Response to consultation on Reporting for the purposes of the validation and monitoring of ISDA SIMM

Question 1. Do you agree that the criteria set out in Article [1] of this decision support the identification of reporting entities with significant OTC trading activities?

Yes. We, the Association of German Public Banks, representing around 60 banking institutions - including Landesbanken, promotional banks such as KfW, as well as DZ Bank – concur with the proposed criteria. In our view, the identification of reporting entities engaged in significant OTC trading activities should remain anchored in the already-established classification, and the criteria should not be changed.

We note from the impact assessment (in particular the section "Definition of eligibility criteria for the proportionate regime", page 31) that the EBA appears to lean towards an alternative approach (Option 2b), i.e. an alternative threshold based solely on the OTC trading activities of the reporting entities. We would advise against introducing such a new, separate threshold, for the following reasons:

Reuse of an already-known classification minimises the compliance burden. Counterparties already had to determine, whether they qualify as "significant market players" within the meaning of EMIR (group-level AANA of at least EUR 750 billion, in combination with their type of authorisation). Building the reporting population on this existing and familiar classification allows entities to rely on assessments they already performed, rather than establishing and maintaining an additional, bespoke monitoring process solely for the purposes of this reporting.

A new alternative threshold creates additional complexity and planning uncertainty. The individual-level threshold proposed in Article 1(ii)(1) is to be calibrated by the EBA only at a later stage, on the basis of the fee data collected in 2026. As long as this "X" is unknown, reporting entities cannot reliably assess their future status, plan their implementation, or dimension their systems. An approach that relies on the established EMIR classification avoids this uncertainty.

The benefit of a familiar, stable and readily verifiable classification clearly outweighs a comparatively small improvement in targeting.

Question 2. Do you have suggestions for an alternative criterion, or alternative criteria (including, where relevant threshold(s)), for identifying counterparties with (individually) significant OTC trading activities? If your proposal includes a threshold, please specify both the reference measure (e.g. initial margins, AANA) and the level you deem appropriate (if the threshold is expressed in monetary terms, please specify it in EUR). The population of entities reporting the more comprehensive set of information that is selected based on these criteria should be sufficiently broad and diverse to support identifying weaknesses of the pro forma model, ideally include at least one entity of every group engaged in OTC trading activities in the EU as well as standalone entities with significant OTC trading activities. The criterion or criteria should be easy to assess and monitor, without significant cost of compliance for monitoring the entity’s position towards the threshold. Please explain how your suggested criterion or criteria meet these requirements.

No, please refer to our answer under Q1.

Question 3. Do you agree with the use of the ‘collateral portfolio indicator’/ UTI as tool to make the link to the EMIR trade repositories reporting? Do you see issues arising when trying to make that link? Are the assumptions regarding the link between netting sets, margined portfolios and these identifiers plausible? Could it happen that a netting set comprises more than one margined portfolio where the initial margin is computed using an initial margin model based on ISDA SIMM, and if yes, are such cases frequent? What other identifiers could be used?

No. To reduce implementation complexity and reporting costs, the proposed technical linkage between IM reporting and EMIR reporting via UTI or Collateral Portfolio Indicator should be removed entirely rather than further refined. In practice, IM is often calculated in dedicated margining systems, while EMIR reporting is generated through separate reporting systems and reporting streams. As a result, both datasets are typically sourced from different operational processes and infrastructures. Consequently, there is often no direct technical linkage between EMIR reporting data and the data used for IM reporting. The relationship is therefore frequently indirect and requires additional mappings or reference data. As a result, a robust and unambiguous reconciliation between IM calculations and EMIR reporting cannot always be ensured.

Therefore, the use of the UTI or Collateral Portfolio Indicator is not suitable for linking the proposed reporting to EMIR trade repository reporting.

Question 4. Do you usually monitor, and keep a record of, the initial margins calculated / collected as of each business day? What is the cost of compliance associated with reporting the maximum and average values for the month?

Yes. The relevant data is generally monitored and retained.

The effort associated with reporting monthly averages and peak values consists mainly of consolidating and processing the relevant datasets. This data is currently largely maintained by external service providers. Therefore, data availability and calculation methodology are not entirely within the control of reporting institutions and depend significantly on vendor-provided functionality and interfaces.

Question 5. Do you see a need to provide entities other than those engaged in significant OTC trading activities with the discretion to omit the breakdown by method for calculating the margin in template V 01.00? Are there particular challenges to providing the breakdown of the number of counterparties and the initial margins by method for calculating the margin, i.e. is there a particular cost of compliance associated with providing that breakdown?

Yes. The Standardised Grid approach is used only to a limited extent in practice. Therefore, requiring smaller institutions to provide a detailed breakdown by calculation methodology would generate additional implementation effort with limited supervisory value. An exemption would reduce the reporting burden.

Question 6. Do you think an (im)materiality threshold should be introduced (i.e. for example, should counterparties only be counted if the total initial margin calculated for all transactions with that counterparty amounts to at least EUR 500 000? Is the determination of the number of counterparties in such a case associated with a high(er) or low(er) operational cost?

Yes. In addition to a monetary threshold, the duration of exceedance should also be considered. 

As a result of threshold management strategies or temporary market movements, a threshold may be exceeded for only a few days without creating a materially relevant exposure. We, therefore, recommend including a time component, for example exempting cases where the threshold is exceeded for fewer than five business days within a month.

Question 7: What are your views on the alternative approach of collecting the information on initial margins, rather than the transformed notional amount under the main method and first alternative method? Do you prefer:

Please elaborate:

We prefer reporting granular IM data.

The Equivalent Portfolio Notional Amount is merely a derived value based on Initial Margin figures and does not represent an actual notional amount.

