Commission Implementing Regulation (EU) 2022/1860 of 10 June 2022 laying down implementing technical standards for the application of Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to the standards, formats, frequency and methods and arrangements for reporting (Text with EEA relevance)

The details of a derivative contract to be reported pursuant to Article 9 of Regulation (EU) No 648/2012 shall be provided in accordance with the standards and formats laid down in Tables 1, 2 and 3 of the Annex to this Regulation and in a common electronic and machine-readable form and in a common XML template in accordance with the ISO 20022 methodology.

1 All reports of the details of a derivative specified in Article 1 of Commission Delegated Regulation (EU) 2022/1855 shall be provided in the chronological order in which the events pertaining to the information to be reported have occurred.

2 A CCP, a financial counterparty or a non-financial counterparty as referred to in Article 10 of Regulation (EU) No 648/2012, which is a counterparty to a derivative, or the entity responsible for reporting, shall report any modification of the details relating to the collateral data in fields 1 to 29 in Table 3 of the Annex to Delegated Regulation (EU) 2022/1855 with action type ‘Margin update’, as those details stand at the end of each day, for that derivative when: (a) the derivative has not matured and has not been the subject of a report with the action type ‘Terminate’, ‘Error’ or ‘Position component’ as referred to in field 151 in Table 2 of the Annex; or (b) the derivative was subject to a report with action type ‘Revive’ not followed by another report with the action type ‘Terminate’ or ‘Error’ as referred to in field 151 in Table 2 of the Annex.

3 A counterparty to a derivative referred to in points (a) and (b) of paragraph 2 that is a CCP, a financial counterparty or a non-financial counterparty as referred to in Article 10 of Regulation (EU) No 648/2012 or the entity responsible for reporting shall report the end-of-day mark-to-market or mark-to-model valuation of the contract in fields 21 to 25 in Table 2 of the Annex to Delegated Regulation (EU) 2022/1855 with action type ‘Valuation update’, as it stands at the end of each day.

1 A report shall use an ISO 17442 Legal Entity Identifier (LEI) code to identify: (a) a broking entity; (b) a CCP; (c) a clearing member; (d) a counterparty which is a legal entity; (e) a report submitting entity; (f) an entity responsible for reporting; (g) a post-trade risk reduction service provider.

2 A counterparty 1 to a derivative as referred to in the field 4 in Table 1 of the Annex to Delegated Regulation (EU) 2022/1855 and the entity responsible for reporting shall ensure that the reference data related to its ISO 17442 LEI code is renewed in accordance with the terms of any of the accredited Local Operating Units of the Global LEI System when reporting the conclusion or modification of a derivative contract pursuant to the Article 9 of Regulation (EU) No 648/2012.

1 The counterparty side to the derivative contract referred to in fields 17 to 19 in Table 1 of the Annex shall be determined at the time of the conclusion of the derivative in accordance with paragraphs 2 to 14.

2 In the case of options and swaptions, the counterparty that holds the right to exercise the option shall be identified as the buyer and the counterparty that sells the option and receives a premium shall be identified as the seller.

3 In the case of forwards related to currencies, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.

4 In the case of swaps related to currencies where multiple exchanges of currencies take place, each counterparty for both legs of the trade shall be identified as either the payer or the receiver of the leg based on the exchange of currencies that takes place closest to the expiration date.

5 In the case of forwards other than forwards relating to currencies and in the case of futures, the counterparty buying the instrument shall be identified as the buyer and the counterparty selling the instrument shall be identified as the seller.

6 In the case of financial contracts for difference and spreadbets the counterparty which goes short on the contract shall be identified as the seller, and the counterparty going long on the contract shall be identified as the buyer.

7 In the case of swaps related to dividends, the counterparty receiving the equivalent dividend amount payments shall be identified as the buyer and the counterparty paying that equivalent dividend amount payments shall be identified as the seller.

8 In the case of swaps related to securities other than swaps related to dividends, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.

9 In the case of swaps related to interest rates or inflation indices, including the cross-currency swaps, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.

10 With the exception of options and swaptions, in the case of derivative instruments for the transfer of credit risk, the counterparty buying the protection shall be identified as the buyer and the counterparty selling the protection shall be identified as the seller.

11 In the case of swaps related to commodities, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.

12 In the case of forward-rate agreements, counterparty 1 shall be identified as either the payer or the receiver for leg 1, and the opposite for leg 2. Counterparty 2 shall populate fields 18 and 19 in Table 1 with the opposite values to counterparty 1.

