Unofficial Consolidation: OSC Rule 91-507 Trade Repositories and Derivatives Data Reporting

Unofficial Consolidation: OSC Rule 91-507 Trade Repositories and Derivatives Data Reporting

Unofficial Consolidation

Ontario Securities Commission

Rule 91-507

Unofficial consolidation current to 2016-07-29.

This document is not an official statement of law or policy and should be used for reference purposes only.

Any forms referenced in this document are available separately on the Ontario Securities Commission website.

Rule 91-507
TRADE REPOSITORIES AND DERIVATIVES DATA REPORTING

Contents

Part 1 Definitions and Interpretation

Definitions

Part 2 Trade Repository Designation and Ongoing Requirements

Trade repository initial filing of information and designation

Change in information

Filing of initial audited financial statements

Filing of annual audited and interim financial statements

Ceasing to carry on business

Legal framework

Governance

Board of directors

Management

Chief compliance officer

Fees

Access to designated trade repository services

Acceptance of reporting

Communication policies, procedures and standards

Due process

Rules, policies and procedures

Records of data reported

Comprehensive risk-management framework

General business risk

System and other operational risk requirements

Data security and confidentiality

Confirmation of data and information

Outsourcing

Part 3 Data reporting

Reporting counterparty

Duty to report

Identifiers, general

Legal entity identifiers

Unique transaction identifiers

Unique product identifiers

Creation data

Life-cycle event data

Valuation data

Pre-existing transactions

Timing requirements for reporting data to another designated trade repository

Records of data reported

Part 4 Data Dissemination and Access to Data

Data available to regulators

Data available to counterparties

Data available to public

Part 5 Exclusions

Part 6 Exemptions

Part 7 Effective Date

Effective date

Appendix A to OSC Rule 91 -507 – Trade Repositories and Derivatives Data Reporting Minimum Data Fields Required to be Reported to a Designated Trade Repository

Appendix B to OSC Rule 91-507 – Trade Repositories and Derivatives Data Reporting Equivalent Trade Reporting Laws of Foreign Jurisdictions Subject to Deemed Compliance Pursuant to Subsection 26(5)

Appendix C to OSC Rule 91-507 – Trade Repositories and Derivatives Data Reporting Requirements for the public dissemination of transaction level data

 

 

Part 1
Definitions and Interpretation

Definitions

1. (1)      In this Rule

"asset class" means the asset category underlying a derivative and includes interest rate, foreign exchange, credit, equity and commodity;

"board of directors" means, in the case of a designated trade repository that does not have a board of directors, a group of individuals that acts in a capacity similar to a board of directors;

"creation data" means the data in the fields listed in Appendix A;

"derivatives dealer" means a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent;

"derivatives data" means all data related to a transaction that is required to be reported pursuant to Part 3;

"Global Legal Entity Identifier System" means the system for unique identification of parties to financial transactions developed by the Legal Entity Identifier System Regulatory Oversight Committee;

"Legal Entity Identifier System Regulatory Oversight Committee" means the international working group established by the Finance Ministers and the Central Bank Governors of the Group of Twenty nations and the Financial Stability Board, under the Charter of the Regulatory Oversight Committee for the Global Legal Entity Identifier System dated November 5, 2012;

"life-cycle event" means an event that results in a change to derivatives data previously reported to a designated trade repository in respect of a transaction;

"life-cycle event data" means changes to creation data resulting from a life-cycle event;

"local counterparty" means a counterparty to a transaction if, at the time of the transaction, one or more of the following apply:

    1. the counterparty is a person or company, other than an individual, organized under the laws of Ontario or that has its head office or principal place of business in Ontario;
    2. the counterparty is registered under Ontario securities law as a derivatives dealer or in an alternative category as a consequence of trading in derivatives;
    3. the counterparty is an affiliate of a person or company described in paragraph (a), and such person or company is responsible for the liabilities of that affiliated party;

"participant" means a person or company that has entered into an agreement with a designated trade repository to access the services of the designated trade repository;

"reporting counterparty" means the counterparty to a transaction as determined under section 25 that is required to report derivatives data under section 26;

"transaction" means entering into, assigning, selling or otherwise acquiring or disposing of a derivative or the novation of a derivative;

"user" means, in respect of a designated trade repository, a counterparty (or delegate of a counterparty) to a transaction reported to that designated trade repository pursuant to this Rule; and

"valuation data" means data that reflects the current value of the transaction and includes the data in the applicable fields listed in Appendix A under the heading "Valuation Data".

(2)          In this Rule, each of the following terms has the same meaning as in National Instrument 52-107 Acceptable Accounting Principles and Auditing Standards: "accounting principles"; "auditing standards"; "publicly accountable enterprise"; "U.S. AICPA GAAS"; "U.S. GAAP"; and "U.S. PCAOB GAAS".

(3)          In this Rule, "interim period" has the same meaning as in section 1.1 of National Instrument 51-102 Continuous Disclosure Obligations.

Part 2
Trade Repository Designation and Ongoing Requirements

Trade repository initial filing of information and designation

2. (1)      An applicant for designation under section 21.2.2 of the Act must file a completed Form 91-507F1Application For Designation and Trade Repository Information Statement.

(2)          In addition to the requirement set out in subsection (1), an applicant for designation under section 21.2.2 of the Act whose head office or principal place of business is located outside of Ontario must

    1. certify on Form 91-507F1 that it will provide the Commission with access to its books and records and will submit to onsite inspection and examination by the Commission,
    2. certify on Form 91-507F1 that it will provide the Commission with an opinion of legal counsel that
      1. the applicant has the power and authority to provide the Commission with access to its books and records, and
      2. the applicant has the power and authority to submit to onsite inspection and examination by the Commission.

(3)          In addition to the requirements set out in subsections (1) and (2), an applicant for designation under section 21.2.2 of the Act whose head office or principal place of business is located in a foreign jurisdiction must file a completed Form 91-507F2 – Submission to Jurisdiction and Appointment of Agent for Service of Process.

(4)          Within 7 days of becoming aware of an inaccuracy in or making a change to the information provided in Form 91-507F1, an applicant must file an amendment to Form 91-507F1 in the manner set out in that Form.

Change in information

3. (1)      Subject to subsection (2), a designated trade repository must not implement a significant change to a matter set out in Form 91-507F1 unless it has filed an amendment to Form 91-507F1 in the manner set out in that Form at least 45 days before implementing the change.

(2)          A designated trade repository must file an amendment to the information provided in Exhibit I (Fees) of Form 91-507F1 in the manner set out in the Form at least 15 days before implementing a change to the information provided in the Exhibit.

(3)          For a change to a matter set out in Form 91-507F1 other than a change referred to in subsection (1) or (2), a designated trade repository must file an amendment to Form 91-507F1 in the manner set out in that Form by the earlier of

    1. the close of business of the designated trade repository on the 10th day after the end of the month in which the change was made, and
    2. the time the designated trade repository publicly discloses the change.

Filing of initial audited financial statements

4. (1)      An applicant must file audited financial statements for its most recently completed financial year with the Commission as part of its application for designation under section 21.2.2 of the Act.

