The Canadian Securities Administrators (CSA) have adopted new obligations with respect to reporting swap continuation data to Canadian Trade Repositories (CTRs), including termination of the original or “alpha” swap.
In advance of the July 25, 2025, compliance deadline with these revised rules, CME Clearing has provided additional information to market participants to facilitate timely reporting to CTRs.
For alpha swaps extinguished by novation, CME Clearing’s automated nightly process will report exit messages to the CTR at which the alpha swap was initially reported (the “Original Swap CTR”). No later than the Compliance Date, this automated exit process will run at approximately 9 pm CST on T+1, where T represents the date the trade clears at CME Clearing.
The timing for this process is intended to mitigate risk that creation data for an alpha swap is not yet available at the Original Swap CTR at the time when the Clearing House submits an alpha swap termination message to the Original Swap CTR.
Where available, trade submissions to CME Clearing must include the Legal Entity Identifier (“LEI”) of the Original Swap CTR and the unique identifier for the alpha swap (Unique Transaction Identifier (“UTI”) under revised reporting rules) that were reported to the Original Swap CTR.
The trade submission must also indicate which side of the alpha swap is the Reporting Counterparty under applicable Canadian rules (which can sometimes differ from analogous US rules). The Clearing House will interpret the absence of an Original Swap CTR’s LEI and/or alpha swap UTI as a counterparty’s attestation that no alpha swap termination is required under Canadian rules.
The Clearing House reports data to CTRs with respect to transactions originating from provinces meeting both of the following criteria: (i) CME Clearing is authorized to clear the elevant swaps and (ii) local counterparties are registered, as reflected in CME’s systems.
