REGULATION TO AMEND REGULATION 91-507 RESPECTING TRADEREPOSITORIES AND DERIVATIVES DATA REPORTING

Derivatives Act(chapter I-14.01, s. 175, 1st par., subpar. (2), (3), (9), (11), (12) and (29))

1.
Section 1 of Regulation 91-507 respecting Trade Repositories and Derivatives
Data Reporting (chapter I-14.01, r. 1.1) is amended:(1)
by replacing, in paragraph (1), in paragraph (c) of the definition of theexpression “local counterparty”, the word “party” with the word “person”;(2)

by replacing paragraph (3) and (4) with the following:“(3) In this Regulation, a person is considered to be an affiliate ofanother person if one of them controls the other, or if each of them is controlled by thesame person.
“(4) In this Regulation, a person (the first party) is considered to control
another person (the second party) if any of the following apply:(a)the first party beneficially owns or directly or indirectly
exercises control or direction over securities of the second party carrying votes which, if
exercised, would entitle the first party to elect a majority of the directors of the second
party unless the first party holds the voting securities only to secure an obligation;(b)
the second party is a partnership, other than a limited
partnership, and the first party holds more than 50% of the interests of the partnership;(c)the second party is a limited partnership and the generalpartner of the limited partnership is the first party.”;(3)

by repealing paragraph (5).

2.

Section 1.1 of the Regulation is repealed.

3.

Section 2 of the Regulation is amended, in the French text of paragraph (2):(1)
by replacing, in subparagraph (a), the words “livres et dossiers” with theword “dossiers”;(2)
by replacing, in subparagraph (i) of subparagraph (b), the words “livres etdossiers” with the word “dossiers”.
4.

Section 4 of the Regulation is amended, in paragraph (2):(1)
by inserting, in subparagraph (iii) of subparagraph (a) and after the words“United States of America”, the words “or under the laws of a jurisdiction of the UnitedStates of America”;(2)
by inserting, in subparagraph (iii) of subparagraph (d) and after the words“United States of America”, the words “or under the laws of a jurisdiction of the UnitedStates of America”.
5.
Section 5 of the Regulation is amended by inserting, in subparagraph (iii) of
subparagraph (a) of paragraph (3) and after the words “United States of America”, thewords “or under the laws of a jurisdiction of the United States of America”.

6.

Section 20 of the French text of the Regulation is amended:(1)

by replacing the heading with the following:“Risque d’activité”;(2)
by replacing, in paragraph (1), the words “risque économique général”
with the words “risque d’activité”.
7.
Section 23 of the Regulation is amended by replacing, in paragraph (1), the word
“Regulations” with the word “rules”.
8.

Section 26 of the Regulation is amended:(1)

by replacing subparagraph (a) of paragraph (5) with the following:“(a)either(i)the transaction is required to be reported solely because acounterparty to the transaction is a local counterparty pursuant to paragraph (b) or (c) of
the definition of “local counterparty”, or(ii)

the transaction is between(A)
a local counterparty that is neither a reporting
clearing house, nor a person subject to the registration requirement as a dealer under theAct, nor a Canadian financial institution, and(B)
an affiliate of the local counterparty which is neither
a reporting clearing house nor a person subject to the registration requirement as a dealer
under the Act nor a Canadian financial institution and such affiliate is organized under
the laws of a jurisdiction outside of Canada and has its head office or principal place ofbusiness outside of Canada; and”;(2)

by replacing subparagraph (a) of paragraph (6) with the following :“(a) is reported to the same recognized trade repository and, if reported
to the Authority under subsection (4), to the Authority, and”;(3)

in paragraph (9):(a)
by replacing, in the part preceding subparagraph (a), the words“recognized or exempt” with the word “reporting”;(b)by replacing, in subparagraph (a), the words “the recognized or
exempt” with the word “a reporting”;(c)by replacing, in subparagraph (b), the words “recognized or
exempt” with the word “reporting”.
9.
Section 28 of the Regulation is amended by adding, after paragraph (3), thefollowing:“(4) If a counterparty to a transaction 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 paragraph (4) applies, then despite paragraph (1), the recognized traderepository must identify such a counterparty with the alternate identifier supplied by thereporting counterparty.”.

