Legalize / European Union / Delegated Regulation

Commission Delegated Regulation (EU) 2022/1855 of 10 June 2022 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical standards specifying the minimum details of the data to be reported to trade repositories and the type of reports to be used (Text with EEA relevance)

Type Delegated Regulation

Publication 2022-10-07

State In force

Text As published

Department European Commission, FISMA

Source EUR-Lex

articles 9

This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.

Reform history JSON API


7.10.2022	EN	Official Journal of the European Union	L 262/1

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories ¹, and in particular Article 9(5) thereof,

Whereas:

(1) Delegated Regulation (EU) No 148/2013 of 19 December 2012 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories with regard to regulatory technical standards on the minimum details of the data to be reported to trade repositories has been substantially amended. Since further amendments would be needed in order to improve the clarity of the reporting framework and ensure coherence with new implementing technical standards and other internationally agreed standards, it should be repealed and replaced by this Regulation.

(2) The reporting of complete and accurate details of derivatives, including the indication of the business events triggering the changes to the derivatives, is essential to ensure that the derivative data can be effectively used.

(3) Where a derivative contract is composed of a combination of derivative contracts that are negotiated together as the product of a single economic agreement, the competent authorities need to understand the characteristics of each of the derivative contracts concerned. Since competent authorities also need to be able to understand the overall context, it should also be apparent from the report that the derivative contract is part of a complex derivative. Therefore, derivative contracts pertaining to a combination of derivative contracts should be reported in separate reports for each derivative contract with an internal identifier to provide a link between the reports.

(4) In the case of derivative contracts composed of a combination of derivative contracts which need to be reported in more than one report, it may be difficult to determine how the relevant information about the contract should be set out across reports and thus how many reports should be submitted. Therefore, counterparties should agree on the number of reports to be submitted detailing such a contract.

(5) In order to allow flexibility, a counterparty should be able to delegate the reporting of a contract to the other counterparty or to a third party. Counterparties should also be able to agree to delegate reporting to a common third entity including a central counterparty (‘CCP’). In order to ensure data quality when one report is made on behalf of both counterparties, it should contain all relevant details in relation to each counterparty. Where the reporting is delegated, the report should contain the full set of details that would have been reported had the report been made by the reporting counterparty.

(6) It is important to acknowledge that a CCP acts as a party to a derivative contract. Accordingly, where an existing contract is subsequently cleared by a CCP, it should be reported as terminated and the new contract resulting from clearing should be reported.

(7) It is also important to acknowledge that certain derivatives, such as derivatives traded on trading venues or organised trading platforms located outside the Union, derivatives cleared by CCPs or contracts for difference, are often terminated and included into a position and the risk for such derivatives is managed at position level. Furthermore, it is the resulting position, rather than original derivatives at trade level, that becomes subject to the subsequent lifecycle events. In order to enable efficient and accurate reporting of such derivatives, counterparties should be allowed to report at position level. To ensure that counterparties do not use position-level reporting inappropriately, specific conditions should be set out, which should be fulfilled to report at position level.

(8) In order to properly monitor concentration of exposures and systemic risk, it is crucial to ensure that complete and accurate information on exposure and collateral exchanged between two counterparties is submitted to trade repositories. The mark to market or mark to model value of a contract indicates the sign and size of the exposures related to that contract, and complements the information on the original value specified in the contract. Thus, it is essential that counterparties report valuations of derivative contracts according to a common methodology. Furthermore, it is equally important to require reporting of posted and received initial and variation margins pertaining to a particular derivative. Therefore, counterparties that collateralise their derivatives should report such collateralisation details on a trade-level basis. Where collateral is calculated on a portfolio basis, counterparties should report posted and received initial and variation margins pertaining to that portfolio using a unique code as determined by the reporting counterparty. That unique code should identify the specific portfolio over which the collateral is exchanged and should also ensure that all relevant derivatives can be linked to that particular portfolio.

(9) Notional amount is an essential characteristic of a derivative to determine the obligations associated with that derivative. Furthermore, notional amounts are used as one of the metrics to assess exposures, trading volumes and size of the derivative market. Thus, consistent reporting of notional amounts is essential. In order to ensure that counterparties report notional amounts in a harmonised manner, the required method of computing notional amount should be specified with regard to different types of products.

