Timeliness calculations - Canada

This article describes the factors that are considered to determine whether a submission is considered to be on time per Canadian regulations.

What do the timeliness indicators mean?

•  - an accepted message that was reported on time
• - any message where there is more than 1 hour left to report
• - any message with less than 1 hour left to report
•  means the submission is late
•  means calculating timeliness does not apply for the message
• means missing and/or invalid values were submitted for the fields needed to calculate timeliness 

How is timeliness calculated? 

KOR TRs

When a message is submitted to the repository, KOR calculates the time it was required to be submitted based on information provided on the message and the applicable regulations. 

A message needs to be accepted AND validated to be on time. Submitting a message with rejections before the required submission timestamp does not count - the clean resubmission of that message will be considered on time only if it passes all validations before the required submission timestamp.

KOR RS 

When KOR Reporting Services (KOR RS) submits a message to a Trade Repository (TR), timeliness is determined based on the output submitted timestamp recorded when the message is sent to the TR. This timestamp validates that the message was submitted within the required reporting timeframe. The TR acceptance timestamp is not used for timeliness calculations, as processing times at the TR can vary and may take several minutes or longer. This ensures accurate measurement of compliance with reporting deadlines, independent of TR processing delays. The TR must ack the message for KOR to calculate an on time report.

What is a Business Day under Canada Reporting Rules?

A business day is any day other than a Saturday, Sunday or statutory holiday (per CP1's provincial regulator). 

Midnight is per the timezone of CP1's provincial regulator.

Where the report is applicable to multiple local counterparty provinces, the nearest timeline shall apply.

How KOR calculates the Required Submission Timestamp 

KOR determines timeliness based on the ExecutionTimestamp, ValuationTimestamp or the EventTimestamp combined with the Qualified Reporting Counterparty Indicator.  

Qualified Reporting Counterparty Indicator: Means a reporting counterparty that is any of the following:
(a) a derivatives dealer;
(b) a recognized or exempt clearing agency;
(c) an affiliated entity of a person or company referred to in paragraph (a) or (b). 

CA Creation Data Timeliness

This logic applies to messages where:

• MessageType = Transaction
• Action type = NEWT
• Event type ≠ PTNG

CA Continuation Data Timeliness

This logic applies to messages where:

• Message type = Transaction
• Action type ≠ NEWT
• Event type ≠ CORR

CA Cleared Termination Timeliness

This logic applies to messages where:

• Message type = Transaction
• Action type = TERM
• Event type = CLRG

Rule	Counterparty 1 designation	Required submission timestamp
91-507 CP 32(4)	CA	the recognized or exempt clearing agency through which a derivative is cleared must report the termination of the original derivative to the designated trade repository to which the derivatives data in respect of that original derivative was reported by the end of the business day following the day on which the original derivative is terminated.. EOD of next business day from the date portion of eventTimestamp

CA Valuation Message Timeliness

This logic applies to messages where:

• Message type = Valuation

CA Collateral Message Timeliness

• Message type = Collateral

Public Dissemination Timeliness

Per OSC Rule 91-507 Appendix C, KOR publicly disseminates messages 48 hours after the execution timestamp for NEWTs, or event timestamp . 

A Public message is considered 'On Time' as long as it is received by KOR within 48 hours of this execution timestamp. 

Business day calculations are not taken into consideration here - KOR will publicly disseminate the trade exactly 48 hours after the execution timestamp. 

Message Type	OSC Regulation	Required Submission Timestamp
Creation MessageType = Public Action type = NEWT Event type ≠ PTNG	91-507 CP 31	For all Counterparty1Designator values 48 hours after executionTimestamp
Life-cycle Message type = Public Action type ≠ NEWT Event type ≠ CORR	91-507 CP 32	For all Counterparty1Designator values - 48 hours after eventTimestamp

Action Types not applicable for RT Public Dissemination: 

- Corrections 

- Port In/Out

The above rules are based on a combination of the 91-507 CP and the Proposed Amendments