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)

1 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.

2 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.

3 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.

4 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.

5 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.

1 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’.

2 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’.

1 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.

2 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.

3 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.

1 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.

2 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.

3 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.

4 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.

5 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 , without applying any adjustment to the fair value.

1 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.

2 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.

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

2 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.

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.

Delegated Regulation (EU) No 148/2013 is repealed. References to the repealed Regulation shall be construed as references to this Regulation.

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.