Common to All Derivatives (or in the US Swaps)

Transcription

1 Comparison to Selected Canadian Provinces: Ontario, Manitoba and Quebec Derivatives Data Reporting Requirements to the Derivatives Data Reporting Requirements of the European Union (European Market Infrastructure Regulation EMIR ) and United States (Dodd-Frank Act implemented through the CFTC s Derivatives/ Swap Data Reporting Regimes Requirement CFTC Rule implementing the Dodd-Frank Act Jurisdiction EMIR (EU) Ontario Quebec Manitoba 1 Individual swap identifier Yes - A Unique Swap Identifier ( USI ) as provided for under 45.5 of the CFTC s Regulations 2 Individual entity identifier of the reporting Yes - a Legal Entity Identifier ( LEI ) of the Reporting Counterparty as mentioned under If the CFTC has not assigned one then the internal repository identifier is used. Common to All Derivatives (or in the US Swaps) Yes Unique Trade ID, Yes requires a unique code, a client code in the case of an individual. Must include the name of the reporting if the ID does not contain it 3 Corporate sector of the reporting No Yes Ex. bank, insurance company 4 Indication of whether the reporting is a swap dealer in the US and a derivatives dealer in the selected Canadian provinces with respect to the swap or the derivative 5 Indication of whether the reporting is a major swap participant with respect to the swap 6 If the reporting is not a swap dealer or a major swap participant with respect to the swap, an indication of whether the reporting is a financial entity in the US or a financial in the EU Yes a unique transaction identifier Yes No Yes indicate whether the reporting is a derivatives dealer Yes a unique transaction identifier Yes - LEI Yes - LEI Yes - LEI Yes indicate whether the reporting is a derivatives dealer Yes Yes financial entity as defined in CEA 2(h)(7)(C) Yes in accordance with points 8 and 9 of Article 2 of EMIR 7 An indication of whether the reporting Yes a U.S. person Yes need the full is a domestic person address 8 Indication the swap will be allocated Yes 9 Broker ID No Yes If a broker acts as an intermediary without becoming a Yes LEI of a broker who is not a Yes LEI of a broker who is not a 10 Reporting entity ID No Yes if the reporting has delegated submission of the report to a third party Yes a unique transaction identifier Yes indicate whether the reporting is a derivatives dealer Yes LEI of a broker who is not a

2 11 Clearing member ID No Yes in the case a reporting is not a clearing member 12 Beneficiary ID No Yes the party subject to the rights and obligations arising from the contract. If an entity with many beneficiaries (like a trust) then indicate the type of entity. 13 Trading capacity of reporting No Yes is the reporting a principal using their own account or an agent 14 Counterparty side No Yes identifies whether the contract was buy or sell 15 Directly linked to commercial activity or treasury No Yes as referred to in financing 16 If the swap will be allocated, or is a postallocation swap, the Individual Entity Identifier of the agent 17 An indication that the swap is a post-allocation swap 18 If the swap is a post-allocation swap, the individual swap identifier of the original transaction between the reporting and the agent 19 The Individual Entity Identifier of the nonreporting 20 If there is no regulator approved Individual Entity Identifier for the non-reporting, then the internal identifier of the repository 21 Indication of whether the non-reporting is a swap dealer with respect to the swap 22 Indication of whether the non-reporting is a major swap participant with respect to the swap Yes the LEI, same procedure as LEI requirements for a reporting Yes - LEI of the clearing member if they are not a Yes - LEI of the clearing member if they are not a Yes indicates if the reporting was the buyer or seller Yes indicates if the reporting was the buyer or seller Article 10(3) of EMIR Yes Yes the USI as provided in 45.5 Yes the LEI as provided in 45.6 Yes Yes LEI Yes LEI Yes LEI Yes if the repository does not yet have an identifier for the nonreporting then the space is left blank and filled in once the repository assigns an identifier Yes Yes Yes - LEI of the clearing member if they are not a Yes indicates if the reporting was the buyer or seller

