On 4 November 2021, the European Banking Authority (EBA) issued a consultation paper containing draft Regulatory Technical Standards (RTS) on Initial Margin Model Validation (IMMV) under the European Markets Infrastructure Regulation (EMIR). The consultation paper sets out the supervisory procedures for initial and ongoing validation of initial margin models, which will be used to determine the level of margin requirements for uncleared over the counter (OTC) derivatives. Supervisory validation will ensure harmonised supervisory procedures and an appropriately prudent approach to the level of initial margins for EU derivatives counterparts.

The draft RTS have been developed in accordance with Article 11(15)(aa) of EMIR on the risk-mitigation techniques for OTC derivative contracts not cleared by a central counterparty which mandates the EBA to specify the supervisory procedures that would ensure initial and ongoing validation of the risk-management procedures in the level of collateral.

The deadline for comments on the consultation paper is 4 February 2022. A public hearing will take place via conference call on 15 December 2021 from 15:00 to 17:00 CET.