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.

BayernLB concurs 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” on 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.

BayernLB would advise against introducing such a new, separate threshold for the following reasons:

Reuse of an already-known classification minimises the compliance burden.

BayernLB already has to determine whether it qualifies as a “significant market player” within the meaning of EMIR, based on group-level AANA of at least EUR 750 billion in combination with the relevant type of authorisation. Building the reporting population on this existing and familiar classification would allow BayernLB to rely on assessments 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, BayernLB cannot reliably assess its future status, plan the necessary implementation measures or appropriately dimension its systems and processes.

An approach relying on the established EMIR classification avoids this uncertainty. In BayernLB’s view, 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 Question 1.

BayernLB considers the existing classification to provide an appropriate and operationally efficient basis for identifying reporting entities with significant OTC trading activities. Introducing an additional threshold would create additional monitoring and implementation requirements without, in BayernLB’s view, providing sufficient additional benefit to justify this complexity.

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, BayernLB considers that the proposed technical linkage between IM reporting and EMIR reporting via UTI or Collateral Portfolio Indicator should be removed entirely rather than further refined.

At BayernLB, IM calculations and EMIR reporting are handled through separate operational processes and infrastructures. Consequently, there is no direct technical linkage between the EMIR reporting data and all data used for IM reporting. Establishing such a relationship would require additional mappings or reference data.

As a result, a robust and unambiguous reconciliation between IM calculations and EMIR reporting cannot always be ensured.

BayernLB therefore considers the UTI or Collateral Portfolio Indicator unsuitable for linking the proposed reporting requirements 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.

BayernLB generally monitors and retains the relevant data.

The effort associated with reporting monthly averages and peak values mainly results from consolidating and processing the relevant datasets.

Relevant data is currently to a significant extent maintained by external service providers. As a result, data availability and the calculation methodology are not entirely within BayernLB’s direct control and depend significantly on vendor-provided functionality and interfaces.

Accordingly, changes to reporting requirements may require corresponding changes to external vendor solutions in addition to internal implementation measures.

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.

Based on BayernLB’s experience, the Standardised Grid approach is used only to a limited extent.

BayernLB therefore supports allowing entities that are not engaged in significant OTC trading activities to omit the detailed breakdown by calculation methodology.

Requiring such a breakdown may create additional implementation effort while providing only limited additional supervisory value. An exemption would consequently contribute to reducing the reporting burden and would support a more proportionate reporting framework.

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.

BayernLB supports the introduction of a materiality threshold. However, in addition to a monetary threshold, the duration of the threshold 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.

BayernLB therefore recommends including a time component in the materiality assessment. For example, cases in which the applicable monetary threshold is exceeded for fewer than five business days within a month could be exempted.

Such an approach would better distinguish temporary or technically driven threshold exceedances from exposures that are genuinely material from a reporting perspective.

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:

BayernLB prefers 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 instead would improve transparency, traceability and data quality while reducing transformation requirements.

From BayernLB’s perspective, directly reporting the relevant underlying IM information is therefore preferable to generating and reporting an additional derived metric.

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.

BayernLB considers the proposed EUR 0.5 million threshold for a formal dispute to be disproportionately low in relation to other applicable margin thresholds.

Article 29(1) of Commission Delegated Regulation (EU) 2016/2251 defines the threshold for an exchange of Initial Margin at EUR 50 million. The proposed EUR 0.5 million threshold for formal disputes represents only 1% of that amount. For material portfolios, its relative significance could be even lower.

Such a low threshold could generate unnecessary tracking and documentation efforts.

For Variation Margin, the formal level for dispute reporting referred to in the consultation is EUR 15 million, which is 30 times higher than the proposed EUR 0.5 million level for Initial Margin disputes.

Further clarification of the definition of a “formal dispute” would also be beneficial.

A clearer definition would improve consistency and reduce interpretation risk and implementation complexity.

BayernLB would prefer aggregated reporting only.

Based on BayernLB’s experience, margin differences frequently result from valuation differences, market data differences or methodological assumptions affecting IM calculations. Detailed reporting of individual disputes could therefore result in substantial operational effort while providing only limited additional supervisory insight.

BayernLB consequently considers aggregated dispute reporting to be the more proportionate approach.

Please elaborate:

We would prefer aggregated reporting only.

In practice, most margin differences arise from minor valuation differences, market data differences, or methodological assumptions affecting Initial Margin calculations.

Detailed reporting of individual disputes would create substantial operational effort while providing only limited additional supervisory insight.

Question 10. Considering both the definition of ‘adjustments’ (which may require further clarification) and the frequency of their occurrence, what are your views on the alternative approach of collecting only the granular information, but on all adjustments applied during the reference period?