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10.

The Regulation is amended by inserting, after section 28, the following:“28.1. Each local counterparty to a transaction that is required to be reported
under this Regulation must obtain a legal identity identifier, if eligible to receive one,assigned to the counterparty in accordance with the standards set by the Global Legal
entity Identifier System.”.
11.
Section 33 of the Regulation is amended by replacing subparagraphs (a) and (b) ofparagraph (1) with the following:“(a) daily, based on relevant closing market data from the previous businessday, if the reporting counterparty is either a reporting clearing house or a person subject
to the registration requirement as a dealer under the Act, or a Canadian financial
institution, or“(b) quarterly, as of the last day of each calendar quarter, if the reporting
counterparty is neither a reporting clearing house, nor a person subject to the registration
requirement as a dealer under the Act, nor a Canadian financial institution.”.
12.
Section 38 of the Regulation is amended by replacing, in the French text ofparagraph (1), the words “aux données sur tous les dérivés pertinents” with the words “àtoutes les données pertinentes sur les dérivés”.
13.

Section 39 of the Regulation is amended:(1)
by replacing, in paragraph (1), the words “and price” with the words “and,where applicable, price”;(2)

by replacing paragraph (3) with the following:“(3) For each transaction reported pursuant to this Regulation, arecognized trade repository must make transaction level reports available to the public at
no cost, in accordance with the requirements in Appendix C.”;(3)

by deleting, in paragraph (6), the word “legal”.

14.
Section 40 of the Regulation is amended by replacing paragraph (b) with thefollowing:“(b) the local counterparty is neither a reporting clearing house, nor a person
subject to the registration requirement as a dealer under the Act, nor a Canadian financial
institution, and”.
15.

The Regulation is amended by inserting, after section 40, the following:“Inter-affiliate transactions

40.1. Despite any other section of this Regulation, a local counterparty is under
no obligation to report derivatives data in relation to a transaction if,(a)the transaction is between affiliated persons,(b)neither counterparty to the transaction is a reporting clearing house,nor a person subject to the registration requirement as a dealer under the Act, nor a
Canadian financial institution, and(c)each counterparty to the transaction is a local counterparty pursuant
to the securities legislation of a jurisdiction of Canada.”.
16.

Appendix A of the Regulation is amended:(1)

by deleting, in the table, the title and the content of the third column;3

(2)by replacing, in the text of the second column of line 11, the word
“entities” with the word “persons”;(3)

by replacing the text of the second column of line 13 with the following:“LEI of the reporting counterparty or, in the case of a counterparty that is
not eligible to receive a LEI, an alternate identifier.”;(4)

by replacing the text of the second column of line 14 with the following:“LEI of the non-reporting counterparty or, in the case of a counterparty
that is not eligible to receive a LEI, an alternate identifier.”;(5)

on line 2 of section A:(a)

by replacing the text of the first column with the following:“Contract or instrument type”;(b)by replacing, in the second column, the word “transaction” with thewords “contract or instrument”;(6)
following:by replacing the text of the first column of line 4 of section D with the“Reporting timestamp”.
17.

The Regulation is amended by adding, after Appendix B, the following:“Appendix C
Recognized trade repository requirements for the publicdissemination of derivatives data
Instructions:1.

A recognized 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:a) a transaction reported to the recognized trade repository pursuant to thisRegulation;b) a lifecycle event that changes the pricing of an existing derivative reported to
the recognized trade repository pursuant to this Regulation;c) a cancellation or correction of previously disseminated data relating to atransaction or lifecycle event listed in (a) or (b).

Table 1
Data field

Indicate whether the transaction has been cleared by aclearing house.

ClearedElectronic
identifier

Description

trading

Collateralization

venue Indicate whether the transaction was executed on anelectronic trading venue.
Indicate whether the transaction is collateralized.
Field Values:● Fully (initial and variation margin required to be posted
by both parties),
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Data field

Description● Partially (variation only required to be posted by bothparties),● One way (one party will be required to post some form ofcollateral),● Uncollateralized.

