OSC outlines guidelines for rounding and capping notional amounts
- KOR TR has implemented rounding practices consistent with Applicable Rules. KOR TR will disseminate the notional or principal amounts of a publicly reportable transaction subject to rounding as prescribed.
- The rounding thresholds are to be applied to the notional amount of a transaction in the currency of the transaction. For example, a transaction denominated in US dollars would be rounded and disseminated in US dollars and not the CAD equivalent.
|
Reported Notional Amount Leg 1 or 2 |
Rounded Notional Amount |
|
< 1,000 |
Round to nearest 5 |
|
≥1,000, <10,000 |
Round to nearest 100 |
|
≥10,000, <100,000 |
Round to nearest 1,000 |
|
≥100,000, <1 million |
Round to nearest 10,000 |
|
≥1 million, <10 million |
Round to nearest 100,000 |
|
≥10 million, <50 million |
Round to nearest 1 million |
|
≥50 million, <100 million |
Round to nearest 10 million |
|
≥100 million, <500 million |
Round to nearest 50 million |
|
≥500 million, <1 billion |
Round to nearest 100 million |
|
≥1 billion, <100 billion |
Round to nearest 500 million |
|
>100 billion |
Round to nearest 50 billion |
Notional Capping
- KOR TR has implemented capping practices consistent with Applicable Rules. KOR TR will disseminate the notional or principal amounts of a publicly reportable transaction subject to capping as prescribed.
- Where the rounded notional amount of a transaction, would exceed the capped rounded notional amount in CAD of that transaction, KOR TR must disseminate the capped rounded notional amount for the transaction in place of the rounded notional amount.
- When disseminating transaction level data pursuant to capping, KOR TR must indicate that the notional amount for a transaction has been capped.
- For each transaction for which the capped rounded notional amount is disseminated, if the information to be disseminated includes an option premium, KOR TR must adjust the option premium in a manner that is consistent and proportionate relative to the capping and rounding of the reported notional amount of the transaction.
|
Asset Class |
Maturity Date less Effective Date |
Capped Rounded Notional Amount in CAD |
|
Interest Rate |
Less than or equal to two years |
250 million |
|
Interest Rate |
Greater than two years and less than or equal to ten years |
100 million |
|
Interest Rate |
Greater than ten years |
50 million |
|
Credit |
All dates |
50 million |
|
Equity |
All dates |
50 million |
- For transactions denominated in a non-CAD currency, KOR TR is required to compare the rounded notional amount of the transaction in a non-CAD currency to the capped rounded notional amount in CAD that corresponds to the asset class and tenor of that transaction. Therefore, KOR TR must convert the non-CAD currency into CAD in order to determine whether it would be above the capping threshold. KOR TR must utilise a transparent and consistent methodology for converting to and from CAD for the purposes of comparing and publishing the capped notional amount.
For example, in order to compare the rounded notional amount of a transaction denominated in GBP to the thresholds, KOR TR must convert this amount to a CAD equivalent amount. If the CAD equivalent notional amount of the GBP denominated transaction is above the capping threshold, KOR TR must disseminate the capped rounded notional amount converted back to the currency of the transaction using a consistent and transparent process.
- KOR TR is required to adjust the option premium field in a consistent and proportionate manner if the transaction’s rounded notional amount is greater than the capped rounded notional amount. The option premium field ad adjustment should be proportionate to the size of the capped rounded notional amount compared to the rounded notional amount.