Debt Securities Transaction Reporting - MTRS 2.0 User Guide
Contents
1. 371 253 Gn RESTS segue the ater a en pone Ret tans sc 10 yoe 2 I 102013111212345678 rans cusrey 1o0000 Cac Dee 1 Reporting Uele Membr OTT sts anton and er th Type 2 rat Cane sans o oo pene tong se jet eas ss te ee yes sv scary 0 si ade 10 561780 Open fired CaN 0062. VA _____ 2 counterparty era cary VA 3 Praqarastsuorsri2 TH ice ee Canaan Nese STs Port SOX 5 SEATS contre tational Le ssEWOW7CSRVIN22S tn Hira cary A ince 3 TE Reporting Dele Meno Pipl bat Osler etal ode with Cele 1 counterparty tational opt a a 5 sun Oe
3. 6 ince Two pri De Tae Reporting Dele Goverment ann TE expert eich ype ex sen 0 Denier 5 Account ca fo cusrey 200000 3 epring Bese Mee fTrader 11 Counterparty_ counerpar Jie oa A report oes Reporting Dele Member DG Bs foreign bed nso Sutera fader l2 counterpaty tina pt Rowe bet Yi oe VA een smn fn repr not renin Too ener tn
4. 54 No Transactions to Report ihe Dealer Memb has wansactons to report fra given Wading day 5 na requrement an empty fie of ROC wall rom the Dealer upon suspected porting omsins 55 Receipts and Record Keeping Recap set letra to the reporting entity acknowledge that a transaction has been successfully Wansmitted to MRS 20 The File Receipt als details regarding any ets found durin validation of transaction records fg ising mandatary nad formats which must be coreced before the presi ee section 3 above Recep ust be bythe Dele i accordance wth feordheepng ers contained nthe Rul See MTRS 20 Reporting Gateway Guide for mote 56 Use of Legal Entity Identifiers character code used dently an entity that eters nt nana Al Dele Members who execute debt vades that ae subject othe reporting wil requ an LL equi of whether they ate reporting dealer aa counterparty se Tab 3 For information about Ls and he Ll elation proces Append Debt Transaction Reporting Held Use of LE Reporting Dealer denier LE must be reported he reporting Member ounterpriy TE mut be reported when the counterparty a GSD Dealer Member o Bank counterpart sa of GSO Dealer Membr Sr snot
5. deadline og 0 original wade 53 Submission of Transaction Files 531 Separate Files for Debt Transctions and Repo Tansoctons The Dealer Member osu separate or debt wansactins for rege ansacton report must cata the data elements felevant oa debt rea asain as MRS 20 Tronsetion Reperting Gatewoy Gude fr mae formation 532 Submision of Addional les he Dealer Mamber sunt les as needed fo eg maney market wansactions submited sn Authorized The ame must neude the assodated wa tele See 2 0 Gude for more information 533 Submision of Revised Prior to Reporting Deodine The Dealer Member ors Authorized Agent may send revised versions of any le up tthe ending either to correct specie inthe any ther errors ident by the Dealer Member Where te Osler Member has withthe sume fie wi proces othe ast recived aso the reporting See MTRS 20 Transaction Reporting Guide or mace infomation Note wil nt be procesed by ROC Rept sent contained errors found during of transoction records les thot ore cvected and submited after deine will canidered late
6. Bank of Gnade ond MTR Reporting To date standardized reporting of market act a Canada has en provided to the Bank of Canada by in tala reports to MTRS ROCs sistem for debt secures refered a MRS 20 eres asthe tgMTRS le 28006 egies begin reporting debt scutes MTRS 2 0 12 Intended Audience This documents intended for use by Dealer Members that are to rept debt secu wansotons to ROC Ths document wl be of parla developers business nalts and omplnce and qual assurance tall 13 Related Documents his wer guide complemented documents which ae below AROC Deer Members when new or updated documents are avaiable Transaction Gateway Gude IRS 20 Ewallment and Gude ROC Natce 14 4950 Rules Transaction Reporting for Debt Secures ton pet dg Deke ber 2 Usage and Dissemination ROC uses Heb dat by Dealer Members outs respons with the surveilance and aversigh of OTC debt mare wading tough of alerts nd reports designed detect potential abusive trang practices ROC shares debt transaction data or Governmant Secu Distributors 0508 wth the funk Cand se Section 22 Bank of Canada ROC pubes aggreg