3 23 If the non-reporting is not a swap dealer or a major swap participant with respect to the swap, an indication of whether the nonreporting is a financial 24 An indication of whether the non-reporting is a domestic person Yes as defined in US Commodity Exchange Act 2(h)(7)(C) Yes a U.S. person 25 A product identifier assigned to the swap Yes a Unique Product Identifier ( UPI ) as under If no product identifier because the swap is not sufficiently standardized a taxonomic description of the swap 27 If no product identifier because it has not been created yet, then the repository description Yes pursuant to the CFTC approved product classification system Yes either in the form of the repository s internal identifier or description 28 An indication that the swap is a multi-asset swap Yes - Field values: Yes, Not applicable 29 For a multi-asset swap, an indication of the primary asset class 30 For a multi-asset swap, an indication of the secondary asset class Yes - Generally, the asset class traded by the desk trading the swap for the reporting. Field values: credit, equity, FX, rates, other commodity Yes - Field values: credit, equity, FX, rates, other commodity Yes is the other domiciled outside European Economic Area. Yes - indicate if they are a local Yes - indicate if they are a local Yes the underlying No 31 Indication the swap is a mixed swap Yes Field values: Yes, Not applicable 32 For a mixed swap reported to two non-dually registered swap data repositories, the identity of the other swap data repository to which the swap is or will be reported Yes 33 Contract type Yes - Ex. swap, forward, option, vanilla option etc. 34 Block trade indicator Yes indicate whether or not a swap qualifies as a block trade or large notional swap, enter N/A until the CFTC determines the appropriate minimum block size No Yes - indicate if they are a local

4 35 Clearing threshold No Yes is the reporting the clearing threshold as in Article 10(2) of EMIR 36 Action No No Yes Ex. new transaction, modification, cancellation 37 Execution time stamp Yes using Coordinated Universal Time ( UCT ) 38 Execution venue Yes - The facility or designated contract market on or pursuant to the rules of which a swap was executed. Field values: Identifier or name of venue or off-facility if not so executed. 39 Start date Yes date the swap goes into effect, not necessary for foreign exchange transactions 40 Maturity, termination or end date Yes the date on which the swap expires or settles 41 Timestamp for submission to swap data repository Yes submitted in using UCT and recorded automatically wherever possible 42 Clearing indicator Yes a yes/no indication of whether the swaps will be cleared by a derivatives clearing organization 43 Clearing vendor Yes identifier or name of derivatives clearing organization Yes Ex. new transaction, modification, cancellation Yes Ex. new transaction, modification, cancellation Yes Yes using UCT Yes using UCT Yes using UCT Yes Yes, if maturity, termination, or settlement date are different they shall be reported separately Yes and an indication of manual or electronic confirmation Yes signifies if there is an clearing obligation under Regulation (EU) 648/2012 Yes unique code for the CCP that has cleared the contract 44 Cleared No Yes indicates if the swap has been cleared 45 Clearing timestamp No Yes time and date of clearing Yes using UTC Yes using UTC Yes using UTC Yes LEI required of the clearing agency Yes LEI required of the clearing agency Yes in UTC Yes in UTC Yes in UTC Yes LEI required of the clearing agency

5 46 Intragroup No Yes indicates if the swap was entered into as an intragroup transaction as per Article 3 of Regulation (EU) 648/ If the swap will not be cleared an indication of exception election. 48 Identity of the electing the exception Yes an indication if the exception under CEA 2(h)(7) Yes - Field values: LEI or 49 Indication of collateralization Yes - Is the swap collateralized? And if so to what extent? Field values: Uncollateralized, partially collateralized, one-way collateralized, fully collateralized 50 Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap Yes - Ex. early termination option clause, use as many fields as necessary to report such term(s) Yes inter-affiliate transaction indicator Yes inter-affiliate transaction indicator No Yes must also include whether collateralization was performed on a portfolio basis netted out v. per trade (if so the code for the portfolio) and the value of collateral posted Yes Field values: Fully, partially, one-way, uncollateralized. Yes Field values: Fully, partially, one-way, uncollateralized. Yes 51 Mark to market value of contract No 52 Currency of mark to market value of contract No Yes 53 Valuation date of last mark to market or mark to No model valuation 54 Valuation time of last mark to market or mark to No Yes model valuation 55 Valuation type, mark to market or mark to model No valuation 56 Compression No Yes identify if contract results from a compression exercise Yes identify if contract results from a compression exercise or reconciliation exercise as well Yes identify if contract results from a compression exercise or reconciliation exercise as well 57 Quantity of contracts included in the report No Yes 58 Master agreement type Ex. ISDA No 59 Master agreement version No 60 Deliverable currency No Yes Yes settlement currency 61 Electronic trading venue identifier No No Yes LEI or, if not available, the name of the venue Yes settlement currency Yes LEI or, if not available, the name of the venue Yes inter-affiliate transaction indicator Yes Field values: Fully, partially, one-way, uncollateralized. Yes identify if contract results from a compression exercise or reconciliation exercise as well Yes settlement currency Yes LEI or, if not available, the name of the venue

