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 Maes is a partner with over 15 years of expertise in Basel III, regulatory reporting, risk management, and internal governance, including Basel IV preparation. He has supported banks, investment firms, and management companies in implementing regulatory frameworks and managing risks from operational to internal models, including COREP/FINREP reporting. Recently, his focus has been on risk appetite frameworks and non-financial risks such as climate, conduct, and reputational risks. Jean-Philippe has led significant projects like designing recovery plans, conducting governance reviews, and training over 600 bankers. He is also a frequent speaker and represents PwC at Luxembourg’s Banks and Bankers’ Association Banking Supervision Committee. management of non-financial risks such as climate, conduct or reputational risks.

Laura Leotta is a senior manager in the Banking Risk Advisory team at PwC Luxembourg with over 11 years of experience in banking regulation, prudential policy, accounting and audit policy, international financial reporting standards (notably IFRS 9), advisory services, and banking operations. Previously at the Bank of England/PRA, she led the transposition of Basel IV rules on credit risk in the UK and gained broad regulatory expertise. At PwC, Laura focuses on assessing the impact of prudential regulation changes such as CRR III and CRD VI. Her roles include managing regulatory risk advisory projects and contributing to policy development and market operations.