THE MANITOBA SECURITIES COMMISSION
MSC Rule No. 2016-11
(Section 149.1, The Securities Act)
AMENDMENTS TO
MANITOBA SECURITIES COMMISSION RULE 91-507
TRADE REPOSITORIES AND DERIVATIVES DATA REPORTING
1. Manitoba Securities Commission Rule 91-507 Trade Repositories and Derivatives Data Reporting (the “Rule”) is amended by this Instrument.
2. Paragraph 26(5)(c) is replaced with the following:
c) the reporting counterparty instructs the designated trade repository referred to in paragraph (b) to provide the Commission with access to the data that is reported pursuant to paragraph (b) and otherwise uses its best efforts to provide the Commission with access to such data
3. Paragraph 26(6)(a) is replaced with the following:
(a) is reported to the same designated trade repository or, if reported to the Commission under subsection (4), to the Commission, and,
4. Section 28 is amended by adding the following subsections (4) and (5):
28(4) If a counterparty to a transaction is an individual or 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.
28(5) If subsection (4) applies, then despite subsection (1), the designated trade repository must identify such a counterparty with the alternate identifier supplied by the reporting counterparty.
5. The Rule is amended by adding the following section 28.1:
28.1 Each local counterparty to a transaction required to be reported under this Rule that is eligible to receive a legal entity identifier as determined by the Global Legal Entity Identifier System, other than an individual, must obtain, maintain and renew a legal entity identifier assigned to the counterparty in accordance with the standards set by the Global Legal Entity Identifier System
6. Subsection 39(3) is replaced with the following:
39(3) For each transaction reported pursuant to this Rule, a designated trade repository must make transaction level reports available to the public at no cost, in accordance with the requirements in Appendix C.
7. Section 40 is amended by adding “or a reporting clearing agency or a Canadian Financial Institution,” after “dealer” in subsection (b).
8. Section 41 is amended by adding “reporting” before “counterparty”.
9. Subsection 43(2) is replaced with the following:
43(2) Despite subsection (1), subsection 39(3) does not apply until January 16, 2017.
10. Appendix A is replaced with the following:
Appendix A to MSC Rule 91-507 – Trade
Repositories and Derivatives Data Reporting
Minimum Data Fields Required to be Reported to a Designated Trade Repository
The reporting counterparty is required to provide a response for each of the fields unless the field is not applicable to the transaction.
Data field |
Description |
Required for |
Transaction identifier |
The unique transaction identifier as provided by the designated trade repository or the identifier as identified by the two counterparties, electronic trading venue of execution or clearing agency. |
Y |
Master agreement type |
The type of master agreement, if used for the reported transaction. |
N |
Master agreement version |
Date of the master agreement version (e.g., 2002, 2006). |
N |
Cleared |
Indicate whether the transaction has been cleared by a clearing agency. |
Y |
Intent to Clear |
Indicate whether the transaction will be cleared by a clearing agency. |
N |
Clearing agency |
LEI of the clearing agency where the transaction is or will be cleared. |
Y |
Clearing member |
LEI of the clearing member, if the clearing member is not a counterparty. |
N |
Clearing exemption |
Indicate whether one or more of the counterparties to the transaction are exempted from a mandatory clearing requirement. |
N |
Broker/Clearing intermediary |
LEI of the broker acting as an intermediary for the reporting counterparty without becoming a counterparty. |
N |
Electronic trading venue identifier |
LEI of the electronic trading venue where the transaction was executed. |
Y |
Inter-affiliate |
Indicate whether the transaction is between two affiliated entities. (This field is only required to be reported as of April 30, 2015.) |
N |
Collateralization |
Indicate whether the transaction is collateralized. Field Values: • Fully (initial and variation margin required to be posted by both parties), • Partially (variation only required to be posted by both parties), • One-way (one party will be required to post some form of collateral), • Uncollateralized. |
N |
Identifier of reporting counterparty |
LEI of the reporting counterparty or, in the case of an individual or counterparty that is not eligible to receive an LEI, an alternate identifier. |
Y |
Identifier of non-reporting counterparty |
LEI of the non-reporting counterparty or, in the case of an individual or counterparty that is not eligible to receive an LEI, its alternate identifier. |
Y |
Counterparty side |
Indicate whether the reporting counterparty was the buyer or seller. In the case of swaps, other than credit default, the buyer will represent the payer of leg 1 and the seller will be the payer of leg 2. |
Y |
Identifier of agent reporting the transaction |
LEI of the agent reporting the transaction if reporting of the transaction has been delegated by the reporting counterparty. |
N |
Jurisdiction of reporting counterparty |
If the reporting counterparty is a local counterparty under this Rule or the derivatives data reporting rules of Ontario or Quebec, or is a local counterparty under paragraph (a) or (c) of the definition of local counterparty in the derivatives data reporting rules of any other jurisdiction of Canada, indicate all such jurisdictions. |
