EBA consults on ISDA SIMM Reporting Requirements

On August 5, 2026, the European Banking Authority (EBA) published a consultation paper concerning a new reporting framework for the validation and ongoing monitoring of initial margin models based on the International Swaps and Derivatives Association's (ISDA) Standard Initial Margin Model (SIMM). The consultation follows the EBA's new role under the European Market Infrastructure Regulation (EMIR 3) as the central validator of ISDA SIMM. The proposed framework would enable the EBA to validate the model on an ongoing basis, monitor its performance, and calculate the annual validation fees payable by firms using the model.

Background

The ISDA SIMM is a standardized model used by many financial institutions to calculate initial margin for non-centrally cleared over-the-counter (OTC) derivatives. The model determines the amount of collateral exchanged between counterparties and therefore needs to accurately reflect the risks of the underlying derivatives.

Before EMIR 3, national competent authorities assessed firms' applications to use initial margin models, although many firms relied on the same underlying ISDA SIMM methodology. EMIR 3 introduced a centralized validation framework for standardized "pro forma models". Under this framework, the EBA validates the common ISDA SIMM methodology, while national competent authorities continue to authorize and supervise each firm's own implementation and use of the model.

To support its new role, the EBA requires structured information that is not available through existing EMIR trade repository reporting, including information on firms' use of ISDA SIMM, model adjustments, model performance, and margin disputes.

The Proposals

The EBA proposes seven reporting templates covering firms' use of ISDA SIMM and the model's performance in practice. The framework would apply to financial counterparties and non-financial counterparties that are required under EMIR to obtain authorization to use an initial margin model based on ISDA SIMM.

Firms would report general information on their OTC derivatives activities subject to initial margin requirements, including the number of counterparties, initial margin calculated and collected, amounts not collected due to thresholds or exemptions, and the version of ISDA SIMM used. A separate template would collect information needed to calculate the annual validation fee, including the number of margined portfolios and their equivalent portfolio notionals.

The EBA also proposes reporting on the actual performance of ISDA SIMM. Firms with significant OTC derivatives activities would report formal margin disputes, adjustments increasing model-generated initial margin, instances where ISDA SIMM was deliberately not used, and back-testing results. For significant disputes, firms would provide additional information, including the affected portfolio, duration and amount of the dispute, the counterparty's Legal Entity Identifier (LEI), and the root cause.

Firms not engaging in significant OTC trading activities would generally submit only a limited subset of information once a year. Firms exceeding the relevant activity thresholds would submit the full reporting package quarterly, while fee information would remain annual. The EBA has not yet finalized the criteria for identifying firms with significant OTC trading activities and is seeking feedback on the proposed approach before the thresholds are calibrated.

Recommendation

Financial counterparties and non-financial counterparties using ISDA SIMM should review the proposed reporting framework and assess its operational impact. In particular, they should evaluate whether the required data on margin disputes, model adjustments, and back-testing can be produced using existing systems. Firms should also consider responding to the consultation where they identify practical implementation issues or have concerns regarding the proposed reporting requirements, reporting scope, or the criteria for identifying firms with significant OTC trading activities.