Commission Delegated Regulation (EU) 2026/1000

Contents

THE EUROPEAN COMMISSION,Having regard to the Treaty on the Functioning of the European Union,Having regard to 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^note, and in particular Article 11(12a), seventh subparagraph thereof,Whereas:

(1)The annual fee referred to in Article 11(12a), fifth subparagraph, of Regulation (EU) No 648/2012 should be sufficiently high to cover all direct and indirect costs incurred by the European Banking Authority (‘EBA’) for validating the pro forma models referred to in Article 11(3), fourth subparagraph, of that Regulation. All the fees charged should be set at a level such as to avoid a deficit or a significant accumulation of surplus. Where a significant positive or negative budget result becomes recurrent, the level of the fees should be revised.

(2)The obligation to have the pro forma models referred to in Article 11(3), fourth subparagraph, of Regulation (EU) No 648/2012 validated by the EBA was introduced by Regulation (EU) 2024/2987 of the European Parliament and of the Council^note. However, some of the counterparties that have entered into OTC derivative contracts that have not been cleared by a CCP, have been using pro forma models prior to the entry into force of that Regulation. It is therefore appropriate to devise a specific methodology for the calculation of fees due for the validation of those pro forma models.

(3)Article 11(12a), fifth subparagraph, of Regulation (EU) No 648/2012 requires that the annual fee to be paid to the EBA is proportionate to the monthly average outstanding notional amount of non-centrally cleared OTC derivatives transactions over the last 12 months of the counterparties concerned. Counterparties should use the equivalent portfolio notional approach to determine the average notional amount. Counterparties should be allowed to use an alternative approach, provided that they can justify the choice for that alternative approach to their competent authority.

(4)For new pro forma models, there is not yet a monthly average outstanding notional amount that can be used to allocate the cost proportionally over all counterparties that use that new pro forma model. It is therefore appropriate, for the first year in which the new pro forma model is used, to charge those counterparties an equal and fixed fee per new pro forma model. Article 11(12a), second subparagraph, of Regulation (EU) No 648/2012, however, gives the EBA six months after the receipt of the application for validation of such new pro forma model to validate that model, which means that it is possible that a pro forma model is only validated in the year following the application for validation. The EBA should therefore be able to charge the fixed fee also for the year in which the pro forma model is actually validated. For the years following the one in which the first validation is granted, a steady state methodology for the determination of fees due should be established.

(5)To enable the EBA to calculate the annual fee accurately, counterparties that use pro forma models that are subject to validation by the EBA should send the EBA all the information that the EBA requires for such calculation in a timely manner,

HAS ADOPTED THIS REGULATION:

Article 1Annual fee based on full cost recovery and following an activity-based management model#

The annual fee referred to in Article 11(12a), fifth subparagraph, of Regulation (EU) No 648/2012 shall be based on both of the following:

(a)the principle of full cost recovery;

(b)the average notional amount calculated in accordance with Article 3.

Article 2Estimation of the annual overall costs the EBA will incur due to the validation of pro forma models#

Each year, to determine the overall amount of fees the EBA is to charge pursuant to Article 11(12a), fifth subparagraph, of Regulation (EU) No 648/2012, the EBA shall take into account the direct and indirect expenditure that it will incur that year for:

(a)the validation of the pro forma models, including changes thereto;

(b)the development and maintenance of statistical and IT tools to support the validation function of pro forma models;

(c)the calculation, invoicing, and collection of the annual fee;

(d)any other activities in support of the validation function of pro forma models.

Article 3Average Notional Amount#

1.For the calculation of the annual fee due to the EBA by each counterparty that is subject to the obligation to have its pro forma models validated, each counterparty using, or applying for validation to use, a pro forma model, as applicable, shall calculate the average notional amount by averaging the monthly notional amount of non-centrally cleared derivatives using a given pro forma model over the reference period concerned. Those counterparties shall calculate each monthly notional amount as of the last business day of the given month, using the equivalent portfolio notional method laid out in paragraph 4 or the alternative approaches laid out in paragraph 5 or 7, as applicable. A counterparty may exclude from the average notional amount calculations portfolios for which it does not collect initial margins as a result of the application of the derogation laid down in Article 29(1) of Commission Delegated Regulation (EU) 2016/2251^note. A counterparty that choses to exclude such portfolios shall provide the number of portfolios it excluded as part of the information referred to in Article 8(1) of this Regulation.