Reporting the underlying IM information would improve transparency, traceability and data quality while reducing transformation requirements.

Question 8. Do you consider 500 000 EUR to be an appropriate amount to determine the relevance, and therefore materiality of a formal margin dispute? Would you support a higher/lower threshold, and for which reasons?

No, we consider the EUR 0.5 million threshold for a formal dispute unreasonably small in relation to other margin thresholds.

Article 29(1) of Commission Delegated Regulation (EU) 2016/2251 defines the threshold for an exchange of initial margin to be EUR 50 million. The proposed threshold for formal dispute is only 1% of that figure, for material portfolios it would even be significantly lower. Such a low-level threshold might generate unnecessary tracking and documentation efforts.

For variation margin the formal level for dispute reporting, defined as EUR 15 Mio, is a factor of 30 larger than the similar level for initial margin.

Please elaborate:

Further clarification would be beneficial regarding the definition of formal disputes. This would improve consistency across reporting institutions while reducing interpretation risk and implementation complexity.

We would prefer aggregated reporting only. In practice, most margin differences arise from minor valuation differences, market data differences, or methodological assumptions affecting IM calculations. Detailed reporting of individual disputes would create substantial operational effort while providing only limited additional supervisory insight.

Question 11. For technical reasons, template V 16.00 must have a unique row key. The combination of the ID of the margined portfolio, the horizon type and the portfolio population (static/dynamic) is assumed to be unique. Should you be aware of instances where this combination is not unique (e.g. back-testing performed for one and the same netting set, horizon type and portfolio population, but using different kinds of P&Ls), please describe them in your response.

Backtesting is generally performed at counterparty, CSA or portfolio level. The specific technical key used to identify individual records is typically not relevant for the interpretation of the backtesting results. Hence a complex record key could be avoided as long as results can be clearly attributed to the relevant counterparty or portfolio.

Question 12. Do you have any other comments on this proposal for reporting for the purposes of validating and monitoring pro forma models, and authorizing the use of the initial margin models based on them? Are the templates and instructions on how to fill them in clear?

On the broader regulatory objective

One of the stated goals of EU institutions (cf. EU Commission on 5 October 2026 “2026 Annual Progress Report on Simplification, Implementation and Enforcement”, https://commission.europa.eu/document/download/0a60b153-7baa-47cc-96da-1177c32719b3_en?filename=APR_Hansen_2026.pdf) is to simplify capital markets and reduce administrative burden. The new reporting framework, as currently designed, does not contribute to this objective. On the contrary, it adds complexity and reporting overhead. For these reasons, we view the new reporting framework critically and urge regulators to reconsider its scope and design.

On the necessity and proportionality of the reporting requirements

Some of the data points requested under the new reporting framework are already submitted during the onboarding process or are regularly provided as part of ongoing validation procedures (e.g., backtesting adjustments). Requiring firms to report this data again creates unnecessary duplication without any added supervisory benefit.

Furthermore, the regulatory rationale behind certain data fields is not apparent to us. For instance, the number of dispute resolution proceedings does not provide meaningful insight into the functioning of ISDA SIMM itself. At most, it may indicate operational or process-related difficulties at individual market participants. This is not a measure of model quality or systemic risk.

On the availability of data from existing sources

Additionally, a significant portion of the required data can already be extracted from various existing capital markets transaction reports. Introducing a new, separate reporting framework that duplicates information already available to regulators raises serious questions about proportionality and efficiency.

Too tight implementation timeframe

Even the implementation of the information required from less active institutions under Template V 01.00 (activities) is likely to be far from negligible. While the scope of the information requested there is described as "basic", its provision – in particular the breakdown by calculation method – requires corresponding adjustments to the systems and processes of the reporting entities.

Of particular significance, however, is the lead time required for the Template V 02.00 (fees): The targeted first submission as of 31 December 2027 effectively presupposes that the monthly data required is already being collected and archived from January 2027 onwards. Since the final EBA decision will only be issued after the conclusion of this consultation (deadline 2 November 2026), there will hardly be left no time at all for the technical and organisational implementation. Factually, the actual implementation period is zero.

As a matter of principle, it is always problematic when reporting requirements effectively take effect before the final regulation is in place. Asking reporting entities to start building systems and collecting data on the basis of a proposal that has not yet been finalised means working against a moving target. This causes an immense effort with a highly doubtful outcome: if the requirements still change during finalisation, work already done may become worthless and have to be redone. EBA itself says that “More detailed information on the process, technical format and IT solution for submitting the data will be provided at a later stage” (cf. page 25 of the consultation paper). This is bad not only for the affected entities, but also for the supervisory authorities themselves, because data collected under time pressure and legal uncertainty will inevitably be of lower quality – and poor data quality is contrary to the purpose of the reporting.

For these reasons, the urgency behind the proposed timeline is not comprehensible to us. In particular, any delays on the EBA's side must not be passed on to the reporting entities by keeping the first reference date fixed while the effective preparation window keeps shrinking. If a sound implementation cannot be achieved more quickly, then it cannot be achieved more quickly – this should be accepted rather than offset at the expense of market participants.

Furthermore, many of the required data elements cannot be delivered directly by the reporting institutions and require enhancements to vendor solutions. Institutions therefore need adequate time to specify requirements, commission developments, perform testing and implement the necessary changes together with their service providers. For market-wide utility providers, regulatory enhancements typically require significant development and release cycles. A short implementation timeline would therefore create substantial operational and implementation risks for reporting entities.

We therefore suggest extending the implementation timeframe in order to ensure a sufficient lead time between the publication of the final reporting requirements and the start of data collection. Otherwise, there is a risk that the data quality of the first submissions will be impaired.

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