THE MANITOBA SECURITIES COMMISSION MSC Rule No. 2014-8 (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 is amended by this Instrument. 2. Section 25 is amended (a) by replacing subsection 25(1) with the following: 25(1) The reporting counterparty with respect to a transaction involving a local counterparty is (a) if the transaction is cleared through a recognized or exempt clearing agency, the recognized or exempt clearing agency, (b) if the transaction is not cleared through a recognized or exempt clearing agency and is between two derivatives dealers, the derivatives dealer determined to be the reporting counterparty under the ISDA methodology, (c) if paragraphs (a) and (b) do not apply to the transaction and the transaction is between two derivatives dealers, each derivatives dealer, (d) if the transaction is not cleared through a recognized or exempt clearing agency and is between a derivatives dealer and a counterparty that is not a derivatives dealer, the derivatives dealer, (e) if paragraphs (a) to (d) do not apply to the transaction, the counterparty determined to be the reporting counterparty under the ISDA methodology, and (f) in any other case, each local counterparty to the transaction. (b) by adding the following subsections: 25(2) A party that would not be the reporting counterparty under the ISDA methodology with regard to a transaction required to be reported under this Rule may rely on paragraph (1)(b) or (e) in respect of that transaction only if (a) each party to the transaction has agreed to the terms of a multilateral agreement (i) that is administered by and delivered to the International Swaps and Derivatives Association, Inc., and (ii) under which the process set out in the ISDA methodology is required to be followed by it with respect to each transaction required to be reported under this Rule, (b) the ISDA methodology process is followed in determining the reporting counterparty in respect of that transaction, and (c) each party to the transaction consents to the release to the Commission by the International Swaps and Derivatives Association, Inc. of information relevant in determining the applicability of paragraphs (a) and (b) to it.
25(3) For the purposes of this section, “ISDA methodology” means the methodology described in the Canadian Transaction Reporting Party Requirements (issued by the International Swaps and Derivatives Association, Inc. and dated April 4, 2014). 3. Section 34 is amended by replacing “party” with “counterparty” wherever it occurs. 4. Subsection 39(1) is amended by adding “, where applicable,” before “price”. 5. 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 Instructions: 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 The unique transaction identifier as provided by Transaction identifier the designated trade repository or the identifier as identified by the two counterparties, electronic trading venue of execution or clearing agency. Master agreement type The type of master agreement, if used for the reported transaction. Master agreement Date of the master agreement version (e.g., 2002, version 2006). Cleared Indicate whether the transaction has been cleared by a clearing agency. Intent to clear Indicate whether the transaction will be cleared by a clearing agency. Clearing agency LEI of the clearing agency where the transaction is or will be cleared. Clearing member LEI of the clearing member, if the clearing member is not a counterparty. Indicate whether one or more of the counterparties Clearing exemption to the transaction are exempted from a mandatory clearing requirement. Broker/Clearing LEI of the broker acting as an intermediary for the intermediary reporting counterparty without becoming a counterparty. Electronic trading venue LEI of the electronic trading venue where the identifier transaction was executed. Inter-affiliate Indicate whether the transaction is between two affiliated entities. (This field is only required to be Required for Required for Public Pre-existing Dissemination Transactions N Y N N N N Y Y N N N Y N N Y N N N Y (Only “Yes” or “No” shall be publicly disseminated) Y N N
Required for Required for Data field Description Public Pre-existing Dissemination Transactions reported as of April 30 , 2015.) Indicate whether the transaction is collateralized. Field Values: • Fully (initial and variation margin required to be posted by both parties), Collateralization • Partially (variation only required to be posted by both parties), • One-way (one party will be required to post some form of collateral), • Uncollateralized. Y N Identifier of reporting LEI of the reporting counterparty or, in case of an counterparty individual, its client code. N Y Identifier of non- LEI of the non-reporting counterparty or, in case reporting counterparty of an individual, its client code. N Y Indicate whether the reporting counterparty was Counterparty side 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. N Y Identifier of agent LEI of the agent reporting the transaction if reporting the transaction reporting of the transaction has been delegated by the reporting counterparty. N N If the reporting counterparty is a local counterparty Jurisdiction of reporting under the derivatives data reporting rules of one or counterparty more provinces of Canada, indicate all of the jurisdictions in which it is a local counterparty. N N If the non-reporting counterparty is a local Jurisdiction of non- counterparty under the derivatives data reporting reporting counterparty rules of one or more provinces of Canada, indicate all of the jurisdictions in which it is a local counterparty. N N • These fields are required to be reported for all derivative transactions even if the A. Common Data information may be entered in an Asset field below. • Fields do not have to be reported if the unique product identifier adequately describes those fields. Unique product Unique product identification code based on the identifier taxonomy of the product. Y N The name of the transaction type (e.g., swap, Transaction type swaption, forwards, options, basis swap, index swap, basket swap, other). Y Y Underlying asset The unique identifier of the asset referenced in the identifier 1 transaction. Y Y The unique identifier of the second asset Underlying asset referenced in the transaction, if more than one. identifier 2 If more than two assets identified in the transaction, report the unique identifiers for those additional underlying assets. Y Y
