17 CFR 20.4 - Reporting entities.

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§ 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:
(1) An identifier assigned by the Commission to the reporting entity;
(2) An identifier indicating that a principal or counterparty position is being reported;
(3) A 102S identifier assigned by the reporting entity to its counterparty;
(4) The name of the counterparty whose position is being reported;
(5) The reporting day;
(6) If cleared, the identifier for the cleared product assigned by the clearing organization;
(7) The commodity underlying the reportable positions;
(8) The futures equivalent month;
(9) A cleared or uncleared indicator;
(10) A clearing organization identifier;
(12) An execution facility indicator;
(13) Long paired swap positions;
(14) Short paired swap positions;
(15) A swaption put or call side indicator;
(16) A swaption expiration date;
(17) A swaption strike price;
(18) Long non-delta-adjusted paired swaption positions;
(19) Short non-delta-adjusted paired swaption positions;
(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);
(22) Long paired swap or swaption notional value; and
(23) Short paired swap or swaption notional value.

Title 17 published on 2015-12-04

The following are ALL rules, proposed rules, and notices (chronologically) published in the Federal Register relating to Title 17 after this date.

* Only displaying the most recent 50 entries for Title 17. Please, view a Part for the full list of changes within that Part.

  • 2016-12-30; vol. 81 # 251 - Friday, December 30, 2016
    1. 81 FR 96704 - Position Limits for Derivatives
      GPO FDSys XML | Text
      COMMODITY FUTURES TRADING COMMISSION, 37, 17 CFR Parts 1, 15, 17, 19, 38, 140, 150 and 151
      Reproposal.
      Comments must be received on or before February 28, 2017.
      17 CFR Part 1
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Title 17 published on 2015-12-04.

The following are only the Rules published in the Federal Register after the published date of Title 17.

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* Only displaying the most recent 50 entries for Title 17. Please, view a Part for the full list of changes within that Part.

  • 2016-12-28; vol. 81 # 249 - Wednesday, December 28, 2016
    1. 81 FR 95458 - Changes to Exchange Act Registration Requirements To Implement Title V and Title VI of the JOBS Act; Correction
      GPO FDSys: XML | Text
      SECURITIES AND EXCHANGE COMMISSION
      Final rule; technical correction.
      Effective December 28, 2016.
      17 CFR Part 240