(10) Similarly, information relating to the pricing of the derivatives should be reported consistently and thus allow competent authorities to verify the reported exposures, evaluate costs and liquidity in the derivatives markets as well as compare the prices of similar products traded in different markets.

(11) As a result of lifecycle events such as clearing, novation or compression, certain derivatives are created, modified or terminated. In order to enable competent authorities to understand the sequences of events occurring in the market and the relations between the reported derivatives, it is essential to provide a method to link all relevant derivatives impacted by the same lifecycle event. As the most efficient way of linking the derivatives may differ depending on the nature of the event, different linking methods should be set out.

(12) This Regulation is based on the draft regulatory technical standards submitted to the Commission by the European Securities and Markets Authority (ESMA).

(13) ESMA has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council ².

(14) To enable counterparties and trade repositories to take all necessary actions to adapt to the new requirements, the date of application of this Regulation should be deferred by 18 months,

HAS ADOPTED THIS REGULATION:

Article 1

Details to set out in reports pursuant to Article 9(1) and (3) of Regulation (EU) No 648/2012

Reports to trade repositories made pursuant to Article 9(1) and (3) of Regulation (EU) No 648/2012 shall include the complete and accurate details set out in Tables 1, 2 and 3 of the Annex to this Regulation that pertain to the derivative concerned.

Those details shall be reported in a single report.

When reporting the conclusion, modification or termination of the derivative, a counterparty shall specify in its report the details of the action type and event type, as described in the fields 151 and 152 in Table 2 of the Annex, to which that conclusion, modification or termination is related.

By way of derogation from paragraph 1, where the fields in the Tables 1, 2 and 3 of the Annex do not allow for the effective reporting of the details referred to in paragraph 1, those details shall be reported in separate reports, such as in the case where the derivative contract is composed of a combination of derivative contracts that are negotiated together as the product of a single economic agreement.

Before the reporting deadline, counterparties to a derivative contract composed of a combination of derivative contracts referred to in the first subparagraph shall agree on the number of separate reports to be sent to a trade repository in relation to that derivative contract.

The reporting counterparty shall link the separate reports by an identifier that is unique at the level of the counterparty to the group of derivative reports, in accordance with field 6 in Table 2 of the Annex.

Where one report is made on behalf of both counterparties, it shall contain the details set out in Tables 1, 2 and 3 of the Annex in relation to each of the counterparties.

Where one counterparty reports the details of a derivative to a trade repository on behalf of the other counterparty, or a third entity reports a contract to a trade repository on behalf of one or both counterparties, the details reported shall include the full set of details that would have been reported had the derivatives been reported to the trade repository by each counterparty separately.

Article 2

Cleared trades

Where a derivative whose details have already been reported pursuant to Article 9 of Regulation (EU) No 648/2012 is subsequently cleared by a central counterparty (‘CCP’), that derivative shall be reported as terminated by specifying in fields 151 and 152 in Table 2 of the Annex to this Regulation the action type ‘Terminate’ and event type ‘Clearing’. New derivatives resulting from clearing shall be reported by specifying in fields 151 and 152 in Table 2 of the Annex to this Regulation the action type ‘New’ and event type ‘Clearing’.

Where a derivative is both concluded on a trading venue or on an organised trading platform located outside the Union and cleared by a CCP on the same day, only the derivatives resulting from clearing shall be reported. Those derivatives shall be reported by specifying in fields 151 and 152 in Table 2 of the Annex either the action type ‘New’, or the action type ‘Position component’, in accordance with Article 3(2), and event type ‘Clearing’.

Article 3

Reporting at position level

Following the reporting of the details of a derivative a counterparty has concluded and the termination of that derivative due to inclusion in a position, a counterparty shall be allowed to use position level reporting, provided that all of the following conditions are fulfilled:

(a) the risk is managed at position level;

(b) the reports relate to derivatives concluded on a trading venue or on an organised trading platform located outside the Union or to derivatives cleared by a CCP or to contracts for difference that are fungible with each other and have been replaced by the position;

(c) the derivatives at trade level as referred to in field 154 in Table 2 of the Annex, were correctly reported prior to their inclusion in the position;

(d) other events that affect the common fields in the report of the position are separately reported;

(e) the derivatives referred to in point (b) were duly terminated by indicating the action type ‘Terminate’ in field 151 in Table 2 of the Annex and event type ‘Inclusion in a position’ in the field 152 in Table 2 of the Annex;

(f) the resulting position was duly reported either as a new position or as an update to an existing position;

(g) the report of the position was made correctly filling in all the applicable fields in Tables 1 and 2 of the Annex and by indicating that the report is made at position level in field 154 in Table 2 of the Annex;

(h) the counterparties to the derivative agree that the derivative should be reported at position level.