(2)          The financial statements referred to in subsection (1) must

    1. be prepared in accordance with one of the following
      1. Canadian GAAP applicable to a publicly accountable enterprise,
      2. IFRS, or
      3. U.S. GAAP, if the person or company is incorporated or organized under the laws of the United States of America,
    2. identify in the notes to the financial statements the accounting principles used to prepare the financial statements,
    3. disclose the presentation currency, and
    4. be audited in accordance with
      1. Canadian GAAS,
      2. International Standards on Auditing, or
      3. U.S. AICPA GAAS or U.S. PCAOB GAAS if the person or company is incorporated or organized under the laws of the United States of America.

(3)          The financial statements referred to in subsection (1) must be accompanied by an auditor's report that

    1. expresses an unmodified opinion if the financial statements are audited in accordance with Canadian GAAS or International Standards on Auditing,
    2. expresses an unqualified opinion if the financial statements are audited in accordance with U.S. AICPA GAAS or U.S. PCAOB GAAS,
    3. identifies all financial periods presented for which the auditor's report applies,
    4. identifies the auditing standards used to conduct the audit,
    5. identifies the accounting principles used to prepare the financial statements,
    6. is prepared in accordance with the same auditing standards used to conduct the audit, and
    7. is prepared and signed by a person or company that is authorized to sign an auditor's report under the laws of a jurisdiction of Canada or a foreign jurisdiction, and that meets the professional standards of that jurisdiction.

Filing of annual audited and interim financial statements

5. (1)      A designated trade repository must file annual audited financial statements that comply with the requirements in subsections 4(2) and 4(3) with the Commission no later than the 90th day after the end of its financial year.

(2)          A designated trade repository must file interim financial statements with the Commission no later than the 45th day after the end of each interim period.

(3)          The interim financial statements referred to in subsection (2) must

    1. be prepared in accordance with one of the following
      1. Canadian GAAP applicable to a publicly accountable enterprise,
      2. IFRS, or
      3. U.S. GAAP, if the person or company is incorporated or organized under the laws of the United States of America, and
    2. identify in the notes to the financial statements the accounting principles used to prepare the financial statements.

Ceasing to carry on business

6. (1)      A designated trade repository that intends to cease carrying on business in Ontario as a trade repository must make an application and file a report on Form 91-507F3Cessation of Operations Report For Trade Repository at least 180 days before the date on which it intends to cease carrying on that business.

(2) A designated trade repository that involuntarily ceases to carry on business in Ontario as a trade repository must file a report on Form 91-507F3 as soon as practicable after it ceases to carry on that business.

Legal framework

7. (1)      A designated trade repository must establish, implement, maintain and enforce written rules, policies and procedures reasonably designed to ensure a well-founded, clear, transparent, and enforceable legal basis for each material aspect of its activities.

(2)          Without limiting the generality of subsection (1), a designated trade repository must establish, implement, maintain and enforce written rules, policies and procedures that are not contrary to the public interest and that are reasonably designed to ensure that

    1. such rules, policies and procedures and the contractual arrangements are supported by the laws applicable to those rules, policies, procedures and contractual arrangements,
    2. the rights and obligations of a user, owner and regulator with respect to the use of the designated trade repository's information are clear and transparent,
    3. the contractual arrangements that it enters into and supporting documentation clearly state service levels, rights of access, protection of confidential information, intellectual property rights and operational reliability, and
    4. the status of records of contracts in its repository and whether those records of contracts are the legal contracts of record are clearly established.

Governance

8. (1)      A designated trade repository must establish, implement and maintain written governance arrangements that

    1. are well-defined, clear and transparent,
    2. set out a clear organizational structure with consistent lines of responsibility,
    3. provide for effective internal controls,
    4. promote the safety and efficiency of the designated trade repository,
    5. ensure effective oversight of the designated trade repository,
    6. support the stability of the broader financial system and other relevant public interest considerations, and
    7. properly balance the interests of relevant stakeholders.

(2)          A designated trade repository must establish, implement, maintain and enforce written rules, policies and procedures reasonably designed to identify and manage existing and potential conflicts of interest.

(3)          A designated trade repository must publicly disclose on its website

    1. the governance arrangements established in accordance with subsection (1), and
    2. the rules, policies and procedures established in accordance with subsection (2).

Board of directors

9. (1)      A designated trade repository must have a board of directors.

(2)          The board of directors of a designated trade repository must include

    1. individuals who have an appropriate level of skill and experience to effectively and efficiently oversee the management of its operations in accordance with all relevant laws, and
    2. appropriate representation by individuals who are independent of the designated trade repository.

(3)          The board of directors of a designated trade repository must, in consultation with the chief compliance officer of the designated trade repository, resolve conflicts of interest identified by the chief compliance officer.

(4)          The board of directors of a designated trade repository must meet with the chief compliance officer of the designated trade repository on a regular basis.

Management

10. (1)    A designated trade repository must establish, implement, maintain and enforce written rules, policies and procedures that

    1. specify the roles and responsibilities of management, and
    2. ensure that management has the experience, competencies, integrity and mix of skills necessary to discharge its roles and responsibilities.

(2)          A designated trade repository must notify the Commission no later than the 5th business day after appointing or replacing its chief compliance officer, chief executive officer or chief risk officer.

Chief compliance officer

11. (1)    The board of directors of a designated trade repository must appoint a chief compliance officer with the appropriate experience, competencies, integrity and mix of skills necessary to serve in that capacity.

(2)          The chief compliance officer of a designated trade repository must report directly to the board of directors of the designated trade repository or, if so directed by the board of directors, to the chief executive officer of the designated trade repository.

(3)          The chief compliance officer of a designated trade repository must

    1. establish, implement, maintain and enforce written rules, policies and procedures to identify and resolve conflicts of interest,
    2. establish, implement, maintain and enforce written rules, policies and procedures to ensure that the designated trade repository complies with securities legislation,
    3. monitor compliance with the rules, policies and procedures required under paragraphs (a) and (b) on an ongoing basis,
    4. report to the board of directors of the designated trade repository as soon as practicable upon becoming aware of a circumstance indicating that the designated trade repository, or an individual acting on its behalf, is not in compliance with the securities laws of a jurisdiction in which it operates and one or more of the following apply:
      1. the non-compliance creates a risk of harm to a user;
      2. the non-compliance creates a risk of harm to the capital markets;
      3. the non-compliance is part of a pattern of non-compliance;
      4. the non-compliance may have an impact on the ability of the designated trade repository to carry on business as a trade repository in compliance with securities legislation,
    5. report to the designated trade repository's board of directors as soon as practicable upon becoming aware of a conflict of interest that creates a risk of harm to a user or to the capital markets, and
    6. prepare and certify an annual report assessing compliance by the designated trade repository, and individuals acting on its behalf, with securities legislation and submit the report to the board of directors.

(4)          Concurrently with submitting a report under paragraph (3)(d), (3)(e) or (3)(f), the chief compliance officer must file a copy of the report with the Commission.

Fees

12.         All fees and other material costs imposed by a designated trade repository on its participants must be

    1. fairly and equitably allocated among participants, and
    2. publicly disclosed on its website for each service it offers with respect to the collection and maintenance of derivatives data.

