On 3 August 2026, the European Supervisory Authorities (ESAs) issued a Final Report on draft Regulatory Technical Standards (RTS) amending Commission Delegated Regulation (EU) 2016/2251 with regard to initial margin requirements applicable to contracts of counterparties that fall below the threshold.
Background
Commission Delegated Regulation (EU) 2016/2251 adopts the RTS on the risk mitigation techniques for over-the-counter (OTC) derivative contracts not cleared by a central counterparty (CCP). In particular, this Delegated Regulation specifies the level of collateral that counterparties to bilateral derivatives transactions need to maintain, the type of collateral, and segregation arrangements.
Article 28(1) of Commission Delegated Regulation (EU) 2016/2251 allows counterparties to derogate in their risk management procedures under Article 11(3) of the European Markets Infrastructure Regulation (EMIR) from the collection of initial margins for all new OTC derivative contracts entered into within a calendar year, where one of the two counterparties has an aggregate month-end average notional amount (AANA) of non-centrally cleared OTC derivatives for the months March, April and May of the preceding year below the threshold of EUR 8 billion.
This partial exemption from initial margin requirements in case one of the counterparties falls below the threshold imposes a burden for counterparties that have to maintain initial margins calculation and exchange, and custodial relationships, for existing contracts. In particular, this burden continues for the length of those contracts. On the contrary, new trades entered into by those counterparties would remain outside initial margin requirements. In addition, the regulatory approach in other jurisdictions exempts existing contracts from initial margin requirements once a counterparty falls below the threshold.
Final Report
The draft RTS in the Final Report propose to extend the scope of the exemption in Article 28(1) of Commission Delegated Regulation (EU) 2016/2251, to also cover existing OTC derivative contracts entered into by the two counterparties, when one of the counterparties falls below the threshold.
Next steps
The Final Report has been submitted to the European Commission together with the draft RTS for endorsement. Following the Commission’s review and adoption process, the RTS will be subject to scrutiny by the European Parliament and the Council before being published in the Official Journal of the European Union.