We are currently not in a position to provide a sufficiently robust assessment of this proposal.

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.

For technical reasons, template V 16.00 must have a unique row key.

From BayernLB’s perspective, 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.

BayernLB therefore considers that a complex record key could be avoided, provided that the respective backtesting results can be clearly and unambiguously attributed to the relevant counterparty or portfolio.

The reporting design should focus on ensuring such an unambiguous attribution rather than introducing additional technical complexity that does not contribute to the interpretation of the backtesting results.

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

BayernLB notes that one of the stated objectives of the EU institutions is to simplify capital markets and reduce administrative burden.

In BayernLB’s view, the new reporting framework, as currently designed, does not sufficiently contribute to this objective. On the contrary, it adds complexity and reporting overhead.

BayernLB therefore views the proposed reporting framework critically and encourages the EBA to reconsider its scope and design with a particular focus on proportionality, simplification and avoidance of duplicate reporting requirements. 

On the necessity and proportionality of the reporting requirements

Some of the data points requested under the proposed reporting framework are already submitted during the onboarding process or regularly provided as part of ongoing validation procedures, including, for example, backtesting adjustments.

Requiring BayernLB to provide the same information again would create unnecessary duplication without an apparent additional supervisory benefit.

Furthermore, the regulatory rationale behind certain requested data fields is not sufficiently clear from BayernLB’s perspective.

For instance, the number of dispute resolution proceedings does not, in itself, provide meaningful insight into the functioning of ISDA SIMM. Such information may indicate operational or process-related issues, but it is not necessarily an appropriate measure of model quality or systemic risk.

BayernLB therefore recommends reviewing individual reporting requirements against their specific supervisory purpose and removing data fields where the additional supervisory benefit does not justify the associated implementation and reporting burden. 

On the availability of data from existing sources

In addition, a significant portion of the required data can already be extracted from existing capital markets transaction reports.

Introducing a separate reporting framework that duplicates information already available to regulators raises concerns regarding proportionality and efficiency.

BayernLB therefore recommends that existing regulatory data sources be used wherever possible before requiring reporting entities to produce and submit additional datasets. 

Implementation timeframe

BayernLB considers the proposed implementation timeframe to be too tight.

Even the implementation of the information required under Template V 01.00 (activities) is likely to require non-negligible implementation effort. Although this information is described as “basic”, its provision, particularly the breakdown by calculation method, requires corresponding adjustments to systems and processes.

The lead time for Template V 02.00 (fees) is of particular concern.

The targeted first submission as of 31 December 2027 effectively requires that the relevant monthly data be collected and archived from January 2027 onwards.

Given that the final EBA decision will only be issued after completion of the consultation, whose deadline is 2 November 2026, this provides practically no time for the required technical and organisational implementation before the relevant data collection would need to start.

In BayernLB’s view, reporting requirements should not effectively apply before the underlying regulatory requirements have been finalised.

Requiring institutions to build systems and start collecting data on the basis of requirements that remain subject to change means implementing against a moving target. If requirements are subsequently modified during finalisation, implementation work that has already been performed may no longer be usable and may have to be repeated.

The consultation paper itself notes that:

“More detailed information on the process, technical format and IT solution for submitting the data will be provided at a later stage.”

From BayernLB’s perspective, this makes it particularly difficult to implement the reporting requirements with sufficient reliability within the proposed timeframe.

This issue is also relevant from a data-quality perspective. Implementation under significant time pressure and while important technical specifications remain outstanding creates a risk that the quality of the first reporting submissions will be impaired.

BayernLB therefore considers that delays in finalising the requirements should be appropriately reflected in the first reporting date rather than reducing the effective implementation period available to reporting entities.

Dependency on external service providers

Furthermore, a number of the required data elements cannot be delivered solely through BayernLB’s internal systems and processes but depend on functionality provided by external service providers.

Changes to these data elements may therefore require enhancements to vendor solutions.

Adequate implementation time is needed to specify requirements, commission the necessary developments, perform testing and implement the required changes together with the relevant service providers.

For market-wide utility providers in particular, regulatory enhancements may require significant development and release cycles.

An insufficient implementation period could therefore create operational and implementation risks for BayernLB.

BayernLB recommendation

BayernLB therefore recommends extending the implementation timeframe in order to ensure an adequate period between publication of the final reporting requirements and the start of mandatory data collection.

The implementation schedule should provide sufficient time for:

• finalisation and analysis of the regulatory and technical specifications;
• internal specification and implementation;
• necessary enhancements by external service providers;
• interface adjustments;
• testing and quality assurance; and
• establishment of reliable historical data collection processes.

This would help ensure that the first reporting submissions are based on stable requirements and provide the level of data quality expected by the supervisory authorities.

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