporting firm has a trader with a position at or above the reporting level in any single future month or option expiration, it reports that the traders entire position in all futures and options expiration months in that commodity, regardless of size. The aggregate of all traders positions reported usually represents 70-90% of the total open interest in any given market. From time to time the CFTC will revise reporting limits to minimize the burden on the industry. Non-reportable Positions The long and short open interest shown as 'Non-Reportable' positions are derived by subtracting the long and short 'Reportable' positions from the total open interest. Accordingly the number of traders for non-reportable positions is unknown. 6

SUPPLIMENTAL COMMODITY INDEX REPORT The supplemental report shows an additional category of "Index Traders" in the Futures and Options Combined Legacy Report for selected agricultural markets. These traders are drawn from the Non-commercial and Commercial categories. Coming from the Non-commercial category are positions of managed funds, pension funds, and other investors that are generally seeking exposure to a broad index of commodity prices as an asset class in an unleveraged and passively-managed manner. Coming from the Commercial category are positions for entities whose trading predominantly reflects hedging of over-the-counter transactions involving commodity indices and for example, a swap dealer holding long futures positions to hedge a short commodity index exposure opposite institutional traders, such as pension funds. All of these traders whether coming from the Non-commercial or Commercial categories are generally replicating a commodity index by establishing long futures positions in the component markets and then rolling those positions forward from future to future using a fixed methodology. Some traders assigned to the Index Traders category are engaged in other futures activity that could not be disaggregated. As a result, the Index Traders category, which is typically made up of traders with long-only futures positions replicating and index, will include some long and short positions where traders have multi-dimensional trading activities, the preponderance of which is index trading. Likewise the Index Traders category will not include some traders who are engaged in index trading, but for whom it does not represent a substantial part of their overall trading activity. COMMITMENT OF TRADERS POSITION TYPES The Commitment of Traders reports subdivide each category into three position types: LONG Long Short Spreading The long position is a trader whose obligation is to buy the underlying product. SHORT The short position is a trader whose obligation is to sell the underlying product. SPREADING 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. 7

COMMITMENTS OF TRADERS DATA ITEMS Datastream provides two data items for the Commitments of Traders reports. The Open Interest and Number of Traders per category. These two items allow for the replication of the Short Report format OPEN INTEREST (DATATYPE OI) Open Interest is the total of all futures and/or options not yet offset by a transaction, by delivery, by exercise, etc. The aggregate of all open long open interest is equal to the aggregate of all short open interest. Open interest held or controlled by a trader is referred to as that traders' position. Options open interest and traders positions are calculated on a futures equivalent basis using delta factors supplied by the exchanges. Long-call and short-put open interest is converted into long futures positions, likewise short-call and long-put open interest is converted into short futures equivalents, for example a trader holding 500 long-put options with delta 0.5 is considered to have 250 short futures equivalents. Open interest as reported by the CFTC in the COT report does not include open futures contracts against which notices of delivery have been stopped. NUMBER OF TRADERS (DATATYPE TN) To determine the total number of reportable traders in a market a trader is counted only once regardless whether the trader appears in more than one category. To determine the number of traders in each category however a trader is counted in each category in which the trader holds a position, therefore the sum of the numbers of traders in each category will often exceed the total numbers in that market. 8

DATASTREAM COT REPORT SYMBOLOGY Datastream mnemonics are seven character codes constructed from a four component parts: Futures Class Code Trader Category Position Type Count Basis FUTURES CLASS CODE The futures class code is the three character Datastream futures root. Class codes can be found via the Futures category on Datastream Navigator: http://product.datastream.com/navigator/ TRADER CATEGORY As detailed previously each report category is assigned a two character code. These are: DISAGGREGATED FINANCIAL FUTURES LEGACY Category Code Category Code Category Code Producer / Merchant / Processor / User PM Dealer Intermediary DI Commercial CM Swap Dealer SW Asset Manager/ Institutional AM Non commercial NC Managed Money MM Leveraged Funds LF Reportable TR Other Reportables OR Other Reportables OR Non reportable NR Non reportable NR Index Traders IT NOTE: Total positions are available using the Trader Category and Position Type TOT POSITION TYPE Each position type is assigned a one character code. These are: POSITION TYPE Long Short Spreading CODE L S X NOTE: Total positions are available using the Trader Category and Position Type TOT 9

