17 CFR 20.4 - Reporting entities.
(a) Consolidated accounts. Each reporting entity shall combine all paired swap and swaption positions:
(1) That are principal positions (swaps and swaptions to which the reporting entity is a direct legal counterparty), in a single consolidated account that it shall attribute to itself; and
(2) That are positions of the reporting entity's counterparty in a single consolidated account that it shall attribute to that specific counterparty.
(b) Reporting data records. Reporting entities shall report to the Commission, for each reporting day, and separately for each reportable position in a consolidated account described in paragraphs (a)(1) and (a)(2) of this section, unique groupings of the data elements in paragraph (c) 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).
(c) Populating reported data records with data elements. Data records reported under paragraph (b) of this section shall include the following data elements:
(20) Long delta-adjusted paired swaption positions (using economically reasonable and analytically supported deltas);
(21) Short delta-adjusted paired swaption positions (using economically reasonable and analytically supported deltas);
Title 17 published on 2014-04-01
no entries appear in the Federal Register after this date.