Access to designated trade repository services

13. (1)    A designated trade repository must establish, implement, maintain and enforce written rules, policies and procedures that establish objective, risk-based criteria for participation that permit fair and open access to the services it provides.

(2)          A designated trade repository must publicly disclose on its website the rules, policies and procedures referred to in subsection (1).

(3)          A designated trade repository must not do any of the following:

    1. unreasonably prohibit, condition or limit access by a person or company to the services offered by the designated trade repository;
    2. permit unreasonable discrimination among the participants of the designated trade repository;
    3. impose a burden on competition that is not reasonably necessary and appropriate;
    4. require the use or purchase of another service for a person or company to utilize the trade reporting service offered by the designated trade repository.

Acceptance of reporting

14.         A designated trade repository must accept derivatives data from a participant for a transaction in a derivative of the asset class or classes set out in the designated trade repository's designation order.

Communication policies, procedures and standards

15.         A designated trade repository must use or accommodate relevant internationally accepted communication procedures and standards in order to facilitate the efficient exchange of data between its systems and those of

    1. its participants,
    2. other trade repositories,
    3. exchanges, clearing agencies, alternative trading systems, and other marketplaces, and
    4. other service providers.

Due process

16.         For a decision made by a designated trade repository that directly adversely affects a participant or an applicant that applies to become a participant, the designated trade repository must ensure that

    1. the participant or applicant is given an opportunity to be heard or make representations, and
    2. it keeps records of, gives reasons for, and provides for reviews of its decisions, including, for each applicant, the reasons for granting, denying or limiting access.

Rules, policies and procedures

17. (1)    The rules, policies and procedures of a designated trade repository must

    1. be clear and comprehensive and provide sufficient information to enable a participant to have an accurate understanding of its rights and obligations in accessing the services of the designated trade repository and the risks, fees, and other material costs they incur by using the services of the designated trade repository,
    2. be reasonably designed to govern all aspects of the services offered by the designated trade repository with respect to the collection and maintenance of derivatives data and other information on a completed transaction, and
    3. not be inconsistent with securities legislation.

(2)          A designated trade repository must monitor compliance with its rules, policies and procedures on an ongoing basis.

(3)          A designated trade repository must establish, implement, maintain and enforce written rules, policies and procedures for sanctioning non-compliance with its rules, policies and procedures.

(4)          A designated trade repository must publicly disclose on its website

    1. its rules, policies and procedures referred to in this section, and
    2. its procedures for adopting new rules, policies and procedures or amending existing rules, policies and procedures.

(5)          A designated trade repository must file its proposed new or amended rules, policies and procedures for approval in accordance with the terms and conditions of its designation order, unless the order explicitly exempts the designated trade repository from this requirement.

Records of data reported

18. (1)    A designated trade repository must design its recordkeeping procedures to ensure that it records derivatives data accurately, completely and on a timely basis.

(2)          A designated trade repository must keep, in a safe location and in a durable form, records of derivatives data in relation to a transaction for the life of the transaction and for a further 7 years after the date on which the transaction expires or terminates.

(3)          Throughout the period described in subsection (2), a designated trade repository must create and maintain at least one copy of each record of derivatives data required to be kept under subsection (2), in a safe location and in a durable form, separate from the location of the original record.

Comprehensive risk-management framework

19.         A designated trade repository must establish, implement and maintain a written risk-management framework for comprehensively managing risks including business, legal, and operational risks.

General business risk

20. (1)    A designated trade repository must establish, implement and maintain appropriate systems, controls and procedures to identify, monitor, and manage its general business risk.

(2)          Without limiting the generality of subsection (1), a designated trade repository must hold sufficient insurance coverage and liquid net assets funded by equity to cover potential general business losses in order that it can continue operations and services as a going concern in order to achieve a recovery or an orderly wind down if those losses materialize.

(3)          For the purposes of subsection (2), a designated trade repository must hold, at a minimum, liquid net assets funded by equity equal to six months of current operating expenses.

(4)          A designated trade repository must identify scenarios that may potentially prevent it from being able to provide its critical operations and services as a going concern and assess the effectiveness of a full range of options for an orderly wind-down.

(5)          A designated trade repository must establish, implement, maintain and enforce written rules, policies and procedures reasonably designed to facilitate its orderly wind-down based on the results of the assessment required by subsection (4).

(6)          A designated trade repository must establish, implement, maintain and enforce written rules, policies and procedures to ensure that it or a successor entity, insolvency administrator or other legal representative, will continue to comply with the requirements of subsection 6(2) and section 37 in the event of the bankruptcy or insolvency of the designated trade repository or the wind-down of the designated trade repository's operations.

System and other operational risk requirements

21. (1)    A designated trade repository must establish, implement, maintain and enforce appropriate systems, controls and procedures to identify and minimize the impact of all plausible sources of operational risk, both internal and external, including risks to data integrity, data security, business continuity and capacity and performance management.

(2)          The systems, controls and procedures established pursuant to subsection (1) must be approved by the board of directors of the designated trade repository.

(3)          Without limiting the generality of subsection (1), a designated trade repository must

    1. develop and maintain
      1. an adequate system of internal controls over its systems, and
      2. adequate information technology general controls, including without limitation, controls relating to information systems operations, information security and integrity, change management, problem management, network support and system software support,
    2. in accordance with prudent business practice, on a reasonably frequent basis and, in any event, at least annually
      1. make reasonable current and future capacity estimates, and
      2. conduct capacity stress tests to determine the ability of those systems to process transactions in an accurate, timely and efficient manner, and
    3. promptly notify the Commission of a material systems failure, malfunction, delay or other disruptive incident, or a breach of data security, integrity or confidentiality, and provide a post-incident report that includes a root-cause analysis as soon as practicable.

(4)          Without limiting the generality of subsection (1), a designated trade repository must establish, implement, maintain and enforce business continuity plans, including disaster recovery plans reasonably designed to

    1. achieve prompt recovery of its operations following a disruption,
    2. allow for the timely recovery of information, including derivatives data, in the event of a disruption, and
    3. provide for the exercise of authority in the event of an emergency.

(5)          A designated trade repository must test its business continuity plans, including disaster recovery plans, at least annually.

(6)          For each of its systems for collecting and maintaining reports of derivatives data, a designated trade repository must annually engage a qualified party to conduct an independent review and prepare a report in accordance with established audit standards to ensure that it is in compliance with paragraphs (3)(a) and (b) and subsections (4) and (5).

(7)          A designated trade repository must provide the report prepared in accordance with subsection (6) to

    1. its board of directors or audit committee promptly upon the completion of the report, and
    2. the Commission not later than the 30th day after providing the report to its board of directors or audit committee.

(8)          A designated trade repository must publicly disclose on its website all technology requirements regarding interfacing with or accessing the services provided by the designated trade repository,

    1. if operations have not begun, sufficiently in advance of operations to allow a reasonable period for testing and system modification by participants, and
    2. if operations have begun, sufficiently in advance of implementing a material change to technology requirements to allow a reasonable period for testing and system modification by participants.

