EBA Fees for Model Validation in OTC Derivatives: What Financial Entities Will Pay

Key data

Banks, asset managers, and other financial counterparties subject to EMIR (Regulation EU 648/2012) that operate with bilateral OTC derivatives face a new regulatory cost: the fee that the EBA will charge to validate the proforma models used to determine variation margins. Delegated Regulation (EU) 2026/1000, published on 17 August 2026, completes EMIR by specifying exactly how that fee is calculated and how it is paid.

The business key is clear: using a proforma model is no longer just a technical decision, it is a decision with a price. And that price is now set by European regulation.

What does this regulation establish?

EMIR requires financial counterparties to exchange variation margins on non-centrally cleared OTC derivative contracts. To calculate those margins, entities can opt for standard methods or for proforma models, which are alternative valuation models that require supervisory validation by the EBA.

Until now, the legal framework did not specify with precision the cost of that validation. Delegated Regulation 2026/1000 fills that gap by establishing two concrete elements:

• Fee calculation method: the methodology that the EBA will apply to determine the amount that each entity requesting validation must pay.
• Payment modalities: how, when, and in what form payment of such fees to the EBA is made.

The result is legal certainty for the process: entities know in advance that using proforma models has a quantifiable supervisory cost, and the EBA has a legal basis to collect it.

It is important to emphasize that this regulation does not require any entity to use proforma models. The obligation to pay the fee arises only if the entity voluntarily chooses this alternative model over the standard method.

Economic and operational impact

The most immediate impact is the emergence of an explicit supervisory validation cost that did not previously exist in a regulated form. This changes the cost-benefit analysis of adopting proforma models.

Operationally, entities must incorporate the EBA fee cost into their internal decision-making models before requesting validation. Risk management, treasury, and compliance teams must coordinate to assess whether the proforma model remains advantageous once that cost is deducted.

Additionally, the fact that the EBA now has a regulated source of income for this supervisory activity may accelerate the authority's timelines and capacity to process validation requests, which could be an operational advantage for entities that choose this route.

Who does it affect?

• Banks and credit institutions subject to EMIR that operate with bilateral OTC derivatives not cleared in a central clearing house.
• Investment fund managers and pension funds that use OTC derivatives for hedging or investment.
• Investment service firms (ISFs) with bilateral OTC derivative portfolios.
• Financial counterparties in general classified as such under EMIR that have chosen or are evaluating choosing proforma models for calculating variation margins.
• Risk, treasury, and compliance departments of the above entities, responsible for the decision and management of the validation process.

Non-financial counterparties and entities that already use exclusively the standard method for calculating margins are not directly affected by this regulation.

Practical example

A Spanish asset manager operates with a portfolio of bilateral OTC derivatives — mainly interest rate swaps and cross-currency swaps — and currently calculates its variation margins using the standard method provided for in EMIR.

Its risk team evaluates adopting a proforma model because it estimates it would produce margin requirements more aligned with its actual risk profile, freeing up collateral. Before Regulation 2026/1000, uncertainty about the process and the cost of EBA validation was a brake.

Now, with the published fee methodology, the asset manager can:

1. Calculate the exact cost of the EBA fee by applying the methodology of the Delegated Regulation.
2. Compare it with the estimated collateral savings that the proforma model would generate.
3. Make an informed decision: if the collateral savings exceed the validation fee, the proforma model is profitable; if not, it is better to maintain the standard method.

This is exactly the analysis that Regulation 2026/1000 makes possible: converting a technical decision into a quantifiable business decision.

What should companies do now?

1. Identify if you use proforma models: Review whether your entity uses or plans to use proforma models for calculating variation margins on bilateral OTC derivatives under EMIR.
2. Read the fee methodology: Analyze Delegated Regulation 2026/1000 to understand how the EBA fee applicable to your validation request will be calculated.
3. Quantify the cost: Apply the methodology to your OTC derivatives portfolio profile to estimate the fee amount before initiating any validation process.
4. Review the cost-benefit analysis of the proforma model: Compare the cost of the EBA fee with the advantages of the alternative model (collateral savings, better alignment with actual risk profile).
5. Coordinate risk, treasury, and compliance: The model decision affects multiple areas; ensure that all have visibility into the new economic implications.
6. Prepare the application process: If you decide to maintain or adopt the proforma model, prepare the documentation and resources necessary for the validation process with the EBA, including budget provision for fee payment.

Official source

Consult complete regulation at official source

Disclaimer: This article is for informational purposes only and does not constitute legal advice. For specific decisions, consult a qualified professional. Source: https://eur-lex.europa.eu/./legal-content/AUTO/?uri=CELEX:32026R1000