6 62 Asset class No No Yes - major class of product Ex. interest rate, credit Yes - major class of product Ex. interest rate, credit Yes - major class of product Ex. interest rate, credit 63 Embedded option No No Yes indicate yes or no Yes indicate yes or no Yes indicate yes or no 64 Indication of the purchasing protection Yes Field values: LEI or 65 Indication of the selling protection Yes Field values: LEI or 66 Information identifying the reference entity Yes - The entity that is the subject of the protection being sought by the swap. Field values: LEI, substitute identifier, or name Credit and Equity Swaps 67 Price Yes Ex. strike price Yes excluding commission and interest 68 Notional amount and currency in which it is Yes expressed 69 Amount and currency of any upfront payments and its currency Yes and its currency Yes and its currency 70 Payment frequency of the reporting Yes description of the payment stream 71 Payment frequency of the non-reporting Yes - description of the payment stream Foreign Exchange Transactions 72 Currency 1 Yes ISO code 73 Currency 2 Yes ISO code 74 Notional amount 1 Yes For currency 1 75 Notional amount 2 Yes For currency 2 76 Exchange rate Yes - Contractual rate of exchange of the currencies 77 Delivery type Yes - Physical (deliverable) or cash (non-deliverable) Yes Yes - Contractual rate of exchange of the currencies Yes - Contractual rate of exchange of the currencies Yes - Contractual rate of exchange of the currencies Yes Yes cash or physical Yes cash or physical Yes cash or physical 78 Cross currency if different from delivery currency No Yes 79 Forward exchange rate on value date No Yes 80 Exchange rate basis quote base for exchange rate No Yes Interest Rate Swaps 81 Day count convention Yes No

7 82 Notional amount (leg 1) Yes the current active notional amount 83 Notional currency (leg 1) Yes ISO code 84 Notional amount (leg 2) Yes the current active notional amount 85 Notional currency (leg 2) Yes ISO code 86 Payer (fixed rate) Yes is the reporting party a fixed rate payer? Yes/No/Not applicable 87 Payer (floating rate leg 1) Yes - If two floating legs the payer for leg 1 88 Payer (floating rate leg 2) Yes - If two floating legs the payer for leg 2 89 Direction Yes for swaps it is whether the principal is paying or receiving the fixed rate. Float-to-float and Fixed-to-fixed indicate N/A. For nonswap instruments indicate the instrument that was bought or sold. 90 Option type Yes Ex. put, call 91 Fixed rate Yes Yes and of leg 1 and Yes and of leg 1 and Yes and of leg 1 and Yes and of leg 1 and 92 Fixed rate day count fraction Yes Ex. actual Fixed leg payment frequency No 94 Floating rate payment frequency Yes 95 Floating rate reset frequency Yes 96 Floating rate index name/rate period Yes Ex. USD-Libor- BBA 97 Buyer the purchasing the product Yes - Field values: LEI or 98 Seller the offering the product Yes - Field values: LEI or Yes - and of leg 1 and Yes - and of leg 1 and Yes - and of leg 1 and Other Commodity Swaps Yes - and of leg 1 and 99 Sub-asset class specific information No No Yes Ex. Agriculture Yes Ex. Agriculture Yes Ex. Agriculture 100 Quantity unit of measure Yes - Ex. barrels, tons 101 Quantity of commodity quoted on swap Yes 102 Quantity frequency, the rate at which the Yes Ex. hourly, weekly quantity is quoted on the swap 103 Total quantity for the entire term of swap Yes 104 Settlement method Yes Cash or physical Yes including delivery Yes cash or physical as Yes cash or physical as Yes cash or physical as

8 points and interconnection points and delivery start and end dates 105 Price Yes Yes excluding commission and interest 106 Price unit - Unit of measure applicable to the well as location and connection points for physical delivery well as location and connection points for physical delivery Yes price of the swap 107 Price currency Yes ISO code No 108 Buyer pay index Yes 109 Buyer pay averaging method Yes 110 Seller pay index Yes 111 Seller pay averaging method Yes 112 Grade of commodity if applicable Yes 113 Option type Yes Ex. put, call 114 Option style Yes Ex. American, European 115 Option premium Yes 116 Hours from through Yes for electric power, the hours of the day the swap is effective 117 Hours from through time zone Yes for electric power, the prevailing time zone 118 Days of week Yes for electric power, profile applicable for the delivery of electric power 119 Load type Yes for electric power, the load profile well as location and connection points for physical delivery