2.For the purposes of Article 4, the reference period shall be the period from 1 January to 31 December of the year preceding that of the billing date specified in accordance with Article 7.

3.For the purposes of Article 5, the reference period shall be the 12 months preceding the date on which the EBA has publicly announced that it has set up its central validation function (‘the EBA readiness date’).

4.For each month of the reference period referred to in paragraph 1, counterparties shall calculate the monthly notional amount by converting the initial margin amount calculated with the pro forma model for the relevant portfolio into an equivalent portfolio notional amount in accordance with the following formula:NotionalmIMInterest rate, inflation, FX6 %+IMCredit10 %+IMEquity15 %+IMCommodity15 %+IMother15 %where:

—m = the index denoting the month of the reference period;

—C = the index denoting the class or classes of derivatives contracts;

—IM(C) = the total initial margin amount for non-centrally cleared OTC derivatives transactions in class C, calculated on the last business day of the month for which the monthly notional amount is calculated, using the pro forma model, converted in euro.

5.Alternatively, for each month of the reference period referred to in paragraph 1, counterparties may decide to use the following formula to convert the total initial margin amount calculated by asset class for the relevant portfolio into an equivalent portfolio notional amount:Notional_Month'mIM'Interest rate, inflation, FX6 %+IM'Credit10 %+IM'Equity15 %+IM'Commodity15 %+IM'other15 %where:

—m = the index denoting the month of the reference period;

—C = the index denoting the class or classes of derivatives contracts;

—IM’(C) = the total initial margin amount for non-centrally cleared OTC derivatives transactions in class C, calculated on the last business day of the month for which the monthly notional amount is calculated, converted in euro.

Counterparties may choose to use that formula provided that they can justify the choice to their competent authority.

6.For the purposes of paragraphs 4 and 5, when converting amounts in euro, counterparties shall use the euro foreign exchange reference rate published by the European Central Bank on the last business day of the month for which the monthly notional amount is calculated.

7.By way of derogation from paragraphs 4 and 5, a counterparty with a 12-month average notional amount below EUR 3000 billion may estimate each monthly notional amount to be one of those specified in the table below, as long as it can demonstrate to its competent authority that the actual notional amount is lower than the one selected:Regulatory threshold | Notional amount1 | EUR 3000 billion2 | EUR 2250 billion3 | EUR 1500 billion4 | EUR 750 billion5 | EUR 50 billion6 | EUR 8 billion

Article 4Annual validation fees#

1.For each pro forma model that is validated as of 1 January of a year and that a counterparty uses or applies for validation in accordance with Article 11(3), fourth subparagraph, of Regulation (EU) No 648/2012 in that year, the counterparty shall pay to the EBA a fee of:Feen,y,pEUR 200 + maxEBA costsyNumber of modelsy*Average Notional Amountn,pAverage Notional AmountTotal,p– EUR 200;0where:

—n = the index denoting the counterparty using, or applying for validation to use, as applicable, pro forma model p;

—y = the index denoting the reference year;

—p = the index denoting the pro forma model validated by the EBA as of 1 January of year y;

—EBA costs_y = the amount estimated in accordance with Article 2 for the year y for pro forma models validated by the EBA as of 1 January of that year;

—Number of models_y = the number of pro forma models validated by the EBA as of 1 January of year y, floored at 1;

—Average Notional Amount_n,p the amount calculated by counterparty n, for the pro forma model p, in accordance with Article 3;

—Average Notional AmountTotal,pnAverage Notional Amountn,p.

2.Pro forma models that despite being validated are subject to the fee referred to in Article 6 shall not be considered in the calculation set out in paragraph 1.

3.By way of derogation from paragraph 1, a counterparty that becomes subject to the requirement to apply for validation of a pro forma model after 31 March of a given year shall not pay any fee for that year for that pro forma model.