When an existing derivative is to be included in a position level report on the same day, such derivative shall be reported with action type ‘Position component’ in field 151 in Table 2 of the Annex.

The subsequent updates, including valuation updates, collateral updates and other modifications and lifecycle events, shall be reported at position level and they shall not be reported for the original derivatives at trade level that were terminated and included in that position.

Article 4

Reporting of exposures

The data on collateral for both cleared and non-cleared derivatives shall include all posted and received collateral in accordance with fields 1 to 29 in Table 3 of the Annex.

Where a counterparty 1 collateralises on a portfolio basis, the counterparty 1 or the entity responsible for reporting shall report to a trade repository collateral posted and received on a portfolio basis in accordance with fields 1 to 29 in Table 3 of the Annex and specify a code identifying the portfolio in accordance with field 9 in Table 3 of the Annex.

Non-financial counterparties other than those referred to in Article 10 of Regulation (EU) No 648/2012 or the entities responsible for reporting on their behalf shall not be required to report collateral, mark-to-market, or mark-to-model valuations of the contracts set out in Table 2 and Table 3 of the Annex to this Regulation.

For derivatives cleared by a CCP, the counterparty 1 or the entity responsible for reporting shall report the valuation of the derivative provided by the CCP in accordance with fields 21 to 25 in Table 2 of the Annex.

For derivatives not cleared by a CCP, the counterparty 1 or the entity responsible for reporting shall report, in accordance with fields 21 to 25 in Table 2 of the Annex to this Regulation, the valuation of the derivative performed in accordance with the methodology defined in International Financial Reporting Standard (IFRS) 13 Fair Value Measurement as adopted by Commission Regulation (EC) No 1126/2008 ³, without applying any adjustment to the fair value.

Article 5

Notional amount

The notional amount of a derivative referred to in fields 55 and 64 in Table 2 of the Annex shall be specified as follows:

(a) in the case of swaps, futures, forwards and options traded in monetary units, the reference amount;

(b) in the case of options other than those referred to in point (a), calculated using the strike price;

(c) in the case of forwards other than those referred to in point (a), the product of the forward price and the total notional quantity of the underlying;

(d) in the case of equity dividend swaps, the product of the period fixed strike and the number of shares or index units;

(e) in the case of equity volatility swaps, the vega notional amount;

(f) in the case of equity variance swaps, the variance amount;

(g) in the case of financial contracts for difference, the resulting amount of the initial price and the total notional quantity;

(h) in case of commodity fixed/float swaps, the product of the fixed price and the total notional quantity;

(i) in case of commodity basis swaps, the product of the last available spot price at the time of the transaction of the underlying asset of the leg with no spread and the total notional quantity of the leg with no spread;

(j) in case of swaptions, the notional amount of the underlying contract;

(k) in the case of a derivative not referred to in subparagraphs (a) to (j), where the notional amount is calculated using the price of the underlying asset and such price is only available at the time of settlement, the end of day price of the underlying asset at the date of conclusion of the contract.

The initial report of a derivative contract whose notional amount varies over time shall specify the notional amount as applicable at the date the derivative contract was concluded and the notional amount schedule.

When reporting the notional amount schedule, counterparties shall indicate all of the following:

(i) the unadjusted date on which the associated notional amount becomes effective;

(ii) the unadjusted end date of the notional amount;

(iii) the notional amount which becomes effective on the associated unadjusted effective date.

Article 6

Price

The price of a derivative referred to in field 48 in Table 2 of the Annex shall be specified as follows:

(a) in the case of swaps with periodic payments relating to commodities, the fixed price;

(b) in the case of forwards relating to commodities and equities, the forward price of the underlying;

The price of a derivative shall not be specified in field 48 in Table 2 of the Annex when it is specified in another field in Table 2 of the Annex.