13 In the case of derivatives related to variance, volatility and correlation, the counterparty profiting from an increase in the price of the underlying shall be identified as the buyer and the counterparty profiting from a decrease in the price of the underlying shall be identified as the seller.

Reporting counterparty shall identify the type of collateralisation of the derivative contract or a portfolio of derivatives referred to in field 11 in Table 3 of the Annex as follows: (a) as ‘uncollateralised’ where no collateral agreement exists between the counterparties or where the collateral agreement between the counterparties stipulates that the counterparties post neither initial margin nor variation margin with respect to the derivative or a portfolio of derivatives; (b) as ‘partially collateralised: counterparty 1 only’ where the collateral agreement between the counterparties stipulates that the reporting counterparty only posts regularly variation margins and that the other counterparty does not post any margin with respect to the derivative or a portfolio of derivatives; (c) as ‘partially collateralised: counterparty 2 only’ where the collateral agreement between the counterparties stipulates that the other counterparty only posts regularly variation margin and that the reporting counterparty does not post any margin with respect to the derivative or a portfolio of derivatives; (d) as ‘partially collateralised’ where the collateral agreement between the counterparties stipulates that both counterparties only post regularly variation margin with respect to the derivative or a portfolio of derivatives; (e) as ‘one-way collateralised: counterparty 1 only’ where the collateral agreement between the counterparties stipulates that the reporting counterparty posts the initial margin and regularly posts variation margins and that the other counterparty does not post any margins with respect to the derivative or a portfolio of derivatives; (f) as ‘one-way collateralised: counterparty 2 only’ where the collateral agreement between the counterparties stipulates that the other counterparty posts the initial margin and regularly posts variation margins and that the reporting counterparty does not post any margins with respect to the derivative or a portfolio of derivatives; (g) as ‘one-way/partially collateralised: counterparty 1’ where the collateral agreement between the counterparties stipulates that the reporting counterparty posts the initial margin and regularly posts variation margin and that the other counterparty regularly posts only variation margin with respect to the derivative or a portfolio of derivatives; (h) as ‘one-way/partially collateralised: counterparty 2’ where the collateral agreement between the counterparties stipulates that the other counterparty posts the initial margin and regularly posts variation margin and that the reporting counterparty regularly posts only variation margin with respect to the derivative or a portfolio of derivatives (i) as ‘fully collateralised’ where the collateral agreement between the counterparties stipulates that both counterparties post initial margin and regularly post variation margins with respect to the derivative with respect to the derivative or a portfolio of derivatives.

1 A report shall specify a derivative on the basis of contract type and asset class in accordance with fields 10 and 11 in Table 2 of the Annex. The report shall specify the asset class most closely resembling the derivative where derivatives do not belong to one of the classes of derivatives referred to in field 11 in Table 2 of the Annex. Both counterparties shall specify the same asset class.

2 A derivative shall be identified in field 7 in Table 2 of the Annex using an ISO 6166 International Securities Identification Number (ISIN) code in either of the following cases: (a) it is admitted to trading or traded on a trading venue; (b) it is traded on a systematic internaliser and its underlying is admitted to trading or traded on a trading venue or is an index or basket composed of instruments traded on a trading venue.

3 A derivative other than the derivative referred to in paragraph 2 shall be identified in field 8 of Table 2 of the Annex using an ISO 4914 Unique Product Identifier (UPI) code.

4 The reporting counterparty shall classify the derivative in field 9 in Table 2 of the Annex using an ISO 10962 Classification of Financial Instrument (CFI) code.

1 The counterparties shall report derivatives using the UTI generated in accordance with paragraphs 2, 3 and 5.

2 A derivative, reported either at transaction or position level, shall be identified using a ISO 23897 Unique Transaction Identifier (UTI) in field 1 in Table 2 of the Annex. The UTI shall be composed by the LEI of the entity which generated that UTI followed by a code containing up to 32 characters which is unique at the level of the generating entity.

