Europejski Urząd Nadzoru Bankowego, Ostateczny projekt RTS w sprawie walidacji modelu początkowego depozytu zabezpieczającego zgodnie z art. 11 ust. 15 lit. aa rozporządzenia EMIR

EBA/RTS/2023/04

3 July 2023

Final Draft Regulatory Technical Standards

on Initial Margin Model Validation under article Art. 11 – Paragraph 15 – point (aa) of Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (EMIR)

1. Executive Summary

The EBA, in cooperation with ESMA and EIOPA, has been mandated to develop draft regulatory technical standards (RTS) to specify the supervisory procedures that would ensure initial and ongoing validation of the risk-management procedures referred to in Article 11(15) of Regulation (EU) No 648/2012 (EMIR ) on uncleared over-the-counter (OTC) derivatives.

The risk-management procedures referred to in the above-mentioned EMIR Article and further elaborated in the Delegated Regulation (EU) 2016/2251 prescribe the exchange of variation and initial margins (IM). Since the initial margin is calculated by models, whereas the variation margin is based on a...