7. corer the ofthe cantor Ota tte op cary va 114 Appendix D Repo Trading Scenarios apr Dest ets nr ctr eth Tr Dslr Member repr SSOM genes the zy deleted GWA TER Rep SVE Tap todos str AS tht des ata Canaan 650 Reporting Member conducts Prove of Orta erm Inte ons Thursday the allowing Manda electron DSB frm in white ac Member eno gee ay rep tha Rpg apo ST GOTT TSE prt Desens nr ctr pe
8. port the alternate enter Section 6 1 LE must be reported for an 086 or ATS where avaiable LE nt for an OBB or ATS aerate dente Seton 5 61 1 must reported or ser where avaiable LEI snot for sur report a dummy deter of 20 characters El maybe reported where avaiable Trading Venue TE must be reported where valle Wat avaiable report the alternate Ket ding venue where the was executed setion 5 6 1 Gearing Howse Repel TE must be rere 551 Access to LEH and Atemate ROC ts of LE assigned Dealer Members Banks ATS oF IBS Ist of aternate deters dummy LE where an LEI sot aval alternative enters canbe dovinouded the Reference Data sbliecory an MTRS 20 reporting poral 57 Use of an Authorized Agent Agent means Dealer Member aretha busines entity that succesfully enroll TRS 2 0 debt transactions on behalf of Desler Dealer Member Authorized Agent fr reporting remains esponibl compizce withthe le ands Authored Agents actions on as wall any four bythe Authored Agent act 5 under the Rue ROC the Dale Member to have appropriate conto ia place regarding arrangements with thea party repo
9. eng ae SG TST Report fe sng fe pe erm cara Te CPST SECTS GODT TTS apres vase nara ct hy rr Dele Meer Member apse the lata reverie IAG eeu wth the CUS of he ngs atone i TE Report of ar opts he po frm athe repo acer L ENS gree toa new ate fing forward Report of caren nthe repo fers rar wih mreported the aren 115 Appendix E MTRS 2 0 Enrollment Form Investment Industry Regulatory Organization of Canada MTRS 2 0 Dealer Member Enrollment Dealer Member Information Legal Name of Deer Member Eni Legal denier LE Ades iy Province Code Business Contact Phone Technical Contact Name Phone tal Transaction Information fetal Transactions Byes Inston Transitions Ges Bond Transactions yes Money Market Transactions Ges Repo Transactions yes carrying Dyes yes please tach it o
10. Debt Securities Transaction Reporting MTRS 2 0 User Guide August 2015 Al Rights Mo para this document maybe photocopied reproduced aetiealsyter ans any form or by any means wheter electron mechani otherwise without the pre prmision Table of Contents 5 Taausacron 222 ne es in ret Ps erg eae Sept es for eb Transco ond ep Toma aerate Honjo 1 About this Document 12 Introduction LLL Debt Tansocton Reporting to ROC ful 2800 ses ou under which Desler Members required to securities wanton to ROC the Market Trade Reporting System 20 TRS 20 Allover the counter det executed by Member lung those executed on Sh Alematve Trading or trough an Dealer Bond Broker must be to ona bse Transaction information eperted under Rule wil enable ROC to undertake and oversight of OTC debt make wading For mreinformation ler ROC Notice 14 0950 Rules Notice Tansaton Reporting fr Debt Secu
11. Member that wil submit debt ransaetion reports to MTRS2 0 must submit a completed Form and successfully nord ta cee submission credential for the Dealer and its Agents See Append for sample Enrolments a for coerdination of account et and certification actives Operations The Dealer Member must sucessful execute al certieatin tasks blot bing authored wo start submit production transaction hes to The Dealer Member should allow at est MTR hd the RE et tn one week to complete etfieston which of number af tasks ta vey the Dealer Member s to fies MTRS 20 that Fr more formation refer to the 5 20 and Gude andthe TRS 20 Transaction Reporting Gude Once the Dealer Member response fr nailing regarding any changes to Information onthe Eliment Frm condition of continued enrolment Dealer Mabe and is Agents may be the abit Heo ROC when change made to the MTRS 20 Trad Message Speciation r when changes are bythe Dealer eg use Authorize Agent 4 Regulatory Reporting Obligations Implementation Phases ofacitate the ntl inplernatation
