Commission Implementing Regulation (EU) No 680/2014Show full title

[F1 4.2. OPERATIONAL RISK: DETAILED INFORMATION ON LOSSES IN THE LAST YEAR (OPR DETAILS) U.K.

4.2.1. General Remarks U.K.

120. Template C 17.01 (OPR DETAILS 1) summarises the information on the gross losses and loss recoveries registered by an institution in the last year according to event types and business lines. Template C 17.02 (OPR DETAILS 2) provides detailed information on the largest loss events in the last year. U.K.

121. Operational risk losses that are related to credit risk and are subject to own funds requirements for credit risk (boundary credit-related operational risk events) are neither considered in template C 17.01 nor template C 17.02. U.K.

122. In case of a combined use of different approaches for the calculation of own funds requirements for operational risk according to Article 314 CRR, losses and recoveries registered by an institution shall be reported in C 17.01 and C 17.02 irrespective of the approach applied to calculate own funds requirements. U.K.

123. ‘ Gross loss ’ means a loss stemming from an operational risk event or event type — as referred to in Article 322(3)(b) of CRR — before recoveries of any type, without prejudice to ‘ rapidly recovered loss events ’ as defined below. U.K.

124. ‘ Recovery ’ means an independent occurrence related to the original operational risk loss that is separate in time, in which funds or inflows of economic benefits are received from first or third parties, such as insurers or other parties. Recoveries are broken down into recoveries from insurance and other risk transfer mechanisms and direct recoveries. U.K.

125. ‘ Rapidly recovered loss events ’ means operational risk events that lead to losses that are partly or fully recovered within five working days. In case of a rapidly recovered loss event, only the part of the loss that is not fully recovered (i.e. the loss net of the partial rapid recovery) shall be included into the gross loss definition. As a consequence, loss events that lead to losses that are fully recovered within five working days shall not be included into the gross loss definition, as well as into the OPR DETAILS reporting at all. U.K.

126. ‘ Date of accounting ’ means the date when a loss or reserve/provision was first recognized in the Profit and Loss statement, against an operational risk loss. This date logically follows the ‘ Date of occurrence ’ (i.e. the date when the operational risk event happened or first began) and the ‘ Date of discovery ’ (i.e. the date on which the institution became aware of the operational risk event). U.K.

127. Losses caused by a common operational risk event or by multiple events linked to an initial operational risk event generating events or losses ( ‘ root-event ’ ) are grouped. The grouped events shall be considered and reported as one event, and thus the related gross loss amounts respectively amounts of loss adjustments shall be summed up. U.K.

128. The figures reported in June of the respective year are interim figures, while the final figures are reported in December. Therefore the figures in June have a six-month reference period (i.e. from 1 January to 30 June of the calendar year) while the figures in December have a twelve-month reference period (i.e. from 1 January to 31 December of the calendar year). Both for data reported as of June and December, ‘ previous reporting reference periods ’ means all reporting reference periods until and including the one ending at the preceding calendar year end. U.K.

129. In order to verify the conditions envisaged by Article 5 (b) (2) (b) (i) of this Regulation, the institutions shall use the latest statistics as available in the Supervisory Disclosure webpage of the EBA to get ‘ the sum of individual balance sheet totals of all institutions within the same Member State ’ . In order to verify the conditions envisaged by Article 5 (b) 2 (b) (iii), the gross domestic product at market prices as defined in point 8.89 of Annex A to Regulation (EU) No 549/2013 of the European Parliament and of the Council (ESA 2010) and published by Eurostat for the previous calendar year shall be used. U.K.

4.2.2. C 17.01: Operational risk losses and recoveries by business lines and event types in the last year (OPR DETAILS 1) U.K.

4.2.2.1. General Remarks U.K.

130. In template C 17.01, the information is presented by distributing the losses and recoveries above internal thresholds amongst business lines (as defined in Article 317, Table 2 of CRR including the additional business line ‘ Corporate items ’ as referred to in Article 322(3) point (b) CRR) and event types (as defined in Article 324 CRR), being possible that the losses corresponding to one event are distributed amongst several business lines. U.K.

131. Columns present the different event types and the totals for each business line, together with a memorandum item that shows the lowest internal threshold applied in the data collection of losses, revealing within each business line the lowest and the highest threshold if there is more than one threshold. U.K.

132. Rows present the business lines, and within each business line, information on the number of events (new events), the gross loss amount (new events), the number of events subject to loss adjustments, the loss adjustments relating to previous reporting periods, the maximum single loss, the sum of the five largest losses and the total loss recoveries (direct loss recoveries as well as recoveries from insurance and other risk transfer mechanisms). U.K.

133. For the total business lines, data on the number of events and the gross loss amount is also required for certain ranges based on set thresholds, 10,000, 20,000, 100,000, and 1 000 000 . The thresholds are set in Euro amounts and are included for comparability purposes of the reported losses among institutions; therefore they do not necessarily relate with the minimum loss thresholds used for the internal loss data collection, to be reported in another section of the template. U.K.

4.2.2.2. Instructions concerning specific positions U.K.

Columns
0010-0070	EVENT TYPES Institutions report the losses in the respective columns 010 to 070 according to the event types as defined in Article 324 CRR. Institutions that calculate their own funds requirement according to BIA may report those losses for which the event type is not identified in column 080 only.
0080	TOTAL EVENT TYPES In column 080, for each business line, institutions report the total ‘ number of events (new events) ’ , the total of ‘ gross loss amount (new events) ’ , the total ‘ number of events subject to loss adjustments ’ , the total of ‘ loss adjustments relating to previous reporting periods ’ , the ‘ maximum single loss ’ , the ‘ sum of the five largest losses ’ , the total of ‘ total direct loss recovery ’ and the total of ‘ total recovery from insurance and other risk transfer mechanisms ’ . Provided that the institution has identified the event types for all losses, column 080 shows the simple aggregation of the number of loss events, the total gross loss amounts, the total loss recovery amounts and the ‘ loss adjustments relating to previous reporting periods ’ reported in columns 010 to 070. The ‘ maximum single loss ’ reported in column 080 is the maximum single loss within a business line and identical to the maximum of the ‘ maximum single losses ’ reported in columns 010 to 070, provided that the institution has identified the event types for all losses. For the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line is reported.
0090-0100	MEMORANDUM ITEM: THRESHOLD APPLIED IN DATA COLLECTION Institutions report in the columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with Article 322(3) point (c), last sentence CRR. If the institution applies only one threshold for in each business line, only the column 090 shall be filled in. In the case where there are different thresholds applied within the same regulatory business line, then the highest applicable threshold (column 100) shall be filled in as well.

