(a)Reporting data records. For each reporting day, with respect to paired swaps or swaptions, clearing organizations shall report to the Commission, separately for each clearing member's proprietary and clearing member customer account, unique groupings of the data elements in paragraph (b) of this section (to the extent that there are such corresponding elements), in a single data record, so that each reported record is distinguishable from every other reported record (because of differing data values, as opposed to the arrangement of the elements).
(b)Populating reported data records with data elements. Data records reported under paragraph (a) of this section shall include the following data elements:
(1) An identifier assigned by the Commission to the clearing organization;
(2) The identifier assigned by the clearing organization to the clearing member;
(3) The identifier assigned by the clearing organization for a cleared product;
(4) The reporting day;
(5) A proprietary or clearing member customer account indicator;
(6) The futures equivalent month;
(7) The commodity reference price;
(8) Gross long swap positions;
(9) Gross short swap positions;
(10) A swaption put or call side indicator;
(11) A swaption expiration date;
(12) A swaption strike price;
(13) Gross long non-delta-adjusted swaption positions; and
(14) Gross short non-delta-adjusted swaption positions.
(c)End of reporting day data. For all futures equivalent months, clearing organizations shall report end of reporting day settlement prices for each cleared product and deltas for every unique swaption put and call, expiration date, and strike price.
Title 17 published on 2013-04-01
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