Response to consultation on Reporting for the purposes of the validation and monitoring of ISDA SIMM
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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?
- Reporting requirements: The proposed reporting requirements, in particular the granularity and number of templates, may create a disproportionate burden for small and medium-sized entities. We therefore suggest introducing a threshold below which reduced reporting requirements would apply, for example by limiting reporting to fewer templates.
- Fee structure: The proposed fee structure may also disproportionately affect small and medium-sized entities. We therefore suggest introducing a tiered approach.
- Backtesting: RBI proposes retaining the monitoring threshold of EUR 25 million (50% of the IM threshold) as defined in the original ISDA SIMM Governance Framework, particularly the Remediation Annex. Limiting the reporting scope to counterparties exceeding this threshold would significantly reduce the reporting burden.