Article 7

Linking of reports

The reporting counterparty or entity responsible for reporting shall link the reports related to the derivatives concluded or terminated as a result of the same event referred to in the field 152 in Table 2 of the Annex as follows:

(a) in the case of clearing, step-in, allocation and exercise, the counterparty shall report the unique trade identifier (‘UTI’) of the original derivative that was terminated as a result of the event referred to in the field 152 in Table 2 in the field 3 in Table 2 of the Annex within the report or reports pertaining to the derivative or the derivatives resulting from that event;

(b) in the case of inclusion of a derivative in a position, the counterparty shall report the UTI of the position in which that derivative has been included in the field 4 in Table 2 of the Annex within the report of that derivative sent with action type ‘Position component’ or a combination of action type ‘Terminate’ and event type ‘Inclusion in a position’;

(c) in the case of post-trade risk reduction (‘PTRR’) event with a PTRR service provider or CCP providing the PTRR service, the counterparty shall report a unique code identifying this event as provided by that PTRR service provider or CCP in the field 5 in Table 2 of the Annex within all the reports pertaining to the derivatives that were either terminated due to or result from that event.

Article 8

Repeal

Delegated Regulation (EU) No 148/2013 is repealed.

References to the repealed Regulation shall be construed as references to this Regulation.

Article 9

Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

It shall apply from 29 April 2024.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 10 June 2022.

For the Commission

The President

Ursula VON DER LEYEN

OJ L 201, 27.7.2012, p. 1.

Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).

Commission Regulation (EC) No 1126/2008 of 3 November 2008 adopting certain international accounting standards in accordance with Regulation (EC) No 1606/2002 of the European Parliament and of the Council (Text with EEA relevance) (OJ L 320, 29.11.2008, p. 1).