3 The counterparties shall determine the entity responsible for generating the UTI in accordance with the following: (a) for cleared derivatives other than derivatives between two CCPs, the UTI shall be generated at the point of clearing by the CCP for the clearing member. A different UTI shall be generated by the clearing member for its counterparty for a trade in which the CCP is not a counterparty; (b) for centrally-executed but not centrally-cleared derivatives, the UTI shall be generated by the venue of execution for its member; (c) for derivatives other than those referred to in points (a) and (b), where either counterparty is subject to the reporting requirements in a third country, the UTI shall be generated pursuant to the rules of the jurisdiction of the counterparty that must comply first with those reporting requirements. Where the counterparty subject to reporting under Article 9 of Regulation (EU) No 648/2012 must comply first with the reporting requirements, the entity responsible for generating the UTI shall be as follows: (i) for derivatives that were centrally-confirmed by electronic means, the trade confirmation platform at the point of confirmation; (ii) for all other derivatives, the counterparties shall agree on the entity responsible for generating the UTI. Where the counterparties fail to agree, the counterparty whose LEI is first based on sorting the identifiers of the counterparties with the characters of the identifier reversed shall be responsible for the generation. Where the applicable laws of the relevant third country provide for the same reporting deadline as the one applicable to the counterparty subject to reporting under Article 9 of Regulation (EU) No 648/2012 pursuant to first subparagraph of Article 9(1) of Regulation (EU) No 648/2012, the counterparties shall agree on the entity responsible for generating the UTI. Where the counterparties fail to agree, and the derivative was centrally-confirmed by electronic means, the UTI shall be generated by the trade confirmation platform at the point of confirmation. If the UTI cannot be generated by the trade confirmation platform at the point of confirmation, and the details of the derivative have to be reported to a single trade repository, that trade repository shall be responsible for generating the UTI. If the UTI cannot be generated by the trade repository to which the details of the derivative have been reported, the counterparty whose LEI is first when sorting the identifiers of the counterparties with the characters reversed shall be responsible for the generation; (d) for derivatives other than those referred to in points (a), (b) and (c), that were centrally-confirmed by electronic means, the UTI shall be generated by the trade confirmation platform at the point of confirmation; (e) for all derivatives other than those referred to in points (a) to (d), the following shall apply: (i) where financial counterparties conclude a derivative with non-financial counterparties, the financial counterparties shall generate the UTI; (ii) where non-financial counterparties above the clearing threshold conclude a derivative with non-financial counterparties below the clearing threshold, those non-financial counterparties above the clearing threshold shall generate the UTI; (iii) for all derivatives other than those referred to in points (i) and (ii), the counterparties shall agree on the entity responsible for generating the UTI. Where the counterparties fail to agree, the counterparty whose LEI is first based on sorting the identifiers of the counterparties with the characters of the identifier reversed shall be responsible for the generation.

4 The counterparty generating the UTI shall communicate the UTI to the other counterparty in a timely manner and no later than 10:00 a.m. Coordinated Universal Time of the working day following the date of the conclusion of the derivative.

5 Notwithstanding paragraph 3, the generation of the UTI may be delegated to an entity different from that determined in accordance with paragraph 3. The entity generating the UTI shall comply with the requirements set out in paragraphs 2 and 4.

1 Where the counterparty identified pursuant to Article 3 in a derivative report undergoes a corporate restructuring event resulting in a change of its LEI, that counterparty or the counterparty to which the new LEI pertains, or the entity responsible for reporting on behalf of either of those counterparties pursuant to Article 9(1a) to (1d) of Regulation (EU) No 648/2012, or the entity to which either of the counterparties delegated the reporting pursuant to Article 9(1f) of Regulation (EU) No 648/2012, shall notify the trade repository to which the counterparty that underwent a corporate restructuring event reported its derivatives about the change and request an update of the LEI in the derivatives concerned referred to in points (a) and (b) of Article 2(2) at the date of the corporate restructuring event resulting in a change of LEI or contracts reported after that date.

2 Where possible, the request to update of the identifier in the derivatives referred to in points (a) and (b) of Article 2(2) shall be made at least 30 calendar days prior to the corporate restructuring event resulting in a change of LEI. If the entity referred to in paragraph 1 cannot provide this information to the trade repository 30 calendar days prior to the corporate restructuring event resulting in a change of LEI, it shall notify the trade repository as soon as possible.

3 The request referred to in the paragraph 1 shall contain at least the following: (a) the LEI of each of the counterparties participating in the corporate restructuring event; (b) the LEI of the new counterparty; (c) the date on which the change of LEI takes place or has taken place; (d) the UTIs of the derivatives concerned in the case where the corporate restructuring event affects only a subset of derivatives referred to in points (a) and (b) of Article 2(2); (e) evidence that the corporate restructuring event has taken or is to take place, subject to the provisions concerning the public disclosure of inside information in Article 17 of Regulation (EU) 596/2014.

4 When a counterparty notifies by mistake a trade repository about a change in its LEI, it shall follow the procedure to request update of its LEI in accordance with paragraph 1, 2 and 3.