Rows
0010-0880	BUSINESS LINES: CORPORATE FINANCE, TRADING AND SALES, RETAIL BROKERAGE, COMMERCIAL BANKING, RETAIL BANKING, PAYMENT AND SETTLEMENT, AGENCY SERVICES, ASSET MANAGEMENT, CORPORATE ITEMS For each business line as defined in Article 317(4), table 2 CRR, including the additional business line ‘ Corporate items ’ as referred to in Article 322(3) point (b) CRR, and for each event type, the institution shall report, according to the internal thresholds the following information: number of events (new events), gross loss amount (new events), the number of events subject to loss adjustments, loss adjustments relating to previous reporting periods, maximum single loss, sum of the five largest losses, total direct loss recovery and the total recovery from insurance and other risk transfer mechanisms. For a loss event that affects more than one business line the ‘ gross loss amount ’ is distributed among all the affected business lines. Institutions that calculate their own funds requirement according to BIA can report those losses for which the business line is not identified in rows 910-980 only.
0010, 0110, 0210, 0310, 0410, 0510, 0610, 0710, 0810	Number of events (new events) The number of events is the number of operational risk events for which gross losses were accounted for within the reporting reference period. The number of events shall refer to ‘ new events ’ , i.e. operational risk events (i) ‘ accounted for the first time ’ within the reporting reference period or (ii) ‘ accounted for the first time ’ within a previous reporting reference period, if the event had not been included in any previous supervisory report, e.g. because it was identified as operational risk event only in the current reporting reference period or because the accumulated loss attributable to that event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period. ‘ New events ’ do not include operational risk events ‘ accounted for the first time ’ within a previous reporting reference period, which had been included already in previous supervisory reports.
0020, 0120, 0220, 0320, 0420, 0520, 0620, 0720, 0820	Gross loss amount (new events) The gross loss amount is the gross loss amounts pertinent to operational risk events (e.g. direct charges, provisions, settlements). All losses related to a single event which are accounted for within the reporting reference period are summed up and considered as the gross loss for that event for that reporting reference period. The reported gross loss amount shall refer to ‘ new events ’ as defined in the row above. For events ‘ accounted for the first time ’ within a previous reporting reference period which had not been included in any previous supervisory report, the total loss accumulated until the reporting reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) shall be reported as the gross loss at the reporting reference date. The amounts to be reported do not take into account obtained recoveries.
0030, 0130, 0230, 0330, 0430, 0530, 0630, 0730, 0830	Number of loss events subject to loss adjustments The number of loss events subject to loss adjustments is the number of operational risk events ‘ accounted for the first time ’ in previous reporting reference periods and already included in previous reports, for which loss adjustments were made in the current reporting reference period. If more than one loss adjustment was made for an event within the reporting reference period, the sum of those loss adjustments shall be counted as one adjustment in the period.
0040, 0140, 0240, 0340, 0440, 0540, 0640, 0740, 0840	Loss adjustments relating to previous reporting periods Loss adjustments relating to previous reporting reference periods is the sum of the following elements (positive or negative): (i) the gross loss amounts pertinent to positive loss adjustments made within the reporting reference period (e.g. increase of provisions, linked loss events, additional settlements) of operational risk events ‘ accounted for the first time ’ and reported in previous reporting reference periods; (ii) the gross loss amounts pertinent to negative loss adjustments made within the reporting reference period (e.g. due to decrease of provisions) of operational risk events ‘ accounted for the first time ’ and reported in previous reporting reference periods. If more than one loss adjustment was made for an event within the reporting reference period, the amounts of all those loss adjustments are summed up, taking into account the sign of the adjustments (positive, negative). This sum is considered as the loss adjustment for that event for that reporting reference period. If, due to a negative loss adjustment, the adjusted loss amount attributable to an event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that event accumulated until the last time when the event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign instead of the amount of the negative loss adjustment itself. The amounts to be reported do not take into account obtained recoveries.
0050, 0150, 0250, 0350, 0450, 0550, 0650, 0750, 0850	Maximum single loss The Maximum single loss is the larger of (i) the largest gross loss amount related to an event reported for the first time within the reporting reference period and (ii) the largest positive loss adjustment amount (as defined above) related to an event reported for the first time within a previous reporting reference period. The amounts to be reported do not take into account obtained recoveries.
0060, 0160, 0260, 0360, 0460, 0560, 0660, 0760, 0860	Sum of the five largest losses The sum of the five largest losses is the sum of the five largest amounts among (i) the gross loss amounts for events reported for the first time within the reporting reference period and (ii) the positive loss adjustment amounts (as defined for rows 040, 140, …, 840 above) relating to events reported for the first time within a previous reporting reference period. The amount which can qualify as one of the five largest ones is the amount of the loss adjustment itself, not the total loss associated with the respective event before or after the loss adjustment. The amounts to be reported do not take into account obtained recoveries.
0070, 0170, 0270, 0370, 0470, 0570, 0670, 0770, 0870	Total direct loss recovery Direct recoveries are all recoveries obtained except those which are subject to Article 323 CRR as reported in the row below. The total direct loss recovery is the sum of all the direct recoveries and adjustments to direct recoveries accounted for within the reporting period and pertinent to operational risk events accounted for the first time within the reporting reference period or in previous reporting reference periods.
