Europejski Urząd Nadzoru Bankowego, Opinia w sprawie zakresu regulacyjnego i walidacji modeli początkowego depozytu zabezpieczającego

EBA/Op/2023/7

3 July 2023

Opinion on regulatory scope and validation of initial margin models

Introduction and legal basis

The EBA, ESMA and EIOPA have been mandated, pursuant to Article 11(15) of Regulation (EU) No 648/2012 (‘EMIR’), to develop draft regulatory technical standards (RTS) on risk mitigation techniques for non-centrally cleared over-the-counter (OTC) derivatives. After the submission from EBA, ESMA and EIOPA, those draft RTS were adopted by the European Commission (EC) as Delegated Regulation (EU) 2016/2251 of 4 October 2016 , and published in the Official Journal on 15 December 2016. These RTS are the framework that prescribes the exchange of variation and initial margins (IM) in the EU and implements the global standards agreed by BCBS and IOSCO.

With the publication of the EMIR Refit in 2019 , the EBA was mandated, by the new Article 11(15), point (aa), of EMIR, to submit, in cooperation with ESMA and EIOPA, draft RTS to provide ‘the supervisory procedures to ensure...