N |
Jurisdiction of non-reporting counterparty |
If the non-reporting counterparty is a local counterparty under this Rule or the derivatives data reporting rules of Ontario or Quebec, or is a local counterparty under paragraph (a) or (c) of the definition of local counterparty in the derivatives data reporting rules of any other jurisdiction of Canada, indicate all such jurisdictions. |
N |
|
|
|
Unique product identifier |
Unique product identification code based on the taxonomy of the product. |
N |
The name of the contract or instrument type (e.g., swap, swaption, forwards, options, basis swap, index swap, basket swap, other). |
Y |
|
Underlying asset identifier 1 |
The unique identifier of the asset referenced in the transaction. |
Y |
Underlying asset identifier 2 |
The
unique identifier of the second asset referenced in the transaction, if more than one. |
Y |
Asset class |
Major asset class of the product (e.g., interest rate, credit, commodity, foreign exchange, equity, etc.). |
N |
Effective date or start date |
The date the transaction becomes effective or starts. |
Y |
Maturity, termination or end date |
The date the transaction expires. |
Y |
Payment frequency or dates |
The dates or frequency the transaction requires payments to be made (e.g., quarterly, monthly). |
Y |
Reset frequency or dates |
The dates or frequency at which the price resets (e.g., quarterly, semi-annually, annually). |
Y |
Day count convention |
Factor used to calculate the payments (e.g., 30/360, actual/360). |
Y |
Delivery type |
Indicate whether transaction is settled physically or in cash. |
Y |
Price 1 |
The price, yield, spread, coupon, etc., of the derivative. The price/rate should not include any premiums such as commissions, collateral premiums, accrued interest, etc. |
Y |
Price 2 |
The price, yield, spread, coupon, etc., of the derivative. The price/rate should not include any premiums such as commissions, collateral premiums, accrued interest, etc. |
Y |
Price notation type 1 |
The manner in which the price is expressed (e.g., percent, basis points, etc.). |
Y |
Price notation type 2 |
The manner in which the price is expressed (e.g., percent, basis points, etc.). |
Y |
Price multiplier |
The number of units of the underlying reference entity represented by 1 unit of the transaction. |
N |
Notional amount leg 1 |
Total notional amount(s) of leg 1 of the transaction. |
Y |
Notional amount leg 2 |
Total notional amount(s) of leg 2 of the transaction. |
Y |
Currency leg 1 |
Currency(ies) of leg 1. |
Y |
Currency leg 2 |
Currency(ies) of leg 2. |
Y |
Settlement currency |
The currency used to determine the cash settlement amount. |
Y |
Up-front payment |
Amount of any up-front payment. |
N |
Currency or currencies of up-front payment |
The currency in which any up-front payment is made by one counterparty to another. |
N |
Embedded option |
Indicate whether the option is an embedded option. |
N |
B. Additional Asset Information |
|
|
i) Interest rate derivatives |
|
|
Fixed rate leg 1 |
The rate used to determine the payment amount for leg 1 of the transaction. |
Y |
Fixed rate leg 2 |
The rate used to determine the payment amount for leg 2 of the transaction. |
Y |
Floating rate leg 1 |
The floating rate used to determine the payment amount for leg 1 of the transaction. |
Y |
Floating rate leg 2 |
The floating rate used to determine the payment amount for leg 2 of the transaction. |
Y |
Fixed rate day count convention |
Factor used to calculate the fixed payer payments (e.g., 30/360, actual/360). |
Y |
Fixed leg payment frequency or dates |
Frequency or dates of payments for the fixed rate leg of the transaction (e.g., quarterly, semi-annually, annually). |
Y |
Floating leg payment frequency or dates |
Frequency or dates of payments for the floating rate leg of the transaction (e.g., quarterly, semi-annually, annually). |
Y |
Floating rate reset frequency or dates |
The dates or frequency at which the floating leg of the transaction resets (e.g., quarterly, semi-annually, annually). |
Y |
ii) Currency derivatives |
|
|
Exchange rate |
Contractual rate(s) of exchange of the currencies. |
Y |
iii) Commodity derivatives |
|
|
Sub-asset class |
Specific information to identify the type of commodity derivative (e.g., Agriculture, Power, Oil, Natural Gas, Freights, Metals, Index, Environmental, Exotic). |
Y |
Quantity |
Total quantity in the unit of measure of an underlying commodity. |
Y |
Unit of measure |
Unit of measure for the quantity of each side of the transaction (e.g., barrels, bushels, etc.). |
Y |
Grade |
Grade of product being delivered (e.g., grade of oil). |
Y |
Delivery point |
The delivery location. |
N |
Load type |
For power, load profile for the delivery. |
Y |
Transmission days |
For power, the delivery days of the week. |
Y |
Transmission duration |
For power, the hours of day transmission starts and ends. |
Y |
C. Options |
|
|
Option exercise date |
The date(s) on which the option may be exercised. |
Y |
Option premium |
Fixed premium paid by the buyer to the seller. |
Y |
Strike price (cap/floor rate) |
The strike price of the option. |
Y |
Option style |
Indicate whether the option can be exercised on a fixed date or anytime during the life of the transaction (e.g., American, European, Bermudan, Asian). |