12. provide berchmak except Iinstances where a fora Government of Canada det secury anda benchmark was used o of wansactions that are nat pial of benchmark If benchmark ic blak for tat sna or Goverment of Canada may contact the Dealer Mamet tw aba more information abot the peng mechani hat was Used 63 Commission eure tobe populate inthe case where the sated o 64 Counterparty Type Dealer Member counterparty retard bond ATS report ATS ot Dele i Dealer Member counterput Schade Rank othe Canadian office of Schedule Bank asa Bank The counterparty must be tenon when transaction was erected fra hich partner employe of any Dealer Member has terest he counterparty type must be seta where the counterparty ithe transacted 65 Counterparty ID counterparty 10 not reported where the counterparty ict or 1 Lis not Dealer Membr ATS or BB report the rode inthe Reference Data subsectory onthe MTRS 2 0 reporting gateway portal For ier Ll ot report sue name se io section LE 6 6 Customer Account Identifier he Customer Acount contains an identifier assigned by h
13. settled trades nat bond forwards that ae derativs transactions reportable under a agrees 13 Exceptions from Trade Reporting The flowing wansactons secuties mus pot be reported to MTRS 2 0 Debt Secures without assigned CUSIP Numbers wansacton in Debt Secu that does rothave an assigned ISIN or CUSIP umber oo the date of trade eect snot tobe ses where the Wansactionis anew usu oa Debt Seat the wansacton requ reported ance the CUSIP has ben assigned ad by 60 pan EST onthe business day folowing the date of CUSP SNsuanee with the Date backdated tothe day the wade was 8 Transactions of Exchange ted Debt Sects Transactonsin exchange stad Debt Secures erected an a Marketplace must ot be reported IntemelTransectins Transactions between two separate business unite poi within the reporting Dealer Member where theres nochange in benefialaunersip eg ads between the money desk and the bond das must ot be reported Transoctions by nom GSD Repo transactions execute by Dealer Members that are not not be reported 0 Transactions with the Bak of Canad Transactions in which the Bak of Canada ofthe Bank ot Cana on behalf the Government of Canad the counterparty ust tbe reported Catan transactions by that are for Fs Transactions executed by tha GSD ol for Treasury ils a De
14. to be fom the counterparts perspective For example where Dealer ember slit counterparty the reporting Deal Member reports the ransaton a Buy 6 16 Trading Venue Identifier fant not fr the Trading Venue IROC wil provide alternative enters tbe Maceo the El Trading Venue enters ae nthe Data subdirectory oe the epertng gateway port Wien the Counterputy Type the LEY mist be reported in both Counterparty and Trading Venue 647 Market convention ste be use Le fa Dele Member issuing transaction lable bond edt shouldbe reported in this 7 Repo Transaction Reporting Tips 7 Currency Report currency of using standard 50 4257 codes 72 Price Report price of excluding ny cued interest pie 73 Repo Rate ifthe wansaton was sting repo shouldbe reported in format CORRA Sp 7 4 Repo Collateral Security Id where SIN a CUS is reported Repo Typ ald 7 5 Collateral Security Type Now ederal government SN ar CUSIP Federal government general pert GC of colatras as Mul 7 6 Transaction Type Repo agreement shouldbe with wansacion type A agreement new
15. Member ala requved to contac Debt Suvellancs report changes infermation Support avaible Monday though Friday fom 8 EST excluding statutory ay sues that are reported outside regular support hers willbe deal with on bass when regular haus resume Support contact information ie provided below ate ups ann naman Phone number HOC Debt Debt 90 3861 10 MTRS 2 0 Transaction Reporting Gateway he MTRS 20 Transaction Reporting Gateway povdes a secure web portal fies to and Tor acest reports ether information Transaction fs maybe using Fle Tanser Protocol FTP or mana upload sing an Template on the web portal Each Dealer Member has its reporting dairy onthe Upload and download functionality avalbe fr Dealer Members to sbi ay asad entity identifier ference data an reper For mare refer tothe NTRS 2 0 Transaction Rearing Gateway Gide 11 111 Appendix MTRS 2 0 Trade File Message Specification Debt Transactions field must be sent inthe oder specie In Table Required ContionallyRequled depending an the optional el feowe by nique
16. UNSEAT THO WTA DEALER NTRS FEN TER LATING RATE 23 UPDATE Ficus 23 REPORTING sun Ure eo
