COREP reporting - The essentials

In the ever-evolving landscape of financial regulation, understanding COREP reporting under CRR is an indispensable skill. This training course delves into the intricacies of Common Reporting, a key framework for maintaining transparency and stability in the banking sector. Participants will explore the features of the capital adequacy ratio, the capital stack (incl. buffers), leverage ratio, large exposures, and liquidity, gaining insights that are crucial for navigating regulatory requirements.

Designed for professionals in the banking sector, this course offers a deep dive into the essential aspects of COREP reporting. By enhancing participants' understanding of these critical areas, the course aims at equipping professionals with the right knowledge to meet regulatory demands and contribute to the financial health of financial institutions.

By the end of the course, participants will:

• understand the computation of own funds requirements and the Capital Adequacy Ratio for banks under CRR;
• understand the link between accounting figures and risk-weighted exposure amounts for prudential purposes;
• appreciate the different elements of the capital stack (Pillar 1, Pillar 2, buffers...) and how they come together to build sufficient capital to absorb losses and allow banks to continue operating during periods of financial stress;
• learn the changes in reporting templates stemming from CRR III text amendments (credit risk, market risk, Credit Valuation Adjustment (CVA), operational risk, output floor...);
• discover the fundamental elements of COREP templates, contents and guidance available from official sources;

Note: Minimum experience/knowledge of Basel IV/CRR III is highly recommended.

• 1. Introduction to banks' reporting framework and reporting requirements
• 2. Introduction to Capital Adequacy Ratio
  • Capital stack and minimum capital requirements
  • Additional capital requirements (macro-prudential buffers)
• 3. Overview of the Own Funds templates
• 4. Link between accounting figures and risk-weighted exposure amounts (RWEA)
• 5. Introduction to leverage ratio
  • Exemptions
  • Exposure amount computation
• 6. Large exposures
• 7. Liquidity ratios
  • LCR
  • NSFR
• 8. Regulatory reporting table under the EBA 4.0 framework
• 9. Overview of changes to regulatory reporting templates under CRR III

This training will be coordinated by Jean-Philippe Maes, Partner at PwC Luxembourg and Laura Leotta, Senior Manager at PwC Luxembourg.

Jean-Philippe is a partner in PwC's Regulatory, Risk and Compliance advisory services. He leads the firm’s banking and PFS risk Advisory team and is the lead advisor for CRD/CRR topics.

He has over 15 years of experience in Basel III areas and has helped many banks, investment firms and management companies to implement Basel III and prepare for Basel IV. He has worked in most dimensions of risk management, from operational risk to internal models, encompassing reporting aspects (such as COREP/FINREP) and governance matters.

Lately, Jean-Philippe has been focusing on risk appetite frameworks and the management of non-financial risks such as climate, conduct or reputational risks.

Laura is a Senior Manager in the Banking Risk Advisory team at PwC Luxembourg. She specialises in helping clients with prudential regulation matters.

Laura has well over 10 years of professional experience spanning across Banking regulation, prudential policy, accounting and audit policy, international financial reporting standards (especially IFRS 9), risk advisory services and Banking operations (front office).

While working at the Bank of England/PRA as policy maker, she led part of the transposition of Basel 4 rules on the standardised approach to credit risk in the UK (Basel 3.1) and has gained experience in a variety of regulatory topics.
Since joining PwC, Laura has been involved in numerous projects focused on assessing the impact of upcoming prudential regulation changes (CRR III, CRD VI).