(9)          A designated trade repository must make available testing facilities for interfacing with or accessing the services provided by the designated trade repository,

    1. if operations have not begun, sufficiently in advance of operations to allow a reasonable period for testing and system modification by participants, and
    2. if operations have begun, sufficiently in advance of implementing a material change to technology requirements to allow a reasonable period for testing and system modification by participants.

(10)        A designated trade repository must not begin operations in Ontario unless it has complied with paragraphs (8)(a) and (9)(a).

(11)        Paragraphs (8)(b) and (9)(b) do not apply to a designated trade repository if

    1. the change to its technology requirements must be made immediately to address a failure, malfunction or material delay of its systems or equipment,
    2. the designated trade repository immediately notifies the Commission of its intention to make the change to its technology requirements, and
    3. the designated trade repository publicly discloses on its website the changed technology requirements as soon as practicable.

Data security and confidentiality

22. (1)    A designated trade repository must establish, implement, maintain and enforce written rules, policies and procedures reasonably designed to ensure the safety, privacy and confidentiality of the derivatives data.

(2)          A designated trade repository must not release derivatives data for commercial or business purposes unless

    1. the derivatives data has otherwise been disclosed pursuant to section 39, or
    2. the counterparties to the transaction have provided the designated trade repository with their express written consent to use or release the derivatives data.

Confirmation of data and information

23. (1)    A designated trade repository must establish, implement, maintain and enforce written rules, policies and procedures to confirm with each counterparty to a transaction, or agent acting on behalf of such counterparty, that the derivatives data that the designated trade repository receives from a reporting counterparty, or from a party to whom a reporting counterparty has delegated its reporting obligation under this Rule, is accurate.

(2)          Despite subsection (1), a designated trade repository need only confirm the accuracy of the derivatives data it receives with those counterparties that are participants of the designated trade repository.

Outsourcing

24.         If a designated trade repository outsources a material service or system to a service provider, including to an associate or affiliate of the designated trade repository, the designated trade repository must

    1. establish, implement, maintain and enforce written rules, policies and procedures for the selection of a service provider to which a material service or system may be outsourced and for the evaluation and approval of such an outsourcing arrangement,
    2. identify any conflicts of interest between the designated trade repository and a service provider to which a material service or system is outsourced, and establish, implement, maintain and enforce written rules, policies and procedures to mitigate and manage those conflicts of interest,
    3. enter into a written contract with the service provider that is appropriate for the materiality and nature of the outsourced activity and that provides for adequate termination procedures,
    4. maintain access to the books and records of the service provider relating to the outsourced activity,
    5. ensure that the Commission has the same access to all data, information and systems maintained by the service provider on behalf of the designated trade repository that it would have absent the outsourcing arrangement,
    6. ensure that all persons conducting audits or independent reviews of the designated trade repository under this Rule have appropriate access to all data, information and systems maintained by the service provider on behalf of the designated trade repository that such persons would have absent the outsourcing arrangement,
    7. take appropriate measures to determine that a service provider to which a material service or system is outsourced establishes, maintains and periodically tests an appropriate business continuity plan, including a disaster recovery plan in accordance with the requirements under section 21,
    8. take appropriate measures to ensure that the service provider protects the safety, privacy and confidentiality of derivatives data and of users' confidential information in accordance with the requirements under section 22, and
    9. establish, implement, maintain and enforce written rules, policies and procedures to regularly review the performance of the service provider under the outsourcing arrangement.

Part 3
Data reporting

Reporting counterparty

25. (1)    The reporting counterparty with respect to a transaction involving a local counterparty is

    1. if the transaction is cleared through a recognized or exempt clearing agency, the recognized or exempt clearing agency,
    2. if the transaction is not cleared through a recognized or exempt clearing agency and is between two derivatives dealers, the derivatives dealer determined to be the reporting counterparty under the ISDA methodology,
    3. if paragraphs (a) and (b) do not apply to the transaction and the transaction is between two derivatives dealers, each derivatives dealer,
    4. if the transaction is not cleared through a recognized or exempt clearing agency and is between a derivatives dealer and a counterparty that is not a derivatives dealer, the derivatives dealer,
    5. if paragraphs (a) to (d) do not apply to the transaction, the counterparty determined to be the reporting counterparty under the ISDA methodology, and
    6. in any other case, each local counterparty to the transaction.

(2)          A party that would not be the reporting counterparty under the ISDA methodology with regard to a transaction required to be reported under this Rule may rely on paragraph (1)(b) or (e) in respect of that transaction only if

    1. each party to the transaction has agreed to the terms of a multilateral agreement
      1. that is administered by and delivered to the International Swaps and Derivatives Association, Inc., and
      2. under which the process set out in the ISDA methodology is required to be followed by it with respect to each transaction required to be reported under this Rule,
    2. the ISDA methodology process is followed in determining the reporting counterparty in respect of that transaction, and
    3. each party to the transaction consents to the release to the Commission by the International Swaps and Derivatives Association, Inc. of information relevant in determining the applicability of paragraphs (a) and (b) to it.

(3)          For the purposes of this section, "ISDA methodology" means the methodology described in the Canadian Transaction Reporting Party Requirements (issued by the International Swaps and Derivatives Association, Inc. and dated April 4, 2014).

Duty to report

26. (1)    A reporting counterparty to a transaction involving a local counterparty must report, or cause to be reported, the data required to be reported under this Part to a designated trade repository.

(2)          A reporting counterparty in respect of a transaction is responsible for ensuring that all reporting obligations in respect of that transaction have been fulfilled.

(3)          A reporting counterparty may delegate its reporting obligations under this Rule, but remains responsible for ensuring the timely and accurate reporting of derivatives data required by this Rule.

(4)          Despite subsection (1), if no designated trade repository accepts the data required to be reported by this Part, the reporting counterparty must electronically report the data required to be reported by this Part to the Commission.

(5)          A reporting counterparty satisfies the reporting obligation in respect of a transaction required to be reported under subsection (1) if

    1. the transaction is required to be reported solely because a counterparty to the transaction is a local counterparty pursuant to paragraph (b) or (c) of the definition of "local counterparty";
    2. the transaction is reported to a designated trade repository pursuant to
      1. the securities legislation of a province of Canada other than Ontario, or
      2. the laws of a foreign jurisdiction listed in Appendix B; and
    3. the reporting counterparty instructs the designated trade repository referred to in paragraph (b) to provide the Commission with access to the data that is reported pursuant to paragraph (b) and otherwise uses its best efforts to provide the Commission with access to such data.

(6)          A reporting counterparty must ensure that all reported derivatives data relating to a transaction

    1. is reported to the same designated trade repository or, if reported to the Commission under subsection (4), to the Commission, and
    2. is accurate and contains no misrepresentation.

(7)          A reporting counterparty must report an error or omission in the derivatives data as soon as technologically practicable upon discovery of the error or omission, and in no event later than the end of the business day following the day of discovery of the error or omission.

(8)          A local counterparty, other than the reporting counterparty, must notify the reporting counterparty of an error or omission with respect to derivatives data relating to a transaction to which it is a counterparty as soon as technologically practicable upon discovery of the error or omission, and in no event later than the end of the business day following the day of discovery of the error or omission.