Article 5Annual fee for the validation of a pro forma model already in use prior to 24 December 2024#

1.By way of derogation from Article 4, for a pro forma model that was already in use prior to 24 December 2024, for the period from the EBA readiness date until the end of the year of the EBA readiness date, a counterparty that is subject, by the EBA readiness date, to the requirement to apply for validation to use, or adopt a change to, that pro forma model in accordance with Article 11(3), fourth subparagraph, of Regulation (EU) No 648/2012, shall pay the EBA an annual fee of:FeenEUR 200 + maxEBA costs *Average Notional AmountnAverage Notional AmountTotal– EUR 200;0where:

—n = the index denoting the counterparty that is subject to the requirement to apply for validation to use, or adopt a change to, that pro forma model in accordance with Article 11(3), fourth subparagraph, of Regulation (EU) No 648/2012 by the EBA readiness date;

—EBA costs = the amount, expressed in euro, estimated in accordance with Article 2 from the EBA’s readiness date to the end of the year of the EBA readiness date;

—Average Notional Amount _n = the amount calculated by counterparty n in accordance with Article 3;

—Average Notional Amount TotalnAverage Notional Amountn.

2.A counterparty that becomes subject to the requirement to apply for validation to use a pro forma model already in use prior to 24 December 2024 after the EBA readiness date shall not pay any fee for that given year.

Article 6Annual fee for the validation of a pro forma model that was not already in use prior to 24 December 2024#

1.Each counterparty that applies for the validation of a pro forma model in accordance with Article 11(3), fourth subparagraph, of Regulation (EU) No 648/2012 that was not already in use prior to 24 December 2024, shall pay to the EBA a fee of:FeenEUR 500 000Total number of counterpartieswhere:

—n = the index denoting the counterparty applying for validation to use the pro forma model;

—Total number of counterparties = the number of counterparties applying to use new pro forma model by 31 July of the given year.

2.Where the six-month validation period specified in Article 11(12a), second subparagraph, of Regulation (EU) No 648/2012 ends in the year following the year in which the first application for initial validation of the new pro forma model was received (‘following year’), the EBA may choose to continue applying the formula set out in paragraph 1 for the calculation of the fees for that following year.Where the EBA exercises the option in the first subparagraph, it shall use the number of counterparties using, or that have applied for validation to use, the pro forma model by 31 July of the following year as ‘Total number of counterparties’ in the formula laid down in paragraph 1.

3.The EBA may decide not to charge the fee referred to in paragraph 1 of this Article for the year where the first application for validation of the pro forma model is received, where it would not be operationally feasible to collect the fees in the manner set out in Article 7.

4.Where a counterparty uses several pro forma models, the fee calculated in accordance with paragraphs 1 and 2 of this Article for the pro forma model subject to initial validation shall be paid in addition to the fee calculated in accordance with Article 4 for all other pro forma models used by the counterparty.

5.By way of derogation from paragraph 1 of this Article, the EBA may, for the fee calculated in accordance with this Article, increase the EUR 500000 in the formula laid down in that paragraph up to an amount that equals the total costs estimated in accordance with Article 2 for a pro forma model.

Article 7Payment of annual validation fees#

1.Counterparties that are subject to the obligation to have their pro forma models validated for a given year shall be invoiced by the EBA for the fees referred to in Articles 4, 5 and 6, as applicable, during that calendar year.

2.The payment deadline shall be 45 calendar days from the registration of the amount receivable in the EBA’s accounts. The fees shall be payable in euro.

3.Any late payments shall incur the default interest laid down in Article 99 of Regulation (EU, Euratom) 2024/2509 of the European Parliament and of the Council^note.

4.Communications between the EBA and counterparties referred to in paragraph 1 of this Article shall take place via the central database established by ESMA pursuant to Article 17c of Regulation (EU) No 648/2012 or by any other electronic means where that central database is not available.

Article 8Information to be communicated to the EBA#

1.Each year, counterparties using a validated pro forma model or applying for validation of a pro forma models shall provide the EBA with all elements needed to calculate the fees referred to in Articles 4, 5, and 6, as applicable, including the information on the average notional amount referred to in Article 3 and the financial details of the counterparty that are required for the billing process.

2.For the purposes of paragraph 1, the following shall apply:

(a)for the year of the EBA readiness date, the EBA shall collect the elements needed to:

(i)calculate the fees referred to in Article 5;

(ii)issue the bills no later than 31 October of that year;

(b)for the years following the EBA readiness date, the counterparties referred to in paragraph 1 of this Article shall communicate to the EBA the elements needed to calculate the fees referred to in Article 4 and 5, as applicable, by 31 March;

(c)for the fees referred to in Article 6, the EBA shall collect the information to calculate those fees and issue the corresponding bills by a suitable date taking into account the provisions of Article 7.

Article 9Entry into force#

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.