Delta

What are the best practices around reporting the field [Delta]?

Question: The footnote for Delta says “Delta must be reported daily regardless of whether there is a change in the value since the last reporting.” Do we understand correctly that Delta values are to be reported daily, and they are not to be kept static from onset of the transaction until there is an amendment to the notional amount? 

CFTC Feedback:

• Send Delta value daily, regardless of whether there is a change in the notional. So if Delta keeps changing, report Delta with a different value every day, even if, for example, there is no change in the notional.
• Since Delta is for valuation reporting, CFTC staff recognized that Delta would not be able to be reported T+0, but would instead be reported at T+1.
• CFTC staff also encouraged ISDA and its members to suggest such clarifying changes to Delta in the response to the ongoing CDE consultation.