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)

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and ensure coherence with new implementing technical standards and other internationally agreed standards, it should be repealed and replaced by this Regulation.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

Those details shall be reported in a single report.

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.

Article 2

Cleared trades

Article 3

Reporting at position level

(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.

Article 4

Reporting of exposures

Article 5

Notional amount

(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.

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

(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;

(c) in the case of swaps relating to equities and contracts for difference, the initial price of the underlying.

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: