COREP Interview Mastery Deck

Question 1

What is COREP C01?

Answer 1

COREP C01 reports the composition of own funds including CET1, AT1, and Tier 2 capital.

Question 2

What is CET1 capital?

Answer 2

Common Equity Tier 1 capital includes common shares, retained earnings, and reserves.

Question 3

What is AT1 capital?

Answer 3

Additional Tier 1 capital includes perpetual subordinated instruments eligible under CRR.
1️⃣ AT1 Instruments (Perpetual Capital Instruments)

These are typically:

Perpetual bonds (no maturity date)

Subordinated to depositors and senior debt

Discretionary, non-cumulative coupons

Loss-absorbing through:

Conversion to equity, or

Principal write-down
when trigger events occur

Often called:

“Contingent Convertible Bonds (CoCos)”

“AT1 bonds”

2️⃣ Share Premium Related to AT1 Instruments

Any premium paid above nominal value when AT1 instruments are issued

3️⃣ Regulatory Adjustments (Deductions)

Certain items must be deducted from AT1, such as:

Direct or indirect holdings of own AT1 instruments

Cross-holdings in financial institutions’ AT1

Certain securitisation positions (if applicable)

Question 4

What is Tier 2 capital?

Answer 4

Tier 2 capital includes subordinated debt and other supplementary capital instruments.

Question 5

What is total own funds?

Answer 5

Total own funds equals CET1 plus AT1 plus Tier 2 capital.

Question 6

Why is goodwill deducted from CET1?

Answer 6

Because goodwill cannot absorb losses in stress scenarios.

Question 7

Why are intangible assets deducted from CET1?

Answer 7

Because they cannot be used to absorb losses.

Question 8

What are prudential filters?

Answer 8

Adjustments applied to accounting values for regulatory capital purposes.

Question 9

What is retained earnings treatment in CET1?

Answer 9

Retained earnings are included after audit verification and regulatory approval.

Question 10

What is foreseeable dividend treatment?

Answer 10

Foreseeable dividends are deducted from CET1 capital.

Question 11

What is transitional capital?

Answer 11

Capital calculated using transitional regulatory rules.

Question 12

What is fully loaded capital?

Answer 12

Capital calculated using fully implemented CRR rules without transition adjustments.

Question 13

What regulator reviews COREP C01?

Answer 13

Bundesbank collects and BaFin supervises COREP C01.

Question 14

How is CET1 ratio calculated?

Answer 14

CET1 divided by total RWA.

Question 15

What is AT1 eligibility requirement?

Answer 15

AT1 must be perpetual, subordinated, and loss absorbing.

Question 16

What is Tier 2 amortization?

Answer 16

Tier 2 instruments are amortized during last 5 years to maturity.

Question 17

What is deduction threshold?

Answer 17

Limits above which certain deductions must be applied to CET1.

Question 18

What is deferred tax asset deduction?

Answer 18

Certain DTAs dependent on future profits must be deducted from CET1.

Question 19

What is minority interest treatment?

Answer 19

Only eligible portion of minority interest is included in capital.

Question 20

What is capital buffer?

Answer 20

Additional capital required above minimum requirement.

Question 21

What is capital conservation buffer?

Answer 21

Mandatory CET1 buffer equal to 2.5 percent of RWA.

Question 22

What is countercyclical buffer?

Answer 22

Buffer depending on economic conditions.

Question 23

What is CET1 numerator?

Answer 23

CET1 capital.

Question 24

What is CET1 denominator?

Answer 24

Total risk weighted assets.

Question 25

What is COREP validation?

Answer 25

Process ensuring accuracy and consistency of regulatory reporting.

Question 26

What is regulatory capital reconciliation?

Answer 26

Matching accounting equity to regulatory capital.

Question 27

What is own funds eligibility?

Answer 27

Criteria determining whether capital instrument qualifies.

Question 28

What is regulatory adjustment?

Answer 28

Modification applied to accounting values for regulatory purposes.

Question 29

What is capital adequacy?

Answer 29

Ability of bank to absorb losses.

Question 30

What authority supervises CET1 reporting?

Answer 30

ECB for significant institutions.

Question 31

What is COREP C02?

Answer 31

COREP C02 reports capital requirements and total RWA.

Question 32

What is RWA?

Answer 32

Risk weighted assets used to calculate capital requirements.

Question 33

What is credit risk RWA?

Answer 33

RWA from credit exposures.

Question 34

What is market risk RWA?

Answer 34

RWA from trading book exposures.

Question 35

What is operational risk RWA?

Answer 35

RWA from operational risk exposure.

Question 36

What is minimum capital requirement?

Answer 36

8 percent of total RWA.

Question 37

What is Pillar 1 capital?

Answer 37

Minimum regulatory capital requirement.

Question 38

What is Pillar 2 capital?

Answer 38

Additional supervisory capital requirement.

Question 39

What is total RWA?

Answer 39

Sum of credit, market, and operational RWA.

Question 40

How is capital requirement calculated?

Answer 40

RWA multiplied by 8 percent.

Question 41

What is exposure class?

Answer 41

Category of exposure such as corporate or sovereign.

Question 42

What is credit risk exposure?

Answer 42

Amount exposed to counterparty risk.

Question 43

What is exposure value?

Answer 43

Regulatory exposure after adjustments.

Question 44

What is standardized approach?

Answer 44

Regulatory method using fixed risk weights.

Question 45

What is IRB approach?

Answer 45

Internal ratings based approach using internal models.

Question 46

What is expected loss?

Answer 46

Estimated loss based on PD, LGD, and EAD.

Question 47

What is unexpected loss?

Answer 47

Loss exceeding expected loss.

Question 48

What is credit conversion factor?

Answer 48

Factor converting off balance sheet exposure.

Question 49

What is counterparty credit risk?

Answer 49

Risk of counterparty default.

Question 50

What is RWA reconciliation?

Answer 50

Matching RWA between COREP templates.

Question 51

What is capital ratio?

Answer 51

Capital divided by RWA.

Question 52

What is leverage ratio?

Answer 52

Tier 1 divided by exposure measure.

Question 53

What is reporting frequency?

Answer 53

Usually quarterly.

Question 54

What is validation rule?

Answer 54

Rule ensuring report accuracy.

Question 55

What is COREP submission?

Answer 55

Sending COREP report to regulators.

Question 56

What system submits COREP?

Answer 56

XBRL reporting system.

Question 57

What is supervisory reporting?

Answer 57

Reporting to regulators.

Question 58

What is regulatory capital requirement?

Answer 58

Minimum capital bank must maintain.

Question 59

What is capital monitoring?

Answer 59

Tracking capital levels.

Question 60

What is capital planning?

Answer 60

Forecasting capital needs.

Question 61

What is COREP C07?

Answer 61

Reports credit risk exposures by exposure class.

Question 62

What is COREP C08?

Answer 62

Reports standardized approach exposures.

Question 63

What is COREP C09?

Answer 63

Reports IRB approach exposures.

Question 64

What is PD?

Answer 64

Probability of Default.

Question 65

What is LGD?

Answer 65

Loss Given Default.

Question 66

What is EAD?

Answer 66

Exposure at Default.

Question 67

What determines risk weight?

Answer 67

Counterparty type and credit rating.

Question 68

What is sovereign exposure?

Answer 68

Exposure to governments.

Question 69

What is corporate exposure?

Answer 69

Exposure to companies.

Question 70

What is retail exposure?

Answer 70

Exposure to individuals.

Question 71

What is secured exposure?

Answer 71

Exposure backed by collateral.

Question 72

What is CRM?

Answer 72

Credit risk mitigation.

Question 73

What is collateral?

Answer 73

Asset securing exposure.

Question 74

What is guarantee?

Answer 74

Third party promise to repay.

Question 75

What Does Netting Mean in COREP?

Answer 75

In COREP, netting allows banks to: Offset positive and negative exposures with the same counterparty Reduce Exposure at Default (EAD) Reduce Risk-Weighted Assets (RWA) Lower capital requirements But only if strict regulatory conditions are met.

Question 76

What is exposure value calculation?

Answer 76

Exposure adjusted for CRM.

Question 77

What is risk weight 0 percent?

Answer 77

Typically sovereign exposure.

Question 78

What is risk weight 100 percent?

Answer 78

Typical corporate exposure.

Question 79

What is default definition?

Answer 79

Failure to meet payment obligation.

Question 80

What is performing exposure?

Answer 80

Exposure without default.

Question 81

What is non performing exposure?

Answer 81

Exposure in default.

Question 82

What is provisioning?

Answer 82

Setting aside reserves for losses. Specific Credit Risk Adjustments Linked to identified impaired exposures (Stage 3) Reduce exposure value directly Most common type 2️⃣ General Credit Risk Adjustments Not linked to specific exposure Often Stage 1 / Stage 2 ECL May partially count in Tier 2 3️⃣ Collective Provisions Portfolio-based Usually fall under general adjustments

Question 83

What is Stage 3 exposure?

Answer 83

Credit impaired exposure.

Question 84

What is IRB model?

Answer 84

Internal credit risk model.

Question 85

What is RWA formula?

Answer 85

Exposure multiplied by risk weight.

Question 86

What is credit exposure reconciliation?

Answer 86

Matching exposure across reports.

Question 87

What is exposure measurement?

Answer 87

Calculation of risk exposure.

Question 88

What is regulatory exposure?

Answer 88

Exposure defined under CRR.

Question 89

What is exposure class to institutions?

Answer 89

Exposure to banks.

Question 90

What is exposure class retail?

Answer 90

Exposure to individuals.

Question 91

What is exposure class corporates?

Answer 91

Exposure to companies.

Question 92

What is risk parameter?

Answer 92

PD, LGD, or EAD.

Question 93

What is expected loss calculation?

Answer 93

PD multiplied by LGD multiplied by EAD.

Question 94

What is credit risk reporting?

Answer 94

Reporting credit exposures.

Question 95

What is regulatory validation?

Answer 95

Checking report accuracy.

Question 96

What is supervisory review?

Answer 96

Regulator examination.

Question 97

What is exposure default flag?

Answer 97

Indicator of default.

Question 98

What is credit quality step?

Answer 98

Risk classification level.

Question 99

What is risk mitigation impact?

Answer 99

Reduction of RWA.

Question 100

What is exposure reporting?

Answer 100

Submission of exposure data.

Question 101

What is FINREP?

Answer 101

Supervisory financial reporting framework.

Question 102

What is FINREP F01?

Answer 102

Balance sheet template.

Question 103

What is FINREP F02?

Answer 103

Profit and loss template.

Question 104

What is FINREP F18?

Answer 104

Asset quality template.

Question 105

What is FINREP equity?

Answer 105

Accounting equity.

Question 106

What is reconciliation to COREP?

Answer 106

Adjust FINREP equity to regulatory capital.

Question 107

What is accounting value?

Answer 107

Value under IFRS.

Question 108

What is regulatory value?

Answer 108

Value under CRR.

Question 109

Why reconcile FINREP and COREP?

Answer 109

Ensure reporting consistency.

Question 110

What causes differences?

Answer 110

Regulatory adjustments.

Question 111

What is exposure reconciliation?

Answer 111

Matching exposures between reports.

Question 112

What is balance sheet reconciliation?

Answer 112

Matching balance sheet values.

Question 113

What is data lineage?

Answer 113

Tracking data origin.

Question 114

What is reporting control?

Answer 114

Ensuring reporting accuracy.

Question 115

What is validation check?

Answer 115

Verification process.

Question 116

What is regulatory audit?

Answer 116

Audit by regulator.

Question 117

What is supervisory expectation?

Answer 117

Regulator requirement.

Question 118

What is reporting governance?

Answer 118

Oversight of reporting process.

Question 119

What is reconciliation process?

Answer 119

Matching regulatory and accounting data.

Question 120

What is reporting adjustment?

Answer 120

Modification to reported values.

Question 121

What is reporting accuracy?

Answer 121

Correct reporting.

Question 122

What is reporting completeness?

Answer 122

Complete reporting.

Question 123

What is reporting timeliness?

Answer 123

On time reporting.

Question 124

What is reporting system?

Answer 124

Software used for reporting.

Question 125

What is XBRL reporting?

Answer 125

Electronic regulatory reporting format.

Question 126

What is CRR3?

Answer 126

New CRR regulation implementing Basel III reforms.

Question 127

What is output floor?

Answer 127

Minimum RWA equal to 72.5 percent of standardized RWA.

Question 128

Why output floor introduced?

Answer 128

Reduce variability in RWA.

Question 129

What is standardized RWA?

Answer 129

RWA using standardized approach.

Question 130

What is IRB RWA?

Answer 130

RWA using internal model.

Question 131

What is output floor impact?

Answer 131

May increase RWA.

Question 132

What is CRR3 reporting impact?

Answer 132

New reporting requirements.

Question 133

What is CRR3 objective?

Answer 133

Strengthen capital framework.

Question 134

What is capital ratio impact?

Answer 134

Lower capital ratio if RWA increases.

Question 135

What is implementation timeline?

Answer 135

Phased implementation.

Question 136

What is Basel III finalization?

Answer 136

Completion of Basel reforms.

Question 137

What is model risk?

Answer 137

Risk of model error.

Question 138

What is standardized fallback?

Answer 138

Standardized approach requirement.

Question 139

What is capital planning impact?

Answer 139

Need more capital.

Question 140

What is regulatory expectation?

Answer 140

Compliance with CRR3.

Question 141

What is regulatory change implementation?

Answer 141

Applying new rules.

Question 142

What is COREP change?

Answer 142

Updated reporting templates.

Question 143

What is capital impact analysis?

Answer 143

Assess capital effect.

Question 144

What is risk weighted exposure calculation?

Answer 144

Determine RWA.

Question 145

What is supervisory expectation under CRR3?

Answer 145

Higher transparency.

Question 146

What is model approval?

Answer 146

Regulator approval of IRB.

Question 147

What is reporting adjustment under CRR3?

Answer 147

Modification of reporting logic.

Question 148

What is capital buffer impact?

Answer 148

May increase capital requirement.

Question 149

What is exposure calculation change?

Answer 149

Updated risk weights.

Question 150

What is capital adequacy assessment?

Answer 150

Evaluation of capital strength.