(9)          A recognized or exempt clearing agency must report derivatives data to the designated trade repository specified by a local counterparty and may not report derivatives data to another trade repository without the consent of the local counterparty where

    1. the reporting counterparty to a transaction is the recognized or exempt clearing agency, and
    2. the local counterparty to the transaction that is not a recognized or exempt clearing agency has specified a designated trade repository to which derivatives data in respect of that transaction is to be reported.

Identifiers, general

27.         A reporting counterparty must include the following in every report required by this Part:

    1. the legal entity identifier of each counterparty to the transaction as set out in section 28;
    2. the unique transaction identifier for the transaction as set out in section 29;
    3. the unique product identifier for the transaction as set out in section 30.

Legal entity identifiers

28. (1)    A designated trade repository must identify each counterparty to a transaction that is required to be reported under this Rule in all recordkeeping and all reporting required under this Rule by means of a single legal entity identifier.

(2)          Each of the following rules apply to legal entity identifiers

    1. a legal entity identifier must be a unique identification code assigned to a counterparty in accordance with the standards set by the Global Legal Entity Identifier System, and
    2. a local counterparty must comply with all applicable requirements imposed by the Global Legal Entity Identifier System.

(3)          Despite subsection (2), if the Global Legal Entity Identifier System is unavailable to a counterparty to a transaction at the time when a report under this Rule is required to be made, all of the following rules apply

    1. each counterparty to the transaction must obtain a substitute legal entity identifier which complies with the standards established March 8, 2013 by the Legal Entity Identifier Regulatory Oversight Committee for pre-legal entity identifiers,
    2. a local counterparty must use the substitute legal entity identifier until a legal entity identifier is assigned to the counterparty in accordance with the standards set by the Global Legal Entity Identifier System as required under paragraph (2)(a), and
    3. after the holder of a substitute legal entity identifier is assigned a legal entity identifier in accordance with the standards set by the Global Legal Entity Identifier System as required under paragraph (2)(a), the local counterparty must ensure that it is identified only by the assigned legal entity identifier in all derivatives data reported pursuant to this Rule in respect of transactions to which it is a counterparty.

(4)          If a counterparty to a transaction is an individual or is not eligible to receive a legal entity identifier as determined by the Global Legal Entity Identifier System, the reporting counterparty must identify such a counterparty with an alternate identifier.

(5)          If subsection (4) applies, then despite subsection (1), the designated trade repository must identify such a counterparty with the alternate identifier supplied by the reporting counterparty.

28.1       Each local counterparty to a transaction required to be reported under this Rule that is eligible to receive a legal entity identifier as determined by the Global Legal Entity Identifier System, other than an individual, must obtain, maintain and renew a legal entity identifier assigned to the counterparty in accordance with the standards set by the Global Legal Entity Identifier System.

Unique transaction identifiers

29. (1)    A designated trade repository must identify each transaction that is required to be reported under this Rule in all recordkeeping and all reporting required under this Rule by means of a unique transaction identifier.

(2)          A designated trade repository must assign a unique transaction identifier to a transaction, using its own methodology or incorporating a unique transaction identifier previously assigned to the transaction.

(3)          A designated trade repository must not assign more than one unique transaction identifier to a transaction.

Unique product identifiers

30. (1)    For the purposes of this section, a unique product identifier means a code that uniquely identifies a derivative and is assigned in accordance with international or industry standards.

(2)          A reporting counterparty must identify each transaction that is required to be reported under this Rule in all recordkeeping and all reporting required under this Rule by means of a unique product identifier.

(3)          A reporting counterparty must not assign more than one unique product identifier to a transaction.

(4)          If international or industry standards for a unique product identifier are unavailable for a particular derivative when a report is required to be made to a designated trade repository under this Rule, a reporting counterparty must assign a unique product identifier to the transaction using its own methodology.

Creation data

31. (1)    Upon execution of a transaction that is required to be reported under this Rule, a reporting counterparty must report the creation data relating to that transaction to a designated trade repository.

(2)          A reporting counterparty in respect of a transaction must report creation data in real time.

(3)          If it is not technologically practicable to report creation data in real time, a reporting counterparty must report creation data as soon as technologically practicable and in no event later than the end of the business day following the day on which the data would otherwise be required to be reported.

(4)          Repealed.

Life-cycle event data

32. (1)    For a transaction that is required to be reported under this Rule, the reporting counterparty must report all life-cycle event data to a designated trade repository by the end of the business day on which the life-cycle event occurs.

(2)          If it is not technologically practicable to report life-cycle event data by the end of the business day on which the life-cycle event occurs, the reporting counterparty must report life-cycle event data no later than the end of the business day following the day on which the life-cycle event occurs.

Valuation data

33. (1)    For a transaction that is required to be reported under this Rule, a reporting counterparty must report valuation data, based on industry accepted valuation standards, to a designated trade repository

    1. daily, based on relevant closing market data from the previous business day, if the reporting counterparty is a derivatives dealer or a recognized or exempt clearing agency , or
    2. quarterly, as of the last day of each calendar quarter, if the reporting counterparty is not a derivatives dealer or a recognized or exempt clearing agency.

(2)          Valuation data required to be reported pursuant to paragraph 1(b) must be reported to the designated trade repository no later than 30 days after the end of the calendar quarter.

Pre-existing transactions

34. (1)    Despite section 31 and subject to subsection 43(5), a reporting counterparty (as determined under subsection 25(1)) to a transaction required to be reported under subsection 26(1) is required to report only the creation data indicated in the column in Appendix A entitled "Required for Pre-existing Transactions" on or before April 30, 2015 if

    1. the reporting counterparty is a derivatives dealer or a recognized or exempt clearing agency,
    2. the transaction was entered into before October 31, 2014, and
    3. there were outstanding contractual obligations with respect to the transaction on October 31, 2014.

(1.1)       Despite section 31 and subject to subsection 43(6), a reporting counterparty (as determined under subsection 25(1)) to a transaction required to be reported under subsection 26(1) is required to report only the creation data indicated in the column in Appendix A entitled "Required for Pre-existing Transactions" on or before December 31, 2015 if

    1. the reporting counterparty is neither a derivatives dealer nor a recognized or exempt clearing agency,
    2. the transaction was entered into before June 30, 2015, and
    3. there were outstanding contractual obligations with respect to the transaction on June 30, 2015.

(2)          Despite section 32, for a transaction to which subsection (1) or (1.1) applies, a reporting counterparty's obligation to report life-cycle event data under section 32 commences only after it has reported creation data in accordance with subsection (1) or (1.1).

(3)          Despite section 33, for a transaction to which subsection (1) or (1.1) applies, a reporting counterparty's obligation to report valuation data under section 33 commences only after it has reported creation data in accordance with subsection (1) or (1.1).

Timing requirements for reporting data to another designated trade repository

35.         Despite the data reporting timing requirements in sections 31, 32, 33 and 34, where a designated trade repository ceases operations or stops accepting derivatives data for a certain asset class of derivatives, the reporting counterparty may fulfill its reporting obligations under this Rule by reporting the derivatives data to another designated trade repository, or the Commission if there is not an available designated trade repository, within a reasonable period of time.

