The Commission is consulting on measures to strengthen bank capital requirements for counterparty credit exposures arising from derivatives, repo and securities financing activities. The consultation is a working document, which aims to give the right incentives to banks to use central counterparties (CCPs) where practicable. It wants the measures to:
- raise the amount of capital backing the exposures;
- reduce procyclicality; and
- help to reduce systemic risk.
The paper is divided into two sections, seeking views on capitalisation of bank exposure to CCPs and treatment of incurred credit valuation adjustments. It asks for comments by 9 March. (Source: EXME 11/09.02, MEMO/11/77 and Consultation Document: counterparty credit risk: Capitalisation of bank exposures to central counterparties: treatment of incurred credit valuation adjustments)