Division 4.2.2.2 Instructions concerning specific positionsF1

Institutions shall report the losses in the respective columns 010 to 070 in accordance with the loss event types referred to in Article 324 CRR.

Institutions that calculate their own funds requirement in accordance with the BIA may report those losses for which the loss event type is not identified in column 080 only.

In column 080, for each business line, institutions shall report the total ‘ number of loss events (new loss events) ’ , the total of ‘ gross loss amount (new loss events) ’ , the total ‘ number of loss 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 loss event types for all losses, column 080 shall show 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 shall be 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 loss 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 shall be reported.

Institutions shall report in columns 090 and 100 the minimum loss thresholds they are using for the internal loss data collection in accordance with the last sentence of point (c) of Article 322(3) CRR.

Where the institution applies only one threshold for in each business line, only column 090 shall be filled in.

Where there are different thresholds applied within the same regulatory business line, the highest applicable threshold (column 100) shall be filled in as well.

For each business line referred to in Table 2 of Article 317(4) CRR, including the additional business line ‘ Corporate items ’ as referred to in point (b) of Article 322(3) CRR, and for each loss event type, the institution shall report, in accordance with the internal thresholds, the following information: number of loss events (new loss events), gross loss amount (new loss events), the number of loss 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 ’ shall be distributed amongst all the affected business lines.

Institutions that calculate their own funds requirement in accordance with the BIA can report those losses for which the business line is not identified in rows 910-980 only.

The number of loss events is the number of loss events for which gross losses were accounted for within the reporting reference period.

The number of loss events shall refer to ‘ new events ’ , i.e. operational risk events:

1. (i)

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

2. (ii)

   ‘ accounted for the first time ’ within a previous reporting reference period, where the loss event was not included in any previous supervisory report, e.g. because it was identified as operational risk loss event only in the current reporting reference period or because the accumulated loss attributable to that loss 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 loss events ’ do not include loss events ‘ accounted for the first time ’ within a previous reporting reference period, which were already included in previous supervisory reports.

The gross loss amount shall be the gross loss amounts pertinent to operational risk loss events (e.g. direct charges, provisions, settlements). All losses related to a single loss event which are accounted for within the reporting reference period shall be summed up and considered as the gross loss for that loss event for that reporting reference period.

The reported gross loss amount shall refer to ‘ new loss events ’ as referred to in the row above of this table. For loss events ‘ accounted for the first time ’ within a previous reporting reference period which were not 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 shall not take into account obtained recoveries.

The number of loss events subject to loss adjustments shall be the number of operational risk loss 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.

Where more than one loss adjustment was made for a loss event within the reporting reference period, the sum of those loss adjustments shall be counted as one adjustment in the period.

Loss adjustments relating to previous reporting reference periods shall the sum of the following elements (positive or negative):

1. (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;

2. (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 loss events ‘ accounted for the first time ’ and reported in previous reporting reference periods.

The maximum single loss is the larger of:

1. (i)

   the largest gross loss amount related to a loss event reported for the first time within the reporting reference period; and

2. (ii)

   the largest positive loss adjustment amount (as referred to in rows 0040, 0140, …, 0840 above) related to a loss event reported for the first time within a previous reporting reference period.

The amounts to be reported shall not take into account obtained recoveries.

The sum of the five largest losses shall be the sum of the five largest amounts amongst:

1. (i)

   the gross loss amounts for loss events reported for the first time within the reporting reference period; and

2. (ii)

   the positive loss adjustment amounts (as defined for rows 0040, 0140, …, 0840 above) relating to loss events reported for the first time within a previous reporting reference period. The amount which can qualify as one of the five largest ones shall be the amount of the loss adjustment itself, not the total loss associated with the respective loss event before or after the loss adjustment.

The amounts to be reported shall not take into account obtained recoveries.

Direct loss recoveries shall be all loss recoveries obtained, except those which are subject to Article 323 CRR as referred to in the row of this table below.

The total direct loss recovery shall be the sum of all the direct recoveries and adjustments to direct recoveries accounted for within the reporting period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods.

Recoveries from insurance and other risk transfer mechanisms shall be those recoveries which are subject to Article 323 CRR.

The total recovery from insurance and other risk transfer mechanisms shall be the sum of all recoveries from insurance and other risk transfer mechanisms and adjustments to such recoveries accounted for within the reporting reference period and pertinent to operational risk loss events accounted for the first time within the reporting reference period or in previous reporting reference periods.