ANNEX

Table 1


	Section	Field	Details to be reported
1	Parties to the derivative	Reporting timestamp	Date and time of the submission of the report to the trade repository.
2	Parties to the derivative	Report submitting entity ID	In the case where the entity responsible for reporting has delegated the submission of the report to a third party or to the other counterparty, that entity has to be identified in this field by a unique code. Otherwise the entity responsible for reporting should be identified in this field.
3	Parties to the derivative	Entity responsible for reporting	Where a financial counterparty is solely responsible, and legally liable, for reporting on behalf of both counterparties in accordance with Article 9(1a) of Regulation (EU) No 648/2012 of the Parliament and of the Council⁴ and the non-financial counterparty does not decide to report itself the details of its OTC derivative contracts with the financial counterparty, the unique code identifying that financial counterparty. Where a management company is responsible, and legally liable, for reporting on behalf of an Undertaking for Collective Investment in Transferable Securities (UCITS) in accordance with Article 9(1b) of that Regulation, the unique code identifying that management company. Where an Alternative Investment Fund Manager (AIFM) is responsible, and legally liable, for reporting on behalf of an Alternative Investment Fund (AIF) in accordance with Article 9(1c) of that Regulation, the unique code identifying that AIFM. Where an authorised entity that is responsible for managing and acting on behalf of an IORP is responsible, and legally liable, for reporting on its behalf in accordance with Article 9(1d) of that Regulation, the unique code identifying that entity. This field is applicable only to OTC derivatives.
4	Parties to the derivative	Counterparty 1 (Reporting counterparty)	Identifier of the counterparty to a derivative transaction who is fulfilling its reporting obligation via the report in question. In the case of an allocated derivative transaction executed by a fund manager on behalf of a fund, the fund and not the fund manager is reported as the counterparty.
5	Parties to the derivative	Nature of counterparty 1	Indicate if counterparty 1 is a central counterparty (‘CCP’), a financial counterparty or a non-financial counterparty as defined in Article 2, points 1, 8 and 9, of Regulation (EU) No 648/2012, or an entity as referred to in Article 1, point 5, of that Regulation.
6	Parties to the derivative	Corporate sector of counterparty 1	Nature of counterparty 1's company activities. If counterparty 1 is a financial counterparty, this field shall contain all necessary codes included in the Taxonomy for Financial Counterparties in field 6 of Table 1 of the Annex to Commission Implementing Regulation (EU) 2022/1860⁵ and applying to that counterparty. If counterparty 1 is a non-financial counterparty, this field shall contain all necessary codes included in the Taxonomy for Non-Financial Counterparties in field 6 of Table 1 of the Annex to Implementing Regulation (EU) 2022/1860 and applying to that counterparty. Where more than one activity is reported, the codes shall be populated in order of the relative importance of the corresponding activities.
7	Parties to the derivative	Clearing threshold of counterparty 1	Information whether counterparty 1 is above the clearing threshold referred to in Article 4a(3) or 10(3) of Regulation (EU) No 648/2012 at the date when the transaction was concluded.
8	Parties to the derivative	Counterparty 2 identifier type	Indicator of whether LEI was used to identify counterparty 2.
9	Parties to the derivative	Counterparty 2	Identifier of the second counterparty to a derivative transaction. In the case of an allocated derivative transaction executed by a fund manager on behalf of a fund, the fund and not the fund manager is reported as the counterparty.
10	Parties to the derivative	Country of counterparty 2	In case counterparty 2 is a natural person, the code of country of residence of that person.
11	Parties to the derivative	Nature of counterparty 2	Indicate if counterparty 2 is a CCP, a financial counterparty or a non-financial counterparty as defined in Article 2, points 1, 8 and 9, of Regulation (EU) No 648/2012, or an entity as referred to in Article 1, point 5, of that Regulation.
12	Parties to the derivative	Corporate sector of counterparty 2	Nature of counterparty 2's company activities. If counterparty 2 is a financial counterparty, this field shall contain all necessary codes included in the Taxonomy for Financial Counterparties in field 6 of Table 1 of the Annex to Implementing Regulation (EU) 2022/1860 and applying to that counterparty. If counterparty 2 is a non-financial counterparty, this field shall contain all necessary codes included in the Taxonomy for Non-Financial Counterparties in field 6 of Table 1 of the Annex to Implementing Regulation (EU) 2022/1860 and applying to that counterparty. Where more than one activity is reported, the codes shall be populated in order of the relative importance of the corresponding activities.
13	Parties to the derivative	Clearing threshold of counterparty 2	Information whether counterparty 2 is above the clearing threshold referred to in Article 4a(3) or 10(3) of Regulation (EU) No 648/2012 at the date when the transaction was concluded.
14	Parties to the derivative	Reporting obligation of counterparty 2	Indicator of whether counterparty 2 has the reporting obligation under Regulation (EU) No 648/2012, irrespective of who is responsible and legally liable for its reporting.
15	Parties to the derivative	Broker ID	In the case a broker acts as intermediary for counterparty 1 without becoming a counterparty himself, counterparty 1 shall identify that broker by a unique code.
16	Parties to the derivative	Clearing member	Identifier of the clearing member through which a derivative transaction was cleared at a CCP. This data element is applicable to cleared transactions.
17	Parties to the derivative	Direction	Indicator of whether counterparty 1 is the buyer or the seller as determined at the date the derivative was concluded.
18	Parties to the derivative	Direction of leg 1	Indicator of whether counterparty 1 is the payer or the receiver of leg 1 as determined at the date the derivative was concluded.
19	Parties to the derivative	Direction of leg 2	Indicator of whether counterparty 1 is the payer or the receiver of leg 2 as determined at the date the derivative was concluded.
20	Parties to the derivative	Directly linked to commercial activity or treasury financing	Information on whether the contract is objectively measurable as directly linked to counterparty 1's commercial or treasury financing activity, as referred to in Article 10(3) of Regulation (EU) No 648/2012. This field shall be populated only where counterparty 1 is a non-financial counterparty, as defined in Article 2 point (9) of the Regulation (EU) No 648/2012.

Table 2

Reading this document does not replace reading the official text published in the Official Journal of the European Union. We assume no responsibility for any inaccuracies arising from the conversion of the original to this format.

This text is published under EUR-Lex's own terms of reuse, not a Legalize or public-domain licence. EUR-Lex
Creative Commons Attribution 4.0 International (CC BY 4.0)
© European Union, https://eur-lex.europa.eu — Source: EUR-Lex (Publications Office of the European Union). Reused under the Creative Commons Attribution 4.0 International (CC BY 4.0) licence. Only EU legislation published in the printed Official Journal of the European Union is deemed authentic; consolidated texts are reproduced here for documentation purposes and have been reformatted to Markdown.