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      Canada - Equity Options Reporting

      Reporting Equity Options on Baskets – Clarification for Canada

      While equity options are not reportable in the U.S., they are reportable in Canada.  Reporting approach for equity options written on a basket of single-name equities, where the payoff is determined solely by the worst-performing stock at maturity.

      Scenario:
      A basket equity option references 2 shares—ABC and CDE. At maturity, only the worst-performing stock is used for settlement. The other constituent does not affect the payout.

      Reporting Approach:
      For new trades, since the payout driver is unknown at inception, we propose reporting the number of units per constituent as an undefined maximum:

      • Action type: NEWT

      • Event type: TRAD

      • Basket Constituents: ABC ISIN, CDE ISIN

      • Units: 999999999999.999999999 each

      • Unit of Measure: SHAS

      Upon exercise, if ABC is identified as the worst-performing stock:

      • Action type: TERM

      • Event type: EXER

      • Units: Actual quantity for ABC; zero for CDE

      UPI :
      Use template #94 (Equity.Option.Non_Standard) with exotic attributes reflecting path dependency and strike reset (T–1 close). This produces a unique UPI (e.g., QZLXG6QL4X6W).

       Equity 
       Option
       Non_Standard
       US5949724083
       Put
       American
       Other Path Dependent
       Settlement type = Physical