17. and that canceled should again reported now with type cane hd wit the Repo 0 set ta Repo Dol the canceled Repo A cavtecin to a report shouldbe reported with ranssction type conection with terms update t inch he and with the original Di eet to repo ofthe When there change of termi onan open Rep eg arate change the update shoul be reported wth transaction ype update For examples ol eer to Append D Scenarios fon the matunty date ofa Repo agreement eter counterparty fais to deliver lther the ath othe the fale shoud be Yeprted wth transaction ype Ya th terms updated onde ay negotiated predetermined changes eg maturity date nd with the Repo et the he repo which the ina ated For example counterparty Rand counterparty ener an overnight agreement in which Bsa Secu to Mand Sale the day ear happen tha counterparty Ama alt the the rest oy the GMRA General Maser Repo Agreement may determine hangein terns the counterparts may negotiate change is tes of he counterparts ray terminate the agreement the terms have anew maturity date the all report a changed maturity date ithe Repo agreement terminated the contact should Simply be a
18. ate debt trading states produces period dene that supersede the quartary reports compiled by the Canad rom wey reports sted by Dealers tothe Banko Canada through MRS ROC may provide data government ows ences rather regulars under Recognition Orders 22 Bank of Canada he nk of Canada uss the det data for various purposes elated to management of government secures the of ing limits or SDs and for anal of tends and developments the debt and money markets captures data elements for Repo transactions tall the Bank af Canada to monte sty and potential inane stably inthis cae market mentoring also consstet wit the lates recrmandatins made bythe Stabity ard nd endorse by G20 Leaders that dats an regular snapshot of oustanding postions fo shoul be colle by national or regional auth The of Canada continues to publish agpregate dats inthe Bank of Canada Aang and Finan Statist The Banko Canadas commited the aa reeves rm ROC and il the data ures by law IROC s expectations that Information that IROC may to other governmental agendes including secures regulatory wi aso be wested nthe same manne 3 Enrollment
19. bt Security wh ginal term tomar of greater than one yer 5 Transa jing General Requirements 5 Reporting Deadlines odes exceed on a ar ay Federal Statutory When an provincial statuary hay ferent aay than fora reporting Meme Fai Day the reporting gateway eval forte transmis sues ISIN and CUS assigned afar Gan Aer souance 2pm EST 511 Lote Reporting ies are not by the reporting desde from large vole Dealer Member ha Subs and ot bees aoe ROC my alow up wit the Dealer Member Perdstent ate by a Dealer Member may be subject to enforcement actan by ROC Note Smal Dealer Members that may nt have rads to report on a daly Bas nt eure nly ROC when they wil at be Hes 52 Trade Cancelations and Trade Corrections 521 Trade Concelations ond Corrections Procsted Prior tothe Reporting Deadline ia rade canceled por ole submission do report wade and cancel to ROC erected prt submission rept onl the final state the st eran af the ade asa new vade trades canceled corrected flowing submission but pla tothe reporting anew amended shouldbe submtted to replace the previous 522 Canclaions and Corre
20. ction Processed After the Reporting Decline When a trade canceled a after the reporting denn the required fel ales iniated athe table belo se Append cenaris 12 6 situations where transaction and replaced wih a RCC understands that It may beet Ink the withthe orginal ansacon hat was subsequently anes fr hs Scena placement transaction to be backdated i esa both execution ste and tine to match the orginal ransacton fale to the transaction may restate postve may result unecessary bth IROC and Dealer Member stat Acton TransaclonsReported ld Values 1 Concelater reporting TRADE 0 new rae id assigned deadline TRANS Cancel 10 original wade EXECUTION DATE Ose of EXECUTION Time of canes anceandvepce 0 new rae i assigned ith new ater reporting FRADE 10 original wade Geode EXECUTION DATE ste of cance 0 new id assigned backdated to match te ofthe tat replaces EXECUTION TIME execution tine of the transection thai replaces 3 coreconaher TRADE 0 new wade assigned