For each loss event type (column 0010 to 0080), the information on total business lines has to be reported.

In row 0910, the number of loss events above the internal threshold by loss event types for the total business lines shall be reported. This figure may be lower than the aggregation of the number of loss events by business lines since the loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the BIA cannot identify the business line(s) affected by the loss in every case.

In rows 0911 – 0914, the number of loss events with a gross loss amount within the ranges defined in the pertinent rows of the template shall be reported.

Provided that the institution has assigned all its losses to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘ corporate items ’ as referred to in point (b) of Article 322(3) CRR or that it has identified the loss event types for all losses, the following shall apply for column 080, as appropriate:

• The total number of loss events reported in rows 0910 to 0914 shall be equal to the horizontal aggregation of the number of loss events in the corresponding row, because in those figures the loss events with impacts in different business lines shall already have been considered as one loss event.

• The figure reported in column 0080, row 0910 shall not necessarily be equal to the vertical aggregation of the number of loss events which are included in column 080, because one loss event can have an impact in different business lines simultaneously.

Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘ corporate items ’ referred to in point (b) of Article 322(3) CRR, the gross loss amount (new loss events) reported in row 0920 shall be the simple aggregation of the gross loss amounts of new loss events for each business line.

In rows 0921 – 0924, the gross loss amount for loss events with a gross loss amount within the ranges defined in the pertinent rows shall be reported.

In row 0930, the total of the numbers of loss events subject to loss adjustments as reported in rows 0030, 0130, …, 0830 shall be reported. That figure may be lower than the aggregation of the number of loss events subject to loss adjustments by business lines since loss events with multiple impacts (impacts in different business lines) shall be considered as one. It may be higher, where an institution calculating its own funds requirements in accordance with the 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 loss events for which a positive loss adjustment was made within the reporting reference period and the number of loss events for which a negative loss adjustment was made within the reporting period (all reported with a positive sign).

In row 0940, the total of the loss adjustment amounts relating to previous reporting periods per business lines (as reported in rows 0040, 0140, …, 0840) shall be reported. Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘ corporate items ’ referred to in point (b) of Article 322(3) CRR, the amount reported in row 0940 shall be 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 loss events for which a positive loss adjustment was made in the reporting reference period (row 0945, reported with as positive figure) and the amount related to loss events for which a negative loss adjustment was made within the reporting period (row 0946, reported as negative figure). Where, due to a negative loss adjustment, the adjusted loss amount attributable to a loss event falls below the internal data collection threshold of the institution, the institution shall report the total loss amount for that loss event accumulated until the last time when the loss 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.

Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘ corporate items ’ referred to in point (b) of Article 322(3) CRR, the maximum single loss shall be the maximum loss over the internal threshold for each loss event type and amongst all business lines. Those figures may be higher than the highest single loss recorded in each business line where a loss event impacts different business lines.

Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘ corporate items ’ referred to in point (b) of Article 322(3) CRR respectively that it has identified the loss event types for all losses, the following shall apply for column 0080:

• The maximum single loss reported shall be equal to the highest of the values reported in columns 0010 – 0070 of this row.

• Where there are loss 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.

The sum of the five largest gross losses for each loss event type and amongst all business lines shall be reported. That sum may be higher than the highest sum of the five largest losses recorded in each business line. That 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 Table 2 of Article 317(4) CRR or the business line ‘ corporate items ’ referred to in point (b) of Article 322(3) CRR and that it has identified the loss event types for all losses, for column 0080, the sum of the five largest losses shall be the sum of the five largest losses in the whole matrix, which means that it is not necessarily equal to either the maximum value of ‘ sum of the five largest losses ’ in row 0960 or the maximum value of ‘ sum of the five largest losses ’ in column 0080.

Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘ corporate items ’ referred to in point (b) of Article 322(3) CRR, the total direct loss recovery shall be the simple aggregation of the total direct loss recovery for each business line.

Provided that the institution has assigned all its losses either to a business line listed in Table 2 of Article 317(4) CRR or the business line ‘ corporate items ’ referred to in point (b) of Article 322(3) CRR, the total recovery from insurance and other risk transfer mechanisms shall be the simple aggregation of the total loss recovery from insurance and other risk transfer mechanisms for each business line.