9 - Derivatives

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 entities. (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, an 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 Ontario or Quebec, 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 Ontario or Quebec, 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

1. Common Data

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

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

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

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

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

Y