21. e Dealer Member ana o that lent bu doesnot the actual ler Dele Members are encouraged to provide informaton to seat in suspicious or manipulative leh a wath rading 8 walla reduce the incidence of Yale poate the associated burden Meme staf to provide lent information espons 6 7 Electronic Execution indicator he Electronic nator should be when the transactions exetuted on oF trough an elecvonic venue including ATS 1088 Single Dealer Ts would ince when a transactions nected ver the count ad then ported to trading venue he Electronic should be epee 7 when a transactions over he hone and then the Dealer Member s trade porting system back processing 6 8 Execution Date The Execution Dates the calendar day the Wansacton was executed Date backdated to date the trade See table insecton 52 and Aopen 69 Execution Time he Execution Tine isthe tne at wich the transaction was executed thar at ecard econ execution system of nthe case ofa wade the time the Wade entered into the Dealer Member s reporting system and corrections ee table 52 and 1216 640 Non re
22. e hgh Dele Memb GOVAN AT WT type 2 counerary eae coumerary 2 counerpary cary A 1 Reporting Dele Wo 3 SRST US Pri 1 tank 2 counerpary 9 ei fs Sencar SI eo Reporting SHEE 2 counterparty jones ort ring ear 5 tomer tna Sen eet ide raring oa 2 counerpary
23. epi ee samp rn pei mus the Fel ype format ncn 29 cited ther recorded by om wenger bythe tee eon se 5 fot 2WAlphanumene 885 hent customer where available ae CUSTOMER ACEDUNT IO ochre Delrin cy ety cee Sonepat ane area ected cling an fd nip or get les yamine em ue Fld Type trmat 112 Appendix MTRS 2 0 Trade File Me
24. f Introducing Deslr Member Lagal Name Authorized Agent information Lagal of Authorized Agent Phone Agent Dealer Member Authorimtion Nome Signature one 116 Appendix E Legal Entity Identifier Information and Registration Lelscan only obtained Operating LOU endorse the Global LI Syste Regulatory Oversight Commitee The st af ROC endesed 00 ad contact svaable at hp 20131003 2281 ach LOU has sown proces for general an appa must supe the LOU wth the ffs mare ofthe ent the adress of legal formation the address ofthe he name ot the bins rest and the entity s at hat busines rely where wat apple Fach ety shouldbe one LE The process takes 1 3 weeks to obtain a Ltt and costs between 5200300 ech entity must advise the LOU fan changes nent normation They aso mas thei information ace yea with he LOU e a enty nti treasury oats Documene LEL FAQs wwe cety or 17 DEALER NTRS ERAT TS Re DUE
25. of transaction for Debt Secure Member under the Proposed Rule ae tobe phased based nthe Deler Member s ithe Bark of Canad MTRS i he af Debt traded and the types of alo mPhase a Member that ona afte he effective date of November 1 2015 and partiipant a must compl with le 2800 by reporting ala thle and rassctios of ay afte that GSO Debt Secu vanssctions enominatea in Canadian natanafflate hat GSO ad partpant in MRS must comply with Rule 2800 by transactions of the in Debt Repo wansatons dnorinsted in canadian dollars De reporting by 650 Deaer Members wlleimplemented hen Phase cones which expected tbe on Noverber 1 2026 In Phase 2 Dealer Member that a ofthe elective date of Phase 1S G80 and patiipant a MTAS must empl wth le 2800C by reporting ala thle and the transactions of ayaa that GSO Secures acing all Repo vanssctions that ae not Canaan dos ar hasan that GSO ad partcpant in MRS must comply ith 2500 by transactions ofthe Debt Repo that ae nt denominated Canaan dol Members mus comply wi
26. rting Bent Fle sutited by an Agent an behalf of Dslr ust segregated baud onthe Dealer Member fan Authored Agents epatngYansactons on behalf multiple Dealer Members te gent mast submit or each Dealer Member 58 Reporting Party Obligations In Common Trading Scenarios Reporting party ablgavons ia the most oman scenarios are inthe table below Appendix and Aspen D provides information regarding content or varus debt and who Reports Deslar Member anda cnt or Dealer Member Deal Member and ter Denar ood Broker VORB Dealer Member Dealer Member ard an Trang Syston ATS where he Dealer Member snd ATS counterparty TAS where the ATS othe and Members Tach Besar Member ar Dealer Member 6 Debt Transaction Reporting Tips This section contains information to that the MTAS 20 Trade Message Spectaatons Agpendices Aan 61 Allocations Gent tha occur after the ansaton reortng deadin that do ehange any dats ements the than cet account information arene equved abe reported xa nthe a here a age trade enced alocalions ta sub account are done ater the reporting ely the orginal arent wade needs tbe reported 62 Benchmark Dealer Members are expected
