S.26.15 – Internal model: Operational risk Group
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S.26.15 – Internal model: Operational risk
General comments:
This section relates to the annual submission of information for groups.
This template shall be reported based on availability according to the internal model architecture and risk profile when possible with reasonable effort. The data to be reported shall be agreed between national supervisory authorities and groups.
Each undertaking can use their own operational risks classification.
The columns C0020-C0060 contain information on the scenarios defined by the undertaking. In case of multi-tier classifications, data on at least the two highest levels of operational risk should be provided (define L1 as the highest level and L2 the immediately lower one, if present). All the information to be filled in is related to the one year forecasted loss probability distributions.
For an event type category defined as Level 1 (L1) occurrence, all numerical information (SCR, quantiles) should refer to the aggregation of the risk made at that level. Of course, each category identified in the Level 2 (L2) occurrence could come from an aggregation of lower levels loss distributions.
| Internal scenario classification [free text] | Unique ID [number] | Unique ID of parent level. [number] | |
|---|---|---|---|
| L2 A | 201 | 101 | |
| L2 B | 202 | 101 | |
| L2 C | 203 | 101 | Note that the ID of the containing |
| L2 D | 204 | 102 | level is not valued for L1 levels, as the ultimate parent level is the |
| L2 E | 205 | 102 | operational risk itself. |
| L1 A | 101 | ||
| L1 B | 102 |
Operational Risk
| ITEM | INSTRUCTIONS | |
|---|---|---|
| C0010/R0010 | Is Basel L1 classification used? | Identify if the seven high-level categories (L1) specified in Basel II are used. One of the options in the following closed list shall be used: Yes |
| No | ||
|---|---|---|
| C0010/R0020 | Is Basel L1 and L2 classification used? | Identify if the Basel Level 1 and 2 categories and their