EBA欧洲银行-CEBSPillar2English_5页_74kb

ABI Position Paper Summary: "The application of the supervisory review process under Pillar 2"

Core Content

The ABI position paper responds to the CEBS consultation paper on the Supervisory Review Process (SRP) under Pillar 2, providing comments, proposals, and requests for clarification. The paper reflects the views of the Italian banking industry, emphasizing the need for a clear, consistent, and flexible supervisory framework that aligns with the European banking regulatory environment.

Main Views and Key Points

1. Scope of Application of the SRP

• The Italian banking industry supports the application of the SRP at the consolidated or group level.
• They oppose the application at the sub-consolidated or solo bank level, as it could lead to double counting of risks.
• There is a request for explicit clarification from CEBS on the scope of the SRP to avoid ambiguity.

2. Coordination Between Home and Host Country Supervisors

• Coordination should be the responsibility of the home supervisor, also known as the "consolidating supervisor".
• This ensures that the consolidated view of the banking group is maintained, avoiding potential conflicts or overlaps in supervisory responsibilities.

3. Capital Adjustment Mechanism

• The SRP document should be amended to include a netting system for calculating total capital charges, allowing for offsetting surpluses and shortfalls across different business areas.
• A negative capital adjustment is appropriate in cases of high portfolio diversification, which is a key factor in the overall risk profile not captured by Pillar 1.
• The paper emphasizes that Pillar 2 should not require disclosure to the peer group, maintaining the confidentiality of the process.

4. Internal Capital Adequacy Assessment Process (ICAAP)

• The Italian banking industry supports the general approach of ICAAP.
• However, they request clarification and modification on several points:

a. Principle VIII. paragraph f

• Residual risk related to credit risk mitigation should be treated as operational risk or considered under haircuts in the Foundation approach.
• It should also be included in LGD estimates for exposures with guarantees.
• The Italian position is that no special attention or additional capital charge should be required, except in exceptional cases.

b. Principle X. paragraph c (iii)

• The use of "bottom-up" transaction-based approaches with integrated correlations is encouraged.
• The CEBS should provide detailed clarification and examples to make this method more understandable and applicable for banks.

c. Principle XI. paragraph b

• While the idea of greater disclosures for peer comparison is welcomed, the Italian banking industry believes that Pillar 2 should remain confidential.
• They argue that disclosure may reduce the incentive for banks to develop more sophisticated risk measurement techniques.

Conclusion

The Italian banking industry supports the concept of a common supervisory method under Pillar 2 but emphasizes the need for clarity, flexibility, and confidentiality in its implementation. They advocate for explicit guidance on the scope of application, coordination mechanisms, and capital adjustment systems, while also requesting clarifications on the ICAAP framework to ensure it is both practical and aligned with the objectives of Pillar 2. The industry believes that a consolidated approach is essential to avoid double-counting risks and to maintain a level playing field across Europe.