For 2017, the competent authority distinguished the Pillar 2 requirements in two slices: P2R (Pillar 2 requirement) and P2G (Pillar 2 Guidance).

The EBA Pillar 2 Roadmap of 11 April 2017 explains in page 5 ‘.... competent authorities would not require institutions to disclose capital guidance publicly. It should be noted, however, that competent authorities under the CRD do not have the legal powers to actively prevent institutions from disclosing P2G. Institutions are generally expected not to disclose P2G...’. Moreover, an institution underlined the confidentiality of the P2R, and claims that some regulatory data, among them some COREP ones like those in template CA3 (C 03.00), are regularly transmitted to CCPs in purposes of certification.

Question 1

Do you confirm that the P2G is not expected in COREP CA3 (C 03.00)?

Question 2

For 2017, an example of requirements whose formulation is approximately standard for institutions:

‘The [competent authority] requires [the institution] to maintain, on a consolidated basis, a total SREP capital requirement (TSCR) of 9.25% as that ratio is defined in section 1.2 of Guidelines EBA/GL/2014/13. The TSCR of 9.25% includes:
(i) the minimum own funds requirement of 8% to be maintained at all times in accordance with Article 92(1) of Regulation (EU) N) 575/2013 of the European Parliament and of the Council; and
(ii) an own funds requirement of 1.25% required to be held in excess of the minimum own funds requirement and to be maintained at all times in accordance with [the national transposition measures of Article 104 of Directive 2013/36/EU (CRD)], to be made up entirely of Common Equity Tier 1 capital.
[The institution] is hereby reminded that it is also subject to the overall capital requirement (OCR), as that ratio is defined in section 1.2 of Guidelines EBA/GL/2014/13, which includes, in addition to the TSCR, the combined buffer requirement as defined in point (6) of Article 128 of Directive 2013/36/EU, to the extent it is legally applicable.’

‘[The competent authority] expects that [the institution] complies, on a consolidated basis, with Pillar 2 capital guidance of Y% to be made up entirely of Common Equity Tier 1 capital and to be held over and above:
(i) the minimum Common Equity Tier 1 ratio required under Article 92 (1) (a) of Regulation (EU) N) 575/2013;
(ii) the own funds requirement of 1.25% required to be held in excess of the minimum own funds requirement and to be maintained at all times in accordance with [the national transposition measures of Article 104 of Directive 2013/36/EU (CRD)], to be made up entirely of Common Equity Tier 1 capital;
(iii) the combined buffer requirement as defined in point (6) of Article 128 of Directive 2013/36/EU, to the extent it is legally applicable.'

How do these requirements of the competent authority have to be reported in COREP CA3?

• Option 1:
  • CA3 r080: Target CET1 capital ratio due to Pillar II adjustments = 5.75% (i.e. 4.5% -regulatory minimum- + 1.25% -P2R of CET1-),
  • CA3 r100: Target T1 capital ratio due to Pillar II adjustments = nothing,
  • CA3 r120: Target Total capital ratio due to Pillar II adjustments = 9.25% (i.e. 8% -regulatory minimum- + 1.25% -P2R of CET1-).
• Option 2:
  • CA3 r080: 9.25% (i.e. 4.5% -regulatory minimum- + 4.75% -P2R-)
  • CA3 r100: nothing,
  • CA3 r120: 9.25% (i.e. 8% -regulatory minimum- + 1.25% -P2R-).
• Others?