Records of data reported

36. (1)    A reporting counterparty must keep transaction records for the life of each transaction and for a further 7 years after the date on which the transaction expires or terminates.

(2)          A reporting counterparty must keep records referred to in subsection (1) in a safe location and in a durable form.

Part 4
Data Dissemination and Access to Data

Data available to regulators

37. (1)    A designated trade repository must, at no cost

    1. provide to the Commission direct, continuous and timely electronic access to such data in the designated trade repository's possession as is required by the Commission in order to carry out the Commission's mandate,
    2. accept and promptly fulfil any data requests from the Commission in order to carry out the Commission's mandate,
    3. create and make available to the Commission aggregate data derived from data in the designated trade repository's possession as required by the Commission in order to carry out the Commission's mandate, and
    4. disclose to the Commission the manner in which the derivatives data provided under paragraph (c) has been aggregated.

(2)          A designated trade repository must conform to internationally accepted regulatory access standards applicable to trade repositories.

(3)          A reporting counterparty must use its best efforts to provide the Commission with access to all derivatives data that it is required to report pursuant to this Rule, including instructing a trade repository to provide the Commission with access to such data.

Data available to counterparties

38. (1)    A designated trade repository must provide counterparties to a transaction with timely access to all derivatives data relevant to that transaction which is submitted to the designated trade repository.

(2)          A designated trade repository must have appropriate verification and authorization procedures in place to deal with access pursuant to subsection (1) by non-reporting counterparties or a party acting on behalf of a non-reporting counterparty.

(3)          Each counterparty to a transaction is deemed to have consented to the release of all derivatives data required to be reported or disclosed under this Rule.

(4)          Subsection (3) applies despite any agreement to the contrary between the counterparties to a transaction.

Data available to public

39. (1)    A designated trade repository must, on a periodic basis, create and make available to the public, at no cost, aggregate data on open positions, volume, number and, where applicable, price, relating to the transactions reported to it pursuant to this Rule.

(2)          The periodic aggregate data made available to the public pursuant to subsection (1) must be complemented at a minimum by breakdowns, where applicable, by currency of denomination, geographic location of reference entity or asset, asset class, contract type, maturity and whether the transaction is cleared.

(3)          For each transaction reported pursuant to this Rule, a designated trade repository must make transaction level reports available to the public at no cost, in accordance with the requirements in Appendix C.

(4)          In disclosing transaction level reports required by subsection (3), a designated trade repository must not disclose the identity of either counterparty to the transaction.

(5)          A designated trade repository must make the data required to be made available to the public under this section available in a usable form through a publicly accessible website or other publicly accessible technology or medium.

(6)          Despite subsections (1) to (5), a designated trade repository is not required to make public any derivatives data for transactions entered into between affiliated companies as defined under subsection 1(2) of the Act.

Part 5
Exclusions

40.         Despite any other section of this Rule, a local counterparty is under no obligation to report derivatives data for a transaction if,

    1. the transaction relates to a derivative the asset class of which is a commodity other than cash or currency,
    2. the local counterparty is not a derivatives dealer or a recognized or exempt clearing agency, and
    3. the local counterparty has less than $500,000 aggregate notional value, without netting, under all its outstanding transactions at the time of the transaction including the additional notional value related to that transaction.

41.         Despite any other section of this Rule, a reporting counterparty is under no obligation to report derivatives data in relation to a transaction if it is entered into between

    1. Her Majesty in right of Ontario or the Ontario Financing Authority when acting as agent for Her Majesty in right of Ontario, and
    2. an Ontario crown corporation or crown agency that forms part of a consolidated entity with Her Majesty in right of Ontario for accounting purposes.

41.1       Despite any other section of this Rule, a reporting counterparty is under no obligation to report derivatives data in relation to a transaction if, at the time the transaction is executed,

    1. the counterparties to the transaction are affiliated companies; and
    2. neither counterparty is one or more of the following:
      1. a derivatives dealer;
      2. a recognized or exempt clearing agency;
      3. an affiliate of a person or company referred to in subparagraph (i) or (ii).

Part 6
Exemptions

42.         A Director may grant an exemption to this Rule, in whole or in part, subject to such conditions or restrictions as may be imposed in the exemption.

Part 7
Effective Date

Effective date

43. (1)    Parts 1, 2, 4, and 6 come into force on December 31, 2013.

(2)          Despite subsection (1), subsection 39(3) does not apply until January 16, 2017.

(3)          Parts 3 and 5 come into force October 31, 2014.

(4)          Despite subsection (3), Part 3 does not apply so as to require a reporting counterparty that is not a derivatives dealer or a recognized or exempt clearing agency to make any reports under that Part until June 30, 2015.

(5)          Despite subsection (3) and section 34, Part 3 does not apply to a transaction entered into before October 31, 2014 that expires or terminates on or before April 30, 2015 if the reporting counterparty to the transaction is a derivatives dealer or a recognized or exempt clearing agency.

(6)          Despite subsection (3) and section 34, Part 3 does not apply to a transaction entered into before June 30, 2015 that expires or terminates on or before December 31, 2015 if the reporting counterparty to the transaction is neither a derivatives dealer nor a recognized or exempt clearing agency.

 

Appendix A to OSC Rule 91 -507 – Trade Repositories and Derivatives Data Reporting Minimum Data Fields Required to be Reported to a Designated Trade Repository

Instructions:

The reporting counterparty is required to provide a response for each of the fields unless the field is not applicable to the transaction.

Data field

Description

Required for Pre-existing Transactions

Transaction identifier

The unique transaction identifier as provided by the designated trade repository or the identifier as identified by the two counterparties, electronic trading venue of execution or clearing agency.

Y

Master agreement type

The type of master agreement, if used for the reported transaction.

N

Master agreement version

Date of the master agreement version (e.g., 2002, 2006).

N

Cleared

Indicate whether the transaction has been cleared by a clearing agency.

Y

Intent to clear

Indicate whether the transaction will be cleared by a clearing agency.

N

Clearing agency

LEI of the clearing agency where the transaction is or will be cleared.

Y

Clearing member

LEI of the clearing member, if the clearing member is not a counterparty.

N

Clearing exemption

Indicate whether one or more of the counterparties to the transaction are exempted from a mandatory clearing requirement.

N

Broker/Clearing intermediary

LEI of the broker acting as an intermediary for the reporting counterparty without becoming a counterparty.

N

Electronic trading venue identifier

LEI of the electronic trading venue where the transaction was executed.

Y

Inter-affiliate

Indicate whether the transaction is between two affiliated companies. (This field is only required to be reported as of April 30, 2015.)

N

Collateralization

Indicate whether the transaction is collateralized. Field Values:

•     Fully (initial and variation margin required to be posted by both parties),

•     Partially (variation only required to be posted by both parties),

•     One-way (one party will be required to post some form of collateral),

•     Uncollateralized.

N

Identifier of reporting counterparty

LEI of the reporting counterparty or, in the case of an individual or counterparty that is not eligible to receive an LEI, its alternate identifier.

Y

Identifier of non-reporting counterparty

LEI of the non-reporting counterparty or, in the case of an individual or counterparty that is not eligible to receive an LEI, its alternate identifier.