Y |
Option type |
Put/call. |
Y |
D. Event Data |
|
|
Action |
Describes the type of event to the transaction (e.g., new transaction, modification or cancellation of existing transaction, etc.). |
N |
Execution timestamp |
The time and date of execution or novation of a transaction, expressed using Coordinated Universal Time (UTC). |
Y (If available) |
Post-transaction events |
Indicate whether the transaction resulted from a post-transaction service(e.g. compression reconciliation, etc.) or from a lifecycle event (e.g. novation, amendment, etc.). |
N |
Reporting timestamp |
The time and date the transaction was submitted to the trade repository, expressed using UTC. |
N |
E. Valuation data |
|
|
Value of transaction calculated by the reporting counterparty |
Mark-to-market valuation of the transaction, or mark-to-model valuation. |
N |
Indicate the currency used when reporting the value of the transaction. |
||
Valuation date |
Date of the latest mark-to-market or mark-to-model valuation. |
N |
Where the terms of the transaction cannot be effectively reported in the above prescribed fields, provide any additional information that may be necessary. |
11. The Rule is amended by adding the following Appendix C:
Appendix C to MSC Rule 91-507 – Trade Repositories and Derivatives Data Reporting
Requirements for the public dissemination of transaction level data
Instructions:
1. A designated 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 designated trade repository pursuant to the Rule;
b) a lifecycle event that changes the pricing of an existing derivative reported to the designated trade repository pursuant to the Rule;
c) a cancellation or correction of previously disseminated data relating to a transaction referred to in paragraph (a) or lifecycle event listed in paragraph (b).
Table 1
Data field |
Description |
Cleared |
Indicate whether the transaction has been cleared by a clearing agency.
|
Electronic trading venue identifier |
Indicate whether the transaction was executed on an electronic trading venue.
|
Collateralization |
Indicate whether the transaction is collateralized. • |
Unique product identifier |
Unique product identification code based on the taxonomy of the product. |
Contract or instrument type |
The name of the contract of 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 the transaction. |
Underlying asset identifier 2 |
The
unique identifier of the second asset referenced in the transaction, if more
than one. |
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 date |
The date the transaction expires. |
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 1 |
The price, yield, spread, coupon, etc., of the transaction. The price/rate should not include any premiums such as commissions, collateral premiums, accrued interest, etc. |
Price 2 |
The price, yield, spread, coupon, etc., of the transaction. The price/rate should not include any premiums such as commissions, 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. |
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 date or anytime during the life of the transaction. (e.g., American, European, Bermudan, Asian). |
Option type |
Put, call. |
Action |
Describes the type of event to the transaction (e.g., new transaction, modification or cancellation of existing transaction, etc.). |
Execution timestamp |
The time and date of execution or novation of a transaction, expressed using Coordinated Universal Time (UTC). |
Table 2
Asset Class |
Underlying Asset Identifier |
Interest Rate |
CAD-BA-CDOR |
|
USD-LIBOR-BBA |
|
EUR-EURIBOR-Reuters |
|
GBP-LIBOR-BBA |
Credit |
All Indexes |
Equity |
All Indexes |
Exclusions:
2. Notwithstanding item 1, each of the following is excluded from the requirement to be publically disseminated:
a) a transaction in a derivative that requires the exchange of more than one currency;
b) a transaction resulting from a bilateral or multilateral portfolio compression exercise;
c) a transaction resulting from novation by a recognized or exempt clearing agency.
Rounding:
3. A designated trade repository must round the notional amount of a transaction for which it disseminates transaction level data pursuant to this Rule and this Appendix in accordance with the rounding conventions contained in Table 3.
Table 3
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 |
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 designated 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 Rule and this Appendix, for a transaction to which item 4 applies, a designated trade repository must indicate that the notional amount for a transaction has been capped.
6. For each transaction for which the capped rounded notional amount is disseminated, if the information to be disseminated includes an option premium, a designated trade repository 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.
Table 4
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 |
100million |
Interest Rate |
Greater than ten years |
50 million |
Credit |
All dates |
50 million |
Equity |
All dates |
50 million |
Timing:
7. A designated trade repository must disseminate the information contained in Table 1 48 hours after the time and date represented by the execution timestamp field of the transaction.
12. This Instrument comes into force on July 29, 2016.
13. This Instrument may be cited as MSC Rule 2016-11.