Securities Law & Instruments

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AMENDMENTS TO
ONTARIO SECURITIES COMMISSION RULE 91-507
TRADE REPOSITORIES AND DERIVATIVES DATA REPORTING



1. Ontario Securities Commission Rule 91-507 Trade Repositories and Derivatives Data Reporting is amended by this Instrument.

2. Section 25 is amended

(a) by replacing subsection (1) with the following:

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

(a) if the transaction is cleared through a recognized or exempt clearing agency, the recognized or exempt clearing agency,

(b) 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,

(c) if paragraphs (a) and (b) do not apply to the transaction and the transaction is between two derivatives dealers, each derivatives dealer,

(d) 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,

(e) if paragraphs (a) to (d) do not apply to the transaction, the counterparty determined to be the reporting counterparty under the ISDA methodology, and

(f) in any other case, each local counterparty to the transaction.

(b) by adding the following subsections:

(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

(a) each party to the transaction has agreed to the terms of a multilateral agreement

(i) that is administered by and delivered to the International Swaps and Derivatives Association, Inc., and

(ii) 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,

(b) the ISDA methodology process is followed in determining the reporting counterparty in respect of that transaction, and

(c) 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).

3. Section 34 is amended by replacing "party" with "counterparty" wherever it occurs.

4. Subsection 39(1) is amended by adding ", where applicable," before "price".

5. Appendix A is replaced with the following:

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 Public Dissemination

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.

N

Y

 

Master agreement type

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

N

N

 

Master agreement version

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

N

N

 

Cleared

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

Y

Y

 

Intent to clear

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

N

N

 

Clearing agency

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

N

Y

 

Clearing member

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

N

N

 

Clearing exemption

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

Y

N

 

Broker/Clearing intermediary

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

N

N

 

 

 

 

Y

 

Electronic trading venue identifier

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

(Only "Yes" or "No" shall be publicly disseminated)

Y

 

Inter-affiliate

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

N

N

 

 

Indicate whether the transaction is collateralized.

 

 

 

Field Values:

 

 

 

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

 

 

Collateralization

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

 

 

 

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

 

 

 

Uncollateralized.

Y

N

 

Identifier of reporting counterparty

LEI of the reporting counterparty or, in case of an individual, its client code.

N

Y

 

Identifier of non-reporting counterparty

LEI of the non-reporting counterparty or, in case of an individual, its client code.

N

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.

N

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

N

 

Jurisdiction of reporting counterparty

If the reporting counterparty is a local counterparty under the derivatives data reporting rules of one or more provinces of Canada, indicate all of the jurisdictions in which it is a local counterparty.

N

N

 

Jurisdiction of non-reporting counterparty

If the non-reporting counterparty is a local counterparty under the derivatives data reporting rules of one or more provinces of Canada, indicate all of the jurisdictions in which it is a local counterparty.

N

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.

Y

N

 

Transaction type

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

Y

Y

 

Underlying asset identifier 1

The unique identifier of the asset referenced in the transaction.

Y

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

Y

 

Asset class

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

Y

N

 

Effective date or start date

The date the transaction becomes effective or starts.

Y

Y

 

Maturity, termination or end date

The date the transaction expires.

Y

Y

 

Payment frequency or dates

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

Y

Y

 

Reset frequency or dates

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

Y

Y

 

Day count convention

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

Y

Y

 

Delivery type

Indicate whether transaction is settled physically or in cash.

N

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

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

Y

 

Price notation type 1

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

Y

Y

 

Price notation type 2

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

Y

Y

 

Price multiplier

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

N

N

 

Notional amount leg 1

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

Y

Y

 

Notional amount leg 2

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

Y

Y

 

Currency leg 1

Currency(ies) of leg 1.

Y

Y

 

Currency leg 2

Currency(ies) of leg 2.

Y

Y

 

Settlement currency

The currency used to determine the cash settlement amount.

Y

Y

 

Up-front payment

Amount of any up-front payment.

N

N

 

Currency or currencies of up-front payment

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

N

N

 

Embedded option

Indicate whether the option is an embedded option.

Y

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.

N

Y

 

Fixed rate leg 2

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

N

Y

 

Floating rate leg 1

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

N

Y

 

Floating rate leg 2

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

N

Y

 

Fixed rate day count convention

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

N

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).

N

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).

N

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).

N

Y

ii) Currency derivatives

 

 

 

 

 

Exchange rate

Contractual rate(s) of exchange of the currencies.

N

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

Y

 

Quantity

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

Y

Y

 

Unit of measure

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

Y

Y

 

Grade

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

N

Y

 

Delivery point

The delivery location.

N

N

 

Load type

For power, load profile for the delivery.

N

Y

 

Transmission days

For power, the delivery days of the week.

N

Y

 

Transmission duration

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

N

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

Y

 

Option premium

Fixed premium paid by the buyer to the seller.

Y

Y

 

Strike price (cap/floor rate)

The strike price of the option.

Y

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

Y

 

Option type

Put/call.

Y

Y

 

D. Event Data

 

 

 

 

 

Action

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

Y

N

 

Execution timestamp

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

Y

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

N

 

Reporting date

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

N

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

N

Valuation currency

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

N

N

 

Valuation date

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

N

N

 

F. 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.

N

Y

6. Appendix B is replaced with the following:

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

 

 

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

United States of America

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).

 

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7. This Instrument comes into force on September 9, 2014.