EBA欧洲银行-2008-09-08-CEBS-work-on-P2-28N-Lock29_11页_260kb

报告摘要

CEBS Work on Pillar 2 and Medium-Term Agenda Summary

Introduction to CEBS

The Committee of European Banking Supervisors (CEBS) is a Level 3 Committee under the Lamfalussy framework, established in 2003 and commenced operations in 2004. It consists of high-level representatives from the banking supervisory authorities and central banks of the European Union (EU). CEBS has 27 member states and observers from three EEA countries, along with the European Commission, the European Central Bank (ECB), and the Banking Supervision Committee of the European System for Central Banks (ESCB). The current chair of CEBS is Kerstin af Jochenick from the Swedish Financial Supervisory Authority (Finansinspektionen).

Role of CEBS

CEBS serves several key roles within the EU banking supervisory framework:

It advises the EU Commission on banking-related matters, either at the Commission's request, within a specified timeframe, or on its own initiative, particularly in the preparation of draft implementing measures.
It contributes to the consistent application of EU banking directives and the convergence of supervisory practices across Member States.
It enhances supervisory cooperation, including the exchange of information and best practices.

CEBS Work on Pillar 2

CEBS addresses Pillar 2 issues through various subgroups of the Groupe de Contact:

Cross-border aspects of Pillar 2: This includes the scope of application and home-host supervisory cooperation, managed by the Sub-group on Operational Networks (SON).
Liquidity risk management: This subgroup responds to the European Commission's Call for Advice (CfA) on liquidity, led by the Liquidity Task Force (LiqTF).
Technical aspects: This is handled by the Pillar 2 Convergence Network (P2CN).

In addition to these thematic groups, CEBS undertakes a joint examination project known as the ECM examination project. This project involves the assessment of Economic Capital Models (ECMs) of a sample of cross-border banking groups by joint supervisory teams. The results are presented individually to consolidating supervisors, and a summary report with anonymized and aggregated information is prepared for CEBS. The report is expected to be completed by early 2009 and will highlight potential supervisory issues requiring further analysis by relevant working groups.

Pillar 2 Convergence Network (P2CN)

P2CN is a technical group within CEBS, comprising 29 members from 25 countries. It was established in October 2007 and has since held 8 meetings and one industry workshop. P2CN reports to the Groupe de Contact, chaired by Jukka Vesala (FIN-FSA), and then to CEBS, with Nick Lock (UK-FSA) currently serving as its chair.

P2CN Work in Progress

Currently, P2CN is focusing on the following key areas:

Diversification effects under Pillar 2
Concentration risk, including:
- Expanding the scope and interpretation of the definition of concentration
- Compiling a list of possible questions, similar to the diversification paper
- Assessing existing supervisory practices to identify "good practice"

P2CN Medium-Term Agenda

The medium-term agenda of P2CN includes the following priorities:

Supervisory approaches to stress testing under Pillar 2
Treatment of interest rate risk in the banking book
Treatment of business/strategic risk
Common understanding of high-level assessment criteria for ECMs used in ICAAP
Supervisory approaches to economic capital allocation within the ICAAP framework

It is noted that the work on ECM assessment criteria and capital allocation has been postponed to 2009 due to delays in the ECM examination project. Additionally, the detailed CEBS work programme and priorities are currently under discussion.