IM and default funds drive big variance in EU bank CCP exposures
BNP Paribas accounts for 55% of top dealers’ €126 billion exposures
Exposures to central counterparties (CCPs) by five systemic European Union dealers reached €125.6 billion ($139.7 billion) at the end of June, stemming from a diverse mix of trades, initial margin (IM) and default fund contributions.
At an aggregate level, exposure at default (EAD) from trades – comprising over-the-counter and exchange-traded derivatives (ETDs), as well as securities financing transactions (SFTs) – made up 57.8% of total CCP exposure across BNP Paribas, Crédit Agricole, Deutsche
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