COUNT BASIS The COT reports are provided on a Futures only or Futures and Options Combined (Futures equivalent) basis plus the Supplemental Index Report which is also Combined. These are assigned a one character code which are: COUNT BASIS Futures Only Futures and Options Combined Supplemental Index Report CODE F C I EXAMPLE 1 For the CME S&P 500 Index, Financial Futures Asset Manager / Institutional, Spreading positions, Combined futures and options the mnemonic will be: EXAMPLE 2 Future Class Code & Trader Category & Position Type & Count Basis = ISP & AM & X & C = ISPAMXC For the NYMEX Light Sweet Crude, Disaggregated Swap Dealer, Long positions, Futures only the mnemonic will be: Future Class Code & Trader Category & Position Type & Count Basis = NCL & SW & L & F = NCLSWLF EXAMPLE 3 For the CME 3 Month Eurodollar, Total positions, Futures only the mnemonic will be: Future Class Code & Trader Category & Position Type & Count Basis = IED & TOT & blank & F = IEDTOTF COT SHORT REPORT EXCEL TEMPLATE Datastream provides the COT reports in full Short Report format using an Advance for Office excel template. This can be downloaded from the Datastream Extranet page: http://extranet.datastream.com/free_reports/afo_samples.htm 10

INDEX INVESTMENT DATA REPORT The Commodity Futures Trading Commission releases monthly data on index investment activity in commodity markets. Commodity index investment is activity typically characterized by a passive strategy designed to gain exposure to commodity price movements as part of a portfolio diversification strategy. Exposure to commodity price movements can be based on investment in a broad index of commodities, a sub-index of related commodities, or a single-commodity index. The investors engaging in index activity in commodity markets include index funds, swap dealers, pension funds, hedge funds and mutual funds. They also include exchange traded funds (ETFs), exchange traded notes (ETNs) and similar exchange-traded products that have a fiduciary or other obligation to track the value of a commodity or basket of commodities in an essentially passive manner. The index investment data details the notional values and the equivalent number of futures contracts for all U.S. markets with more than $0.5 billion of reported net notional value in any one month. Using month-ending dates, the data shows the gross long, gross short, and net notional values with the corresponding equivalent number of futures contracts held across all contract months on the relevant dates. INDEX INVESTMENT DATA POSITION TYPES The Index Investment Data report subdivides each category into two position types: LONG Long Short The long position is a trader whose obligation is to buy the underlying product. SHORT The short position is a trader whose obligation is to sell the underlying product. INDEX INVESTMENT DATA ITEMS Datastream provides two data items for the Index Investment Data reports. The Notional Value and Number of Futures Equivalents. These two items allow for the replication of the full report. NOTIONAL VALUE (DATATYPE MV) For swaps and leveraged swaps, notional value is the dollar amount on which periodic payments are calculated. For index funds, notional value is normally the value of invested funds; but for leveraged funds the notional value may be some multiple of the invested funds. Data is displayed in Billions of US$. NUMBER OF EQUIVALENT FUTURE CONTRACTS (DATATYPE VM) The notional value would represent the equivalent number of futures contracts if those contracts are invested onexchange on a particular day. Since the equivalent number of futures contracts does not necessarily represent actual open positions on a futures exchange, care should be exercised in making direct comparisons to exchange open interest. Data is displayed in Thousands of contracts NOTE: Not available for Total and Sub-total series. 11

DATASTREAM IID REPORT INDIVIDUAL COMMODITY SYMBOLOGY Datastream provides data for individual commodity markets plus sub-total and total levels. Individual commodity mnemonics are constructed from a three component parts: Futures Class Code Fixed filler Position Type FUTURES CLASS CODE The futures class code is the three character Datastream futures root. Class codes can be found via the Futures category on Datastream Navigator: http://product.datastream.com/navigator/ FIXED FILLER A fixed three character filler representing the report is used. This is IID. POSITION TYPE Each position type is assigned a one character code. These are: POSITION TYPE Long Short CODE L S EXAMPLE 4 For the CBOT Corn, Long positions the mnemonic will be: Future Class Code & Fixed Filler & Position Type = CC. & IID & L = CC.IIDL EXAMPLE 5 For the NYMEX Natural Gas, Short positions the mnemonic will be: Future Class Code & Fixed Filler & Position Type = NNG & IID & S = NNGIIDS 12

DATASTREAM IID REPORT TOTALS SYMBOLOGY Datastream provides data for individual commodity markets plus sub-total and total levels. Sub-total and total mnemonics are as follows: MNEMONIC DESCRIPTION POSITION TYPE IIDTOTL Total, All Markets Long IIDTOTS Total, All Markets Short IIDUSAL Total, US Markets Long IIDUSAS Total, US Markets Short IIDXUSL Total, Non-US Markets Long IIDXUSS Total, Non-US Markets Short IIDLRGL Sub-total, Positions over US$0.5bn Long IIDLRGS Sub-total, Positions over US$0.5bn Short IIDSMLL Sub-total, Positions under US$0.5bn Long IIDSMLS Sub-total, Positions under US$0.5bn Short 13