The Commission typically calibrates contract reporting levels so that the aggregate of all positions reported to the Commission represents approximately 70 to 90 percent of the total open interest in any given contract. The Commission periodically reviews information concerning trading volume, open interest, its surveillance experience with specific contracts, and the number and position sizes of individual traders relative to the reporting levels for each contract to determine if coverage of open interest is adequate for effective market surveillance. COT data provides a breakdown of each Tuesday's open interest for markets in which twenty or more traders hold positions that equal or exceed Commission set contract reporting levels. COT reports categorize positions as reportable or nonreportable, and provide additional information for reportable positions. The raised contract reporting levels alter the number of reportable positions and the information that is provided on such positions in COT reports. Persons that rely on COT reports should be aware of the impact of the raised contract reporting levels.
The final rules, which were published in the Federal Register on December 21, 2004, will become effective January 20, 2005. A Copy of the rules may be obtained by contacting the Commission's Office of the Secretariat, Three Lafayette Centre, 1155 21st Street, N.W., Washington, D.C., 20581, (202) 418-5100 or by accessing the Commission's website at www.cftc.gov
