EBA欧洲银行-EBA-CP-2016-20-28Annex-2_OpR_GenGov-instructions29_20页_364kb

Summary of Document Content: Reporting on Own Funds and Own Funds Requirements (ANNEX II)

Core Content

This document outlines the reporting requirements for operational risk (OpRisk) and exposures to general governments under the Capital Requirements Regulation (CRR) and the European Banking Authority (EBA) guidelines. It provides detailed instructions for the use of Templates C 17.01 (OPR DETAILS 1) and C 17.02 (OPR DETAILS 2) for reporting operational risk losses and recoveries, as well as the specific rules for loss adjustments and thresholds for inclusion in the reporting.

Main Points

1. Operational Risk Reporting (OPR DETAILS)

• Definition of Key Terms:

  • Gross loss: Loss from an operational risk event before any recoveries.
  • Recovery: Funds or economic benefits received from first or third parties (e.g., insurers) following a loss.
  • Rapidly recovered loss events: Losses that are partly or fully recovered within five working days. Only the unrecovered portion is included in the gross loss.

• Reporting Periods:

  • June figures: Interim figures covering a six-month period (1 January to 30 June).
  • December figures: Final figures covering a twelve-month period (1 January to 31 December).

• Exclusions:

  • Operational risk losses related to credit risk and subject to own funds requirements for credit risk are not included in Templates C 17.01 and C 17.02.

• Data Collection Thresholds:

  • Thresholds are used for internal loss data collection and are included for comparability across institutions, but they do not necessarily represent the minimum loss thresholds used for internal purposes.

• Templates Overview:

  • Template C 17.01 provides aggregated data on operational risk losses and recoveries by business lines and event types.
  • Template C 17.02 includes detailed information on the largest loss events, with specific thresholds for inclusion.

2. Template C 17.01: Operational Risk Losses and Recoveries by Business Lines and Event Types

• Structure:

  • Columns: Report losses by event types (010 to 070) and totals (column 080).
  • Rows: Report by business lines (010 to 880) and total business lines (910 to 980).

• Reporting Requirements:

  • Number of events: Count of events with gross losses above internal thresholds.
  • Gross loss amount: Total gross loss for each business line and event type.
  • Loss adjustments: Adjustments made in the current reporting period for losses from previous periods.
  • Maximum single loss: The largest loss per event type and business line.
  • Sum of the five largest losses: The sum of the five largest losses per event type and business line.
  • Total direct loss recovery: Recovery from non-insurance sources.
  • Total recovery from insurance: Recovery from insurance and other risk transfer mechanisms.

• Special Rules for Loss Adjustments:

  • Loss adjustments are reported based on the original loss amount, not the adjusted one.
  • If a loss adjustment changes the range of the gross loss, the event is reported in both the original and adjusted ranges.
  • If the adjusted loss falls below the internal threshold, it is excluded from the adjusted range.

3. Template C 17.02: Detailed Information on Largest Loss Events

• Reporting Criteria:

  • Only events with a gross loss of €100,000 or more must be reported.
  • For each event type, the largest event must be reported, along with the five largest remaining events.
  • If the gross loss is €10,000,000 or more, the event must be reported regardless of type.

• Columns:

  • Event ID: Unique identifier for each event.
  • Date of Accounting: Date the loss was first recognized in the Profit and Loss statement.
  • Date of Occurrence: Date the operational risk event happened or first began.
  • Date of Discovery: Date the institution became aware of the event.
  • Event Type: As defined in Article 324 of CRR.
  • Gross Loss: Total loss before recoveries.
  • Gross Loss Net of Direct Recoveries: Loss after direct recoveries.
  • Gross Loss by Business Line: Allocation of loss to relevant business lines.
  • Legal Entity Name and ID: Name and LEI code of the entity affected.
  • Business Unit: Unit or division where the loss occurred.
  • Description: Details of the event, including its nature and causes.

4. Exposures to General Governments (GEN GOV Templates)

• Scope:

  • Covers direct and indirect exposures to general governments, including on-balance sheet, off-balance sheet, and derivatives.
  • Includes banking and trading book exposures.

• Definitions:

  • Direct exposure: Exposure to a counterparty that is classified as a general government.
  • Indirect exposure: Exposure to a counterparty not classified as a general government but with credit or market risk towards general governments.

• Reporting by Country and Regulatory Approach:

  • Template C 33.01 (GEN GOV1) reports exposures to general governments by country and regulatory approach.
  • Columns 010–260: Direct exposures.
  • Columns 010–140: On-balance sheet exposures.
  • Columns 030–120: Non-derivative financial assets by accounting portfolio.

• Special Considerations:

  • Exposures fully or partially guaranteed by general governments are reported separately.
  • Allocation to exposure classes and jurisdictions is done without considering credit mitigation techniques.
  • The calculation of risk exposures includes the incidence of credit risk mitigation techniques, including substitution effects.

• Thresholds:

  • Reporting of exposures to general governments in jurisdictions other than the domestic one is subject to Article 5 (b) point 3 thresholds.

5. Consultation Questions

• Question 7: Asks whether the rules for determining the number of loss events subject to loss adjustments and their assignment to ranges are clear. Suggests improvements if needed.
• Question 8: Asks whether the new rules for loss adjustments are appropriate in terms of cost/benefit and requests quantification of the cost impact.
• Question 9: Asks which threshold option (17 largest losses, 17 largest losses above €100,000, or combined threshold) is the least complex or costly to implement.

Key Information

• Templates C 17.01 and C 17.02 are used for reporting operational risk events.
• Rapid recoveries within five working days are excluded from gross loss calculations.
• Loss adjustments are reported based on the original loss amount, and their assignment to ranges is based on the original loss, not the adjusted one.
• Exposures to general governments are reported by country and regulatory approach, including both direct and indirect exposures.
• Consultation questions focus on clarity, cost-effectiveness, and threshold applicability of the reporting requirements.