Based on Annex II to Regulation (EU) 2018/1264, OCR and Pillar 2 Guidance (P2G) (row 0600 to row 0620 of template Z 03.00) is the sum of OCR ratio (r0500) for row 0600 and the P2G communicated by the competent authority. Should any relief measures due to the COVID-19 outbreak for P2G be taken into account or not?
Many credit Institutions need a clarification regarding whether they should take into consideration any relief measure for P2G, in the context of COVID-19, for the calculation of OCR and Pillar 2 Guidance (P2G) in reporting or not. Competent authorities have communicated to them a P2G ratio but due to COVID-19 outbreak and the financial consequences, they can operate below this requirement.
Rows 0600 to 0620 of template Z 03.00 of Annex I to Regulation (EU) 2018/1624 (ITS on Resolution Planning Reporting) show the sum of the OCR ratio and Pillar 2 Guidance – thus target levels of capital to be met (‘to-be-ratios’), not actual levels of capital (‘as-is-ratios’) as of the reporting reference date. The information reporting should reflect the decision by the competent authority communicated to the entity.
If a relief measure entails a change to the ‘to-be-ratio’, i.e. effectively changes the decision communicated by the competent authority, the relief measure should be reflected in template Z 03.00.
However, if the relief measure does not entail such a change – i.e. the decision communicated by the competent authority and the ‘to-be-ratios’ remain effectively the same – the relief measure does not impact the information reported in rows 0600 to 0620 of Z 03.00.