0080, 0180, 0280, 0380, 0480, 0580, 0680, 0780, 0880	Total recovery from insurance and other risk transfer mechanisms Recoveries from insurance and other risk transfer mechanisms are those recoveries which are subject to Article 323 CRR. The total recovery from insurance and other risk transfer mechanisms is the sum of all the recoveries from insurance and other risk transfer mechanisms and adjustments to such recoveries accounted within the reporting reference period and pertinent to operational risk events accounted for the first time within the reporting reference period or in previous reporting reference periods.
0910-0980	TOTAL BUSINESS LINES For each event type (column 010 to 080), the information (Article 322(3) lit. b), c) and e) of CRR on total business lines has to be reported.
0910-0914	Number of Events In row 910, the number of events above the internal threshold by event types for the total business lines shall be reported. This figure may be lower than the aggregation of the number of events by business lines since the events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, if an institution calculating its own funds requirements according to BIA cannot identify the business line(s) affected by the loss in every case. In rows 911 – 914, the number of events with a gross loss amount within the ranges defined in the pertinent rows shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘ Corporate items ’ as referred to in Article 322(3) point (b) CRR respectively that it has identified the event types for all losses, the following shall apply for column 080: The total number of events reported in rows 910 to 914 is equal to the horizontal aggregation of the number of events in the corresponding row, given that in those figures the events with impacts in different business lines shall have already been considered as one event. The figure reported in column 080, row 910 shall not necessarily be equal to the vertical aggregation of the number of events which are included in column 080, given that one event can have an impact in different business lines simultaneously.
0920-0924	Gross loss amount (new events) Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘ Corporate items ’ as referred to in Article 322(3) point (b) CRR, the gross loss amount (new events) reported in row 920 is the simple aggregation of the gross loss amounts of new events for each business line. In rows 921 – 924, the gross loss amount for events with a gross loss amount within the ranges defined in the pertinent rows shall be reported.
0930, 0935, 0936	Number of loss events subject to loss adjustments In row 930, the total of the numbers of events subject to loss adjustments as defined for rows 030, 130, …, 830 shall be reported. This figure may be lower than the aggregation of the number of events subject to loss adjustments by business lines since events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, if an institution calculating its own funds requirements according to BIA cannot identify the business line(s) affected by the loss in every case. The number of loss events subject to loss adjustments shall be broken down into the number of events for which a positive loss adjustment was made within the reporting reference period and the number of events for which a negative loss adjustment was made within the reporting period (all reported with a positive sign).
0940, 0945, 0946	Loss adjustments relating to previous reporting periods In row 940, the total of the loss adjustment amounts relating to previous reporting periods per business lines (as defined for rows 040, 140, …, 840) shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 of CRR or the business line ‘ Corporate items ’ as referred to in Article 322(3) point (b) of CRR, the amount reported in row 940 is the simple aggregation of the loss adjustments relating to previous reporting periods reported for the different business lines. The amount of loss adjustments shall be broken down into the amount related to events for which a positive loss adjustment was made in the reporting reference period (row 945, reported with as positive figure) and the amount related to events for which a negative loss adjustment was made within the reporting period (row 946, reported as negative figure). If, due to a negative loss adjustment, the adjusted loss amount attributable to an event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that event accumulated until the last time when the event was reported for a December reference date (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) with a negative sign in row 946 instead of the amount of the negative loss adjustment itself.
0950	Maximum single loss Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘ Corporate items ’ as referred to in Article 322(3) point (b) CRR, the maximum single loss is the maximum loss over the internal threshold for each event type and amongst all business lines. These figures may be higher than the highest single loss recorded in each business line if an event impacts different business lines. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘ Corporate items ’ as referred to in Article 322(3) point (b) CRR respectively that it has identified the event types for all losses, the following shall apply for column 080: The maximum single loss reported shall be equal to the highest of the values reported in columns 010 – 070 of this row. If there are events having an impact in different business lines, the amount reported in {r950, c080} may be higher than the amounts of ‘ Maximum single loss ’ per business line reported in other rows of column 080.
0960	Sum of the five largest losses The sum of the five largest gross losses for each event type and amongst all business lines is reported. This sum may be higher than the highest sum of the five largest losses recorded in each business line. This sum has to be reported regardless of the number of losses. Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘ Corporate items ’ as referred to in Article 322(3) point (b) CRR respectively that it has identified the event types for all losses, for column 080, the sum of the five largest losses shall be the sum of the five largest losses in the whole matrix, which means that it may not necessarily be equal to neither the maximum value of ‘ sum of the five largest losses ’ in row 960 nor the maximum value of ‘ sum of the five largest losses ’ in column 080.
0970	Total direct loss recovery Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘ Corporate items ’ as referred to in Article 322(3) point (b) CRR, the total direct loss recovery is the simple aggregation of the total direct loss recovery for each business line.
0980	Total recovery from insurance and other risk transfer mechanisms Provided that the institution has assigned all its losses either to a business line listed in Article 317(4) table 2 CRR or the business line ‘ Corporate items ’ as referred to in Article 322(3) point (b) CRR, the total recovery from insurance and other risk transfer mechanisms is the simple aggregation of the total loss recovery from insurance and other risk transfer mechanisms for each business line.