5 Where a counterparty previously identified with identifier other than LEI obtains a LEI, the procedures under paragraphs 1, 2 and 3 apply.

6 Where a change in LEI concerns a counterparty established in a third country, its reporting counterparty established in the Union or the entity responsible for reporting pursuant to Article 9(1a) to (1d) of Regulation (EU) No 648/2012 or the entity to which the reporting counterparty established in the Union delegated the reporting shall initiate the procedure under paragraphs 1, 2 and 3.

7 Where a counterparty established in a third country previously identified with identifier other than LEI obtains a LEI, each reporting counterparty established in the Union affected by this change or the entity responsible for reporting pursuant to Article 9(1a) to (1d) of Regulation (EU) No 648/2012 or the entity to which the reporting counterparty established in the Union delegated the reporting shall request the update of the identifier of the counterparty established in a third country to its respective trade repository.

8 Where the change in LEI concerns an entity referred to in points (a), (b), (c), (e) or (g) of Article 3(1), that is not a counterparty to the derivative, counterparty 1 or the entity responsible for reporting shall confirm to the trade repository the UTIs of the derivatives concerned referred to in points (a) and (b) of Article 2(2). Where counterparty 1 and the entity responsible for reporting do not confirm to the trade repository the UTIs of the derivatives referred to in the points (a) and (b) of Article 2(2) concerned by the change in LEI, counterparty 1 or the entity responsible for reporting shall update the LEI of the concerned entity in all reports pertaining to the derivatives concerned referred to in the points (a) and (b) of Article 2(2) by sending a report with action type ‘Modify’.

1 The entity responsible for reporting shall notify its competent authority and, if different, the competent authority of the reporting counterparty of any of the following instances: (a) any misreporting caused by flaws in the reporting systems that would affect a significant number of reports; (b) any reporting obstacle preventing the report submitting entity from sending reports to a trade repository within the deadline referred to in Article 9(1) of Regulation (EU) No 648/2012; (c) any significant issue resulting in reporting errors that would not cause rejection by a trade repository in accordance with Commission Delegated Regulation (EU) 2022/1858 . The entity responsible for reporting shall promptly notify any of those instances, as soon as it becomes aware of them. The notification shall indicate at least the type of the error or omission, the date of the occurrence, scope of the affected reports, reasons for the errors or omissions, steps taken to resolve the issue and the timeline for resolution of the issue and corrections.

2 Where a financial counterparty is solely responsible and legally liable for reporting of the details of OTC derivative contracts on behalf of a non-financial counterparty pursuant to Article 9(1a) of Regulation (EU) No 648/2012, it shall put in place the following arrangements: (a) arrangements for the timely provision by the non-financial counterparty of the following details of the OTC derivative contracts that the financial counterparty cannot be reasonably expected to possess and where those are unknown by that financial counterparty: (i) broker ID, as referred to in the field 15 in Table 1 of the Annex; (ii) clearing member, as referred to in the field 16 in Table 1 of the Annex; (iii) directly linked to commercial activity or treasury financing, as referred to in the field 20 in Table 1 of the Annex; (b) arrangements for timely information by the non-financial counterparty to the financial counterparty of any change in its legal obligations pursuant to Article 10(1) of Regulation (EU) No 648/2012; (c) arrangements for duly renewal by the non-financial counterparty of its LEI in accordance with the terms of any of the accredited Local Operating Units of the Global LEI System; (d) arrangements for timely notification by the non-financial counterparty to the financial counterparty of its decision to start or to cease reporting the details of OTC derivative contracts concluded with the financial counterparty. Such arrangements shall at least ensure that the notification is done in writing or by other equivalent electronic means at least 10 working days before the date on which the non-financial counterparty wants to start or to cease reporting.

3 The counterparties, the entities responsible for reporting and the report submitting entities, as applicable, shall have in place arrangements which ensure that the feedback on the reconciliation failures provided pursuant to Article 3 of Delegated Regulation (EU) 2022/1858 is taken into account.

A counterparty to a derivative that fulfils the conditions set out in point (a) or (b) of Article 2(2) on XX.XX.20XX or the entity responsible for reporting shall report all details of that derivative required in accordance with the Annex by submitting a report with event type ‘Update’ within 180 calendar days of the [PO please insert date of application of the ITS], unless they have submitted a report with the action type ‘Modify’ or ‘Correct’ for that derivative within this period.

Implementing Regulation (EU) No 1247/2012 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.