Data field Description Asset class Major asset class of the product (e.g., interest rate, credit, commodity, foreign exchange, equity, etc.). Effective date or start The date the transaction becomes effective or date starts. Maturity, termination or end date The date the transaction expires. Payment frequency or The dates or frequency the transaction requires dates 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). Delivery type Indicate whether transaction is settled physically or in cash. The price, yield, spread, coupon, etc., of the Price 1 derivative. The price/rate should not include any premiums such as commissions, collateral premiums, accrued interest, etc. The price, yield, spread, coupon, etc., of the Price 2 derivative. 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.). Price multiplier The number of units of the underlying reference entity represented by 1 unit of the transaction. 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. Up-front payment Amount of any up-front payment. Currency or currencies The currency in which any up-front payment is of up-front payment made by one counterparty to another. Embedded option Indicate whether the option is an embedded option. Required for Required for Public Pre-existing Dissemination Transactions Y N Y Y Y Y Y Y Y Y Y Y N Y Y Y Y Y Y Y Y Y N N Y Y Y Y Y Y Y Y Y Y N N N N Y N
Data field Description B. Additional Asset These additional fields are required to be reported for transactions in the respective types of Information derivatives set out below, even if the information is entered in a Common Data field above. i) Interest rate derivatives Fixed rate leg 1 The rate used to determine the payment amount for leg 1 of the transaction. Fixed rate leg 2 The rate used to determine the payment amount for leg 2 of the transaction. Floating rate leg 1 The floating rate used to determine the payment amount for leg 1 of the transaction. Floating rate leg 2 The floating rate used to determine the payment amount for leg 2 of the transaction. Fixed rate day count Factor used to calculate the fixed payer payments convention (e.g., 30/360, actual/360). Fixed leg payment Frequency or dates of payments for the fixed rate frequency or dates leg of the transaction (e.g., quarterly, semi-annually, annually). Floating leg payment Frequency or dates of payments for the floating frequency or dates rate leg of the transaction (e.g., quarterly, semi-annually, annually). Floating rate reset The dates or frequency at which the floating leg of frequency or dates the transaction resets (e.g., quarterly, semi-annually, annually). ii) Currency derivatives Exchange rate Contractual rate(s) of exchange of the currencies. iii) Commodity derivatives Specific information to identify the type of Sub-asset class commodity derivative (e.g., Agriculture, Power, Oil, Natural Gas, Freights, Metals, Index, Environmental, Exotic). Quantity Total quantity in the unit of measure of an underlying commodity. Unit of measure Unit of measure for the quantity of each side of the transaction (e.g., barrels, bushels, etc.). Grade Grade of product being delivered (e.g., grade of oil). Delivery point The delivery location. Load type For power, load profile for the delivery. Transmission days For power, the delivery days of the week. Required for Required for Public Pre-existing Dissemination Transactions N Y N Y N Y N Y N Y N Y N Y N Y N Y Y Y Y Y Y Y N Y N N N Y N Y
Data field Description Transmission duration For power, the hours of day transmission starts and ends. C. Options These additional fields are required to be reported for options transactions set out below, even if the information is entered in a Common Data field above. 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. Indicate whether the option can be exercised on a Option style fixed date or anytime during the life of the transaction (e.g., American, European, Bermudan, Asian). Option type Put/call. D. Event Data Describes the type of event to the transaction (e.g., Action new transaction, modification or cancellation of existing transaction, etc.). The time and date of execution or novation of a Execution timestamp transaction, expressed using Coordinated Universal Time (UTC). Indicate whether the transaction resulted from a Post-transaction events post-transaction service (e.g. compression, reconciliation, etc.) or from a lifecycle event (e.g. novation, amendment, etc.). Reporting date The time and date the transaction was submitted to the trade repository, expressed using UTC. E. Valuation data These additional fields are required to be reported on a continuing basis for all reported derivative transactions, including reported pre-existing transactions. Value of transaction calculated by the Mark-to-market valuation of the transaction, or reporting counterparty mark-to-model valuation Valuation currency 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. Where the terms of the transaction cannot be F. Other details effectively reported in the above prescribed fields, provide any additional information that may be necessary. Required for Required for Public Pre-existing Dissemination Transactions N Y Y Y Y Y Y Y Y Y Y Y Y N Y Y (If available) N N N N N N N N N N N Y
6. Appendix B is replaced with the following: Appendix B to MSC Rule 91-507 – Trade Repositories and Derivatives Data Reporting Equivalent Trade Reporting Laws of Foreign Jurisdictions Subject to Deemed Compliance Pursuant to Subsection 26(5) The Commission has determined that the laws and regulations of the following jurisdictions outside of Ontario are equivalent for the purposes of the deemed compliance provision in subsection 26(5). Jurisdiction Law, Regulation and/or Instrument CFTC Real-Time Public Reporting of Swap Transaction Data, 17 C.F.R. pt. 43 (2013). CFTC Swap Data Recordkeeping and Reporting Requirements, 17 C.F.R. pt. 45 United States of America (2013). CFTC Swap Data Recordkeeping and Reporting Requirements: Pre-Enactment and Transition Swaps, 17 C.F.R. pt. 46 (2013). 7. This Instrument comes into force on September 9, 2014. 8. This Instrument may be cited as MSC Rule 2014-8.
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