4.2.3. C 17.02: Operational risk: Detailed information on the largest loss events in the last year (OPR DETAILS 2) U.K.

4.2.3.1. General Remarks U.K.

134. In template C 17.02, information on individual loss events shall be provided (one row per event). U.K.

135. The information reported in this template shall refer to ‘new events’, i.e. operational risk events U.K.

(a)

‘ accounted for the first time ’ within the reporting reference period or

(b)

‘ accounted for the first time ’ within a previous reporting reference period, if the event had not been included in any previous supervisory report, e.g. because it was identified as operational risk event only in the current reporting reference period or because the accumulated loss attributable to that event (i.e. the original loss plus/minus all loss adjustments made in previous reporting reference periods) exceeded the internal data collection threshold only in the current reporting reference period..

136. Only events entailing a gross loss amount of 100,000 EUR or more shall be reported. U.K.

1. Subject to that threshold,

(a)

the largest event for each event type, provided that the institution has identified the event types for losses and

(b)

at least the ten largest of the remaining events with or without identified event type by gross loss amount shall be included in the template.

(c)

Events are ranked based on the gross loss attributed to them.

(d)

An event shall only be considered once.

4.2.3.2. Instructions concerning specific positions U.K.

Columns
0010	Event ID The event ID is a row identifier and shall be unique for each row in the table. Where an internal ID is available, institutions shall provide the internal ID. Otherwise, the reported ID shall follow the numerical order 1, 2, 3, etc.
0020	Date of Accounting Date of accounting means the date when a loss or reserve/provision against an operational risk loss was first recognized in the Profit and Loss statement.
0030	Date of occurrence Date of occurrence is the date when the operational risk event happened or first began.
0040	Date of discovery Date of discovery is the date on which the institution became aware of the operational risk event.
0050	Event Type Event types as defined in Article 324 CRR
0060	Gross loss Gross loss related to the event as defined for rows 020, 120 etc. of template C 17.01 above
0070	Gross loss net of direct recoveries Gross loss related to the event as defined for rows 020, 120 etc. of template C 17.01 above net of direct recoveries pertinent to that loss event
0080 - 0160	Gross loss by business line The gross loss as reported in column 060 shall be allocated to the relevant business lines as defined in Articles 317 and 322 (3) point (b) CRR.
0170	Legal Entity name Name of the legal entity as reported in column 010 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.
0180	Legal Entity ID LEI code of the legal entity as reported in column 025 of C 06.02 where the loss – or the greatest share of the loss, if several entities were affected – occurred.
0190	Business Unit Business unit or corporate division of the institution where the loss – or the greatest share of the loss if several business units or corporate divisions were affected – occurred.
0200	Description Narrative description of the event, where necessary in an generalised or anonymised manner, which shall comprise at least information about the event itself and information about the drivers or causes of the event, where known.]

Textual Amendments

F1 Substituted by Commission Implementing Regulation (EU) 2018/1627 of 9 October 2018 amending Implementing Regulation (EU) No 680/2014 as regards prudent valuation for supervisory reporting (Text with EEA relevance).