27. sa fall wth no changes Any additonal payments assessed duet the fal shuld snot be reported there noel to doo 8 Certification and Change Management The reporting Dealer Members nd its Authored Agents ae reuitedto cory the bit ta eal transaction fs to MTS 20 conforming tthe MTRS 20 For mote information procedures ler othe 20 Enrolment and Cention Cue ROC Change Requests From time to tne ROC may introduce changes to debt wansaction reporting requements that development andor tecertation by the reporting Daler Members ands Authorzed Agents TRO wil canst wit parties regarding any proposed changes and provide appropriate advance ote nt les than 90 days 1 alow for development and recertiition Changes ta ule 2800 wl subject to ual rl change protocol 82 _ Dealer Member Change Requests The Dealer Members mus contact IROC in advance of changes that may affect ebrtranssctins to MTRS2050 that IROC ean do an impact assessmant 1 determine Yeetetion required Such changesincade but are ited aig or cemoving on Authorid Agent bung or removing reporting ety changing the method ffi ransmison ROX 9 Support Information he Dealer Member should contact IROC Deb Survellance ta any busines eh ses elated to the ansacton IRDC bythe Dealer Member Authorized Agent he Dealer
28. sident The nonresident mathe used counterparty the purposes of the Income Canada When doubt consider the counterparty as Canadian 611 Foreign Affiliates cae where a Canadian Member elle of Canada bonds tos slate ad the foreign tur sells the bands ane af orig customer accounts sale tthe onds fam the domeste desk ots fori woul reported a rade Related ary wth nonresident marae The subsequent trade e the nium seling bands to ane os foreign customer accounts reparted cave wheres domestic desk sls foreign customer then that Wades reported with the mare Refers pendix 6 612 IsIN cusiP SIN er CUSIP on each transaction combination of SINS and CUSIS cane enti the same transaction 613 Original Trade Identifier Trade idee on caveats Only that ater the porting deadline shoul be reported See ab section Trade Canclauons and Trade 6 14 Primary Market Aw iss transactions including opening in provincial municipal nd corporate ecu fare tobe reported withthe marker indicated These drawdown agency transactions 615 Side Counterparty s Perspective Allwansatons we
29. ssage Specification Repo Transactions Al lds must beset in the arderspeciedn Table 7 below gt tag Pani eee rane 113 Appendix Debt Trading Scenarios Note Allansoetions are tbe fam the coumerpartyspeespectve Reporting Date Member seis IM 57 872914 Denler ace Principal Capacity expected cent options cary A nee 2 tpoing Del ads on Secon Vee Dealer 10 Taian 9 One Wade expected ype st SHE CaN fra cary A pat Reporting Dealer Member Buys 3 7 1272 5 CHARA IST OTR One vade is expected atl account ia foe account
30. th Rule 2800 wih respect allo thee ansatons Debt Secures excluding Repo Wansacton inca Wansactions that arena denominated Canaan 42 _Transactions Securities Subject to Mandatory Trade Reporting The ule each ROC Deser Member to report post trade bas all debt markt eecited by the Deser Member an ts GSD thse executed an an ATS Al ansactons must be submited accurately by the dealing and inthe ete in thi guide The ule Debt Secu to meas any secures that provide the holder with ea ight spelled creumstancs to demand paynent af the amount owing and includes debtor elauonsip The fact that a security was suednarather coun or denominated ina tency does not it rom Debt Scary The term eects with short term mandatary tender periods such operand oaing rate nots aswel ae nates and bonds Reps mst be paid forte flowing Federal Corporation Securities Provincial bands and Treasury ils oxporate Bonds Manipal Bonds Sank Tust and Mortgage Company Securities and Paper Rachel Securities and Paper any Mortgage Sacked Securities Maple Bonds ea return bonds Products Le Stepp bonds Foreign Sovereign debt Banker Acceptances tnarce Compary Paper Depost Notes Forward
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