Unique product identifier

Unique product identification code based on the taxonomy ofthe product.

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).

Underlying asset identifier 1

The unique identifier of the asset referenced in thetransaction.

Underlying asset identifier 2

The unique identifier of the second asset referenced in thetransaction, if more than one. If more than 2 assets identified
in the transaction, report the unique identifiers for thoseadditional 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
The date the transaction expires.
date
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 1The price, yield, spread, coupon, etc., of the transaction. The
price/rate should not include any premiums such ascommissions, collateral premiums, accrued interest, etc.

Price 2The price, yield, spread, coupon, etc., of the transaction. The
price/rate should not include any premiums such ascommissions, 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.

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Data field

Description

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 dateor anytime during the life of the transaction (e.g., American,
European, Bermudan, Asian).

Option typePut, call.

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

Execution timestamp

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

Table 2
Asset classInterest rate

CreditEquityUnderlying asset identifier
CAD-BA-CDOR
USD-LIBOR-BBA
EUR-EURIBOR-Reuters
GBP-LIBOR-BBA
All indexes
All indexes

Exemptions:2.

Notwithstanding item 1, each of the following is exempt from the requirement to be
publicly disseminated:a) a transaction in a derivative that requires the exchange of more than one
currency;b) a transaction resulting from a multilateral portfolio compression exercise;c) a transaction resulting from novation by a reporting clearing house.

Rounding:
3.

A recognized trade repository must round the notional amount of a transaction forwhich it disseminates transaction level data under this Appendix in accordancewith the rounding conventions contained in Table 3.

Table 3
Reported notional amount leg 1 or 2
< 1,000=>1,000, <10,000=>10,000, <100,000=>100,000 <1 million

Rounded notional amountRound to nearest 5
Round to nearest 100
Round to nearest 1,000
Round to nearest 10,000
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=>1 million, <10 million=>10 million, <50 million=>50 million, <100 million=>100 million, <500 million=>500 million, <1 billion=>1 billion, <100 billion>100 billion

Round to nearest 100,000
Round to nearest 1 million
Round to nearest 10 million
Round to nearest 50 million
Round to nearest 100 million
Round to nearest 500 million
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 recognized 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 according to this Appendix, arecognized trade repository must indicate that the notional amount for atransaction has been capped.

6.

For each transaction where the capped rounded notional amount is disseminated, arecognized trade repository must adjust the option premium, in a consistent andproportionate manner.

Table 4
Asset classInterest rate
Interest rate

Interest rate
CreditEquityMaturity date less effective Capped roundeddateamount in CAD
250M
Less than or equal to 2 years(746 days)
100M
Greater than2
years
(746 days) and less than or
equal
to
10
years
(3,668 days)
50M
Greater than 10 years (3,668
days)
50M
All dates
50M
All dates

notional

Timing:
7.

A recognized trade repository must disseminate the information contained inTable 1 no later than:a) the end of the day following the day on which it receives the data from thereporting counterparty to the transaction, if one of the counterparties to thetransaction is a reporting clearing house, a person subject to the registration
requirement as a dealer under the Act, or a Canadian financial institution, orb) the end of the second day following the day on which it receives the data fromthe reporting counterparty to the transaction in all other circumstances.”.

18.

Form 91-507F1 of the Regulation is amended:(1)
by replacing, in the French text of paragraph (1) of item 5 of Exhibit A, thewords “lives et dossiers” with the word “dossiers”;

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(2)by replacing, in subparagraph (c) of paragraph (6) of item 2 of Exhibit D,
the words “the U.S.” with the words “the United States of America or under the laws of ajurisdiction of the United States of America”.
19.
Form 91-507F2 of the Regulation is amended by replacing, in the French text of
item 6, the word “reconnaît” with the word “désigne”.
20.
This Regulation comes into force on (indicate here the date of coming into forceof this Regulation).

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