Bilateral OTC Derivatives

Calculation and Exchange of Initial Margins for Bilateral OTC Derivatives

The detailed regulatory requirements for the collateralisation of bilateral OTC derivatives have been laid down in the RTS (EU) 2016/2251.1 The text defines, in particular, which market participants have to exchange initial margins when trading a derivative bilaterally: If for both counterparties the groupwide aggregated notional of derivatives which are not centrally cleared exceeds a threshold, initial margins have to be exchanged.

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