Y

Counterparty side

Indicate whether the reporting counterparty was the buyer or seller. In the case of swaps, other than credit default, the buyer will represent the payer of leg 1 and the seller will be the payer of leg 2.

Y

Identifier of agent reporting the transaction

LEI of the agent reporting the transaction if reporting of the transaction has been delegated by the reporting counterparty.

N

 

Jurisdiction of reporting counterparty

If the reporting counterparty is a local counterparty under this Rule or the derivatives data reporting rules of Manitoba or Québec, or is a local counterparty under paragraph (a) or (c) of the definition of local counterparty in the derivatives data reporting rules of any other jurisdiction of Canada, indicate all such jurisdictions.

N

 

Jurisdiction of non-reporting counterparty

If the non-reporting counterparty is a local counterparty under this Rule or the derivatives data reporting rules of Manitoba or Québec, or is a local counterparty under paragraph (a) or (c) of the definition of local counterparty in the derivatives data reporting rules of any other jurisdiction of Canada, indicate all such jurisdictions.

N

 

A. Common Data

•     These fields are required to be reported for all derivative transactions even if the information may be entered in an Asset field below.

•     Fields do not have to be reported if the unique product identifier adequately describes those fields.

 

Unique product identifier

Unique product identification code based on the taxonomy of the product.

N

 

Contract or instrument type

The name of the contract or instrument type (e.g., swap, swaption, forwards, options, basis swap, index swap, basket swap, other).

Y

 

Underlying asset identifier 1

The unique identifier of the asset referenced in the transaction.

Y

 

Underlying asset identifier 2

The unique identifier of the second asset referenced in the transaction, if more than one. If more than two assets identified in the transaction, report the unique identifiers for those additional underlying assets.

Y

 

Asset class

Major asset class of the product (e.g., interest rate, credit, commodity, foreign exchange, equity, etc.).

N

 

Effective date or start date

The date the transaction becomes effective or starts.

Y

 

Maturity, termination or end date

The date the transaction expires.

Y

 

Payment frequency or dates

The dates or frequency the transaction requires payments to be made (e.g., quarterly, monthly).

Y

 

Reset frequency or dates

The dates or frequency at which the price resets (e.g., quarterly, semi-annually, annually).

Y

 

Day count convention

Factor used to calculate the payments (e.g., 30/360, actual/360).

Y

 

Delivery type

Indicate whether transaction is settled physically or in cash.

Y

 

Price 1

The price, yield, spread, coupon, etc., of the derivative. The price/rate should not include any premiums such as commissions, collateral premiums, accrued interest, etc.

Y

 

Price 2

The price, yield, spread, coupon, etc., of the derivative. The price/rate should not include any premiums such as commissions, collateral premiums, accrued interest, etc.

Y

 

Price notation type 1

The manner in which the price is expressed (e.g., percent, basis points, etc.).

Y

 

Price notation type 2

The manner in which the price is expressed (e.g., percent, basis points, etc.).

Y

Price multiplier

The number of units of the underlying reference entity represented by 1 unit of the transaction.

N

Notional amount leg 1

Total notional amount(s) of leg 1 of the transaction.

Y

Notional amount leg 2

Total notional amount(s) of leg 2 of the transaction.

Y

Currency leg 1

Currency(ies) of leg 1.

Y

Currency leg 2

Currency(ies) of leg 2.

Y

Settlement currency

The currency used to determine the cash settlement amount.

Y

Up-front payment

Amount of any up-front payment.

N

Currency or currencies of up-front payment

The currency in which any up-front payment is made by one counterparty to another.

N

Embedded option

Indicate whether the option is an embedded option.

N

B. Additional Asset Information

These additional fields are required to be reported for transactions in the respective types of derivatives set out below, even if the information is entered in a Common Data field above.

i)    Interest rate derivatives

 

Fixed rate leg 1

The rate used to determine the payment amount for leg 1 of the transaction.

Y

Fixed rate leg 2

The rate used to determine the payment amount for leg 2 of the transaction.

Y

Floating rate leg 1

The floating rate used to determine the payment amount for leg 1 of the transaction.

Y

Floating rate leg 2

The floating rate used to determine the payment amount for leg 2 of the transaction.

Y

Fixed rate day count convention

Factor used to calculate the fixed payer payments (e.g., 30/360, actual/360).

Y

Fixed leg payment frequency or dates

Frequency or dates of payments for the fixed rate leg of the transaction (e.g., quarterly, semi-annually, annually).

Y

Floating leg payment frequency or dates

Frequency or dates of payments for the floating rate leg of the transaction (e.g., quarterly, semi-annually, annually).

Y

Floating rate reset frequency or dates

The dates or frequency at which the floating leg of the transaction resets (e.g., quarterly, semi-annually, annually).

Y

ii)   Currency derivatives

 

Exchange rate

Contractual rate(s) of exchange of the currencies.

Y

iii)  Commodity derivatives

 

Sub-asset class

Specific information to identify the type of commodity derivative (e.g., Agriculture, Power, Oil, Natural Gas, Freights, Metals, Index, Environmental, Exotic).

Y

Quantity

Total quantity in the unit of measure of an underlying commodity.

Y

Unit of measure

Unit of measure for the quantity of each side of the transaction (e.g., barrels, bushels, etc.).

Y

Grade

Grade of product being delivered (e.g., grade of oil).

Y

Delivery point

The delivery location.

N

Load type

For power, load profile for the delivery.

Y

Transmission days

For power, the delivery days of the week.

Y

Transmission duration

For power, the hours of day transmission starts and ends.

Y

C. Options

These additional fields are required to be reported for options transactions set out below, even if the information is entered in a Common Data field above.

Option exercise date

The date(s) on which the option may be exercised.

Y

Option premium

Fixed premium paid by the buyer to the seller.

Y

Strike price (cap/floor rate)

The strike price of the option.

Y

Option style

Indicate whether the option can be exercised on a fixed date or anytime during the life of the transaction (e.g., American, European, Bermudan, Asian).

Y

Option type

Put/call.

Y

D. Event Data

 

Action

Describes the type of event to the transaction (e.g., new transaction, modification or cancellation of existing transaction,

etc.).

N

Execution timestamp

The time and date of execution or novation of a transaction, expressed using Coordinated Universal Time (UTC).

Y (If available)

Post-transaction events

Indicate whether the transaction resulted from a post-transaction service (e.g. compression, reconciliation, etc.) or from a lifecycle event (e.g. novation, amendment, etc.).

N

Reporting timestamp

The time and date the transaction was submitted to the trade repository, expressed using UTC.

N

E. Valuation data

These additional fields are required to be reported on a continuing basis for all reported derivative transactions, including reported pre-existing transactions.

Value of transaction calculated by the reporting counterparty

Mark-to-market valuation of the transaction, or mark-to-model valuation

N

Valuation currency

Indicate the currency used when reporting the value of the transaction.

N

Valuation date

Date of the latest mark-to-market or mark-to-model valuation.

N

F. Other details

 

Other details

Where the terms of the transaction cannot be effectively reported in the above prescribed fields, provide any additional information that may be necessary.

