Learning More About MAS OTC Derivative Reporting Changes of October 2024
Advancing changes to OTC Derivative Reporting, the Monetary Authority of Singapore (MAS) last week released responses to their Consultation Paper and updated Reporting Guidelines on amendments to the regulation (link).
The release clarified certain points of the update such as timelines, reportable fields, submission formats and unique transaction identifier (UTI) generation. It follows the overall trend of derivative reporting updates taking place across the globe where regulators are harmonizing much of the data required to be reported in order to improve the overall quality submitted.
Unique Trade Identifier (UTI) Waterfall & Counterparty Matching– Part of the update is the adoption of a single UTI to be used by each counterparty for each derivate transaction. Responsibility for creation of the UTI is per a waterfall approach based on a hierarchy of systems such as whether a CCP, Clearing Member, trading venue or confirmation platform were counterparties or part of the trade. For pure bilateral uncleared OTC trades, a bilateral agreement is used to determine the generator. Cross-jurisdiction trades take into account which counterparty has the earliest obligation to report.
Taking into account difficulties with sharing UTIs in time, the MAS guidelines provide firms with the ability to use a temporary UTI in cases where they haven’t received the UTI in time and to rereport with the correct UTI within two business days of getting the correct UTI.
Timelines – Aligning with timelines in Australia, the reporting update is set to go live in October 2024. Despite initial discussions of a two-phase approach for various parts of the new regulation, MAS has elected to move forward with a single new format that will be required for submissions in October 2024. MAS will also continue to apply the T+2 format that currently exists of which firms have until the end of the second business day to report new and modified transactions.
ISO 20022 XML format – Similar to standards being implemented in the US, Europe, UK, Japan and Australia, Singapore derivative reporting submissions to trade repositories (TR) will be in the ISO 20022 XML format. This replaces the current availability of CSV or fPML formats that the DTCC TR (currently the only licensed TR for MAS reporting) supports.
Unique Product Identifier (UPI) – Based on positive feedback from respondents to the Consultation Paper, MAS is including the UPI among new reporting fields. Managed by ANNA DSB, the UPI is more granular than a CFI Code and provides more detailed information on the type of derivative product being traded. Along with the UPI, MAS stated that it will continue to require other product related fields such as instrument type that can be derived back from the UPI, but will re-evaluate their obligation in the future.
Expanded Reporting Fields – Part of the harmonization process across global regulation is the move to use derivative industry endorsed critical data elements (CDE). Altogether, there are now 134 reportable fields. The complete list is available in Table 2 of the First Schedule of Annex D to the reporting guidelines where MAS includes information on acceptable values and which fields apply to each asset class.
Event and Action Types – Among the additional fields being introduced is Event Type and Event Type Date. The Event Type defines what caused the transaction Action to take place and includes values such as Trade, Compression, Credit Event, Corporate Event and Novation. With the exception of a few values, the combinations of Action and Event Types are similar to those that were introduced by ASIC, Japan and the CFTC.
Packages and FX Swaps – The new regulation also provides clarity into how to report packages and FX swaps. FX swaps specifically are a challenge as many back office systems book them as two separate trades, usually with a spot and forward component. Currently, MAS FAQ documents require firms to report each component independently but also include a value to link the two as part of a larger trade. This contrasts to other regulations such as EMIR where FX Swaps are to be reported as a single transaction. In addition, the current MAS reporting specifications don’t include a field to connect the two swap components.
To solve this problem, the guidelines introduce a new field of Swap Link ID where submitting firms can enter a common ID value to connect both of the FX Swap components that are reported separately with their own UTI. Similarly, MAS has adopted the CDE field of Package Identifier. This field allows firms to report multiple transactions that have their own UTI, but are part of the same trade with a common identifier. However, unlike other regulations, MAS didn’t include other package related CDEs such as package price and currency that come with their own challenges of both capturing the information and how to report them correctly.