Reporting on own funds and own funds requirements


C 17.00 – Operational Risk: Gross Losses by Business Lines and Event Types in the last year (OPR Details)



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C 17.00 – Operational Risk: Gross Losses by Business Lines and Event Types in the last year (OPR Details)

  1. General Remarks


120.This template summarises the information on the gross losses registered by an institution in the last year according to event types and business lines, based on the first accounting date of the loss.

121.The information is presented by distributing the gross losses above internal thresholds amongst business lines (as defined in Article 317 of CRR, Table 2 of CRR including the additional business line "Corporate items" as referred to in Article 322 (3) point b) of CRR) and event types (as defined in Article 324 of CRR), being possible that the losses corresponding to one event are distributed amongst several business lines.

122.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.

123.Rows present the business lines, and within each business line, information on the number of events, the amount of the total loss, the maximum single loss and the sum of the five largest losses (regardless the number of losses).

124.This template shall be reported by institutions using AMA or TSA/ASA for the calculation of their own funds requirements.

125.Institutions subject to Article 5 point (b) (2) ii may only report the following information for the sum of all event types (column 080) of the OPR Details template:



    1. Number of events (row 910),

    2. Total loss amount (row 920),

    3. Maximum single loss (row 930) and

    4. Sum of the five largest losses (row 940).
      1. Instructions concerning specific positions





Columns

010 -070

EVENT TYPES

Institutions report the losses in the respective columns 010 to 070 according to the event types as defined in Article 324 of CRR.

Institutions that calculate their own funds requirement according to TSA or ASA can report the losses for which the event type is not identified in the column "non-allocated event types (TSA only)" (column 080).


080

TOTAL EVENT TYPES

In column 080, for each business line, institutions report the total ‘number of events’ and the total of ‘total loss amount’ as the simple aggregation of the number of loss events and the total gross loss amounts reported in columns 010 to 070. The ‘maximum single loss’ in column080 is the maximum of the ‘maximum single gross losses’ reported in columns 010 to 070. For the sum of the five largest losses, in column 080 the sum of the five largest losses within one business line is reported.




090 - 100

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) of CRR, last sentence of 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

010 - 840

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 of CRR, including the additional business line "Corporate items" as referred to in Article 322 (3) point b) of CRR, and for each event type, the institution shall report, according to the thresholds the following information: number of events, total loss amount, maximum single loss and sum of the five largest losses. For a loss event that affects more than one business line the “total loss amount” is distributed among all the affected business lines.




910 - 940

TOTAL BUSINESS LINES
For each event type (column 010 to 080), the following information ( Article 322 (3) points b), c) and e) of CRR on total business lines (rows 910 to 940) has to be reported:

  • Number of events (row 910): the number of events above the threshold by event types for the total business lines. 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.

  • Total loss amount (row 920): the total loss amount is the simple aggregation of the total loss amount for each business line.

  • Maximum single loss (row 930): the maximum single loss is the maximum loss over the 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.

  • Sum of the five largest losses (row 940): 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 the number of losses.




910-940/080

TOTAL BUSINESS LINES - TOTAL EVENT TYPES


  • Number of events: it is equal to the horizontal aggregation of the number of events in row 910, given that in those figures the events with impacts in different business lines shall have already been considered as one event. This number 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.

  • Total loss amount: it is equal to both the horizontal aggregation of total loss amounts by event type in row 920 and the vertical aggregation of total loss amounts by business line in column 080.

  • Maximum single loss: as previously mentioned, when an event has impact in different business lines, it may be that the amount for “Maximum single loss” in “Total Business lines” for that particular event type is higher than the amounts of “Maximum single loss” in each business line. Hence, the amount in this cell shall be equal to the highest of the values of “Maximum single loss” in “Total Business lines”, which may not necessarily be equal to the highest value of “Maximum single loss” across business lines in column 080.

  • Sum of the five largest losses: it is 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 “Total Business lines” nor the maximum value of “sum of the five largest losses” in column 080.








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