Y

 

Appendix B to OSC Rule 91-507 – Trade Repositories and Derivatives Data Reporting Equivalent Trade Reporting Laws of Foreign Jurisdictions Subject to Deemed Compliance Pursuant to Subsection 26(5)

The Commission has determined that the laws and regulations of the following jurisdictions outside of Ontario are equivalent for the purposes of the deemed compliance provision in subsection 26(5).

Jurisdiction

Law, Regulation and/or Instrument

United States of America

CFTC Real-Time Public Reporting of Swap Transaction Data, 17 C.F.R. pt. 43 (2013).

CFTC Swap Data Recordkeeping and Reporting Requirements, 17 C.F.R. pt. 45 (2013).

CFTC Swap Data Recordkeeping and Reporting Requirements: Pre-Enactment and Transition Swaps, 17 C.F.R. pt. 46 (2013).

European Union

Regulation (EU) 648/2012 of the European Parliament and Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories

Commission Delegated Regulation (EU) No 148/2013 of 19 December 2012 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories with regard to regulatory technical standards on the minimum details of the data to be reported to trade repositories

Commission Delegated Regulation (EU) No 151/2013 of 19 December 2012 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories, with regard to regulatory technical standards specifying the data to be published and made available by trade repositories and operational standards for aggregating, comparing and accessing the data

Commission Implementing Regulation (EU) No 1247/2012 of 19 December 2012 laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories

 

Appendix C to OSC Rule 91-507 – Trade Repositories and Derivatives Data Reporting Requirements for the public dissemination of transaction level data

Instructions:

1.           A designated trade repository is required to disseminate to the public at no cost the information contained in Table 1 for each of the asset classes and underlying asset identifiers listed in Table 2 for:

    1. transaction reported to the designated trade repository pursuant to this Rule;
    2. lifecycle event that changes the pricing of an existing derivative reported to the designated trade repository pursuant to this Rule;
    3. cancellation or correction of previously disseminated data relating to a transaction referred to in paragraph (a) or a lifecycle event referred to in paragraph (b).

Table 1

Data field

Description

Cleared

Indicate whether the transaction has been cleared by a clearing agency.

Electronic trading venue identifier

Indicate whether the transaction was executed on an electronic trading venue.

Collateralization

Indicate whether the transaction is collateralized.

Unique product identifier

Unique product identification code based on the taxonomy of the product.

Contract or instrument type

The name of the contract of instrument type (e.g., swap, swaption, forwards, options, basis swap, index swap, basket swap, other).

Underlying asset identifier 1

The unique identifier of the asset referenced in the transaction.

Underlying asset identifier 2

The unique identifier of the second asset referenced in the transaction, if more than one.

If more than two assets identified in the transaction, report the unique identifiers for those additional underlying assets.

Asset class

Major asset class of the product (e.g., interest rate, credit, commodity, foreign exchange, equity, etc.).

Effective date or start date

The date the transaction becomes effective or starts.

Maturity, termination or end date

The date the transaction expires.

Payment frequency or dates

The dates or frequency the transaction requires payments to be made (e.g., quarterly, monthly).

Reset frequency or dates

The dates or frequency at which the price resets (e.g., quarterly, semi-annually, annually).

Day count convention

Factor used to calculate the payments (e.g., 30/360, actual/360).

Price 1

The price, yield, spread, coupon, etc., of the transaction. The price/rate should not include any premiums such as commissions, collateral premiums, accrued interest, etc.

Price 2

The price, yield, spread, coupon, etc., of the transaction. The price/rate should not include any premiums such as commissions, collateral premiums, accrued interest, etc.

Price notation type 1

The manner in which the price is expressed (e.g., percent, basis points, etc.).

Price notation type 2

The manner in which the price is expressed (e.g., percent, basis points, etc.).

Notional amount leg 1

Total notional amount(s) of leg 1 of the transaction.

Notional amount leg 2

Total notional amount(s) of leg 2 of the transaction.

Currency leg 1

Currency(ies) of leg 1.

Currency leg 2

Currency(ies) of leg 2.

Settlement currency

The currency used to determine the cash settlement amount.

Embedded option

Indicate whether the option is an embedded option.

Option exercise date

The date(s) on which the option may be exercised.

Option premium

Fixed premium paid by the buyer to the seller.

Strike price (cap/floor rate)

The strike price of the option.

Option style

Indicate whether the option can be exercised on a fixed date or anytime during the life of the transaction. (e.g., American, European, Bermudan, Asian).

Option type

Put, call.

Action

Describes the type of event to the transaction (e.g., new transaction, modification or cancellation of existing transaction, etc.).

Execution timestamp

The time and date of execution or novation of a transaction, expressed using Coordinated Universal Time (UTC).

Table 2

Asset Class

Underlying Asset Identifier

Interest Rate

CAD-BA-CDOR

USD-LIBOR-BBA

EUR-EURIBOR-Reuters

GBP-LIBOR-BBA

Credit

All Indexes

Equity

All Indexes

Exclusions:

2.           Notwithstanding item 1, each of the following is excluded from the requirement to be publicly disseminated:

    1. a transaction in a derivative that requires the exchange of more than one currency;
    2. a transaction resulting from a bilateral or multilateral portfolio compression exercise;
    3. a transaction resulting from novation by a recognized or exempt clearing agency;

Rounding:

3.           A designated trade repository must round the notional amount of a transaction for which it disseminates transaction level data pursuant to this Rule and this Appendix in accordance with the rounding conventions contained in Table 3.

Table 3

Reported Notional Amount Leg 1 or 2

Rounded Notional Amount

<1,000

Round to nearest 5

>1,000, <10,000

Round to nearest 100

>10,000, <100,000

Round to nearest 1,000

>100,000, <1 million

Round to nearest 10,000

>1 million, <10 million

Round to nearest 100,000

>10 million, <50 million

Round to nearest 1 million

>50 million, <100 million

Round to nearest 10 million

>100 million, <500 million

Round to nearest 50 million

>500 million, <1 billion

Round to nearest 100 million

>1 billion, <100 billion

Round to nearest 500 million

>100 billion

Round to nearest 50 billion

Capping:

4.           Where the rounded notional amount of a transaction, as set out in Table 3, would exceed the capped rounded notional amount in CAD of that transaction as set out in Table 4, a designated trade repository must disseminate the capped rounded notional amount for the transaction in place of the rounded notional amount.

5.           When disseminating transaction level data pursuant to this Rule and this Appendix, for a transactions to which item 4 applies, a designated trade repository must indicate that the notional amount for a transaction has been capped.

6.           For each transaction for which the capped rounded notional amount is disseminated, if the information to be disseminated includes an option premium, a designated trade repository must adjust the option premium in a manner that is consistent and proportionate relative to the capping and rounding of the reported notional amount of the transaction.

Table 4

Asset Class

Maturity Date less Effective Date

Capped Rounded Notional Amount in CAD

Interest Rate

Less than or equal to two years

250 million

Interest Rate

Greater than two years and less than or equal to ten years

100 million

Interest Rate

Greater than ten years

50 million

Credit

All dates

50 million

Equity

All dates

50 million

Timing:

7.           A designated trade repository must disseminate the information contained in Table 1 48 hours after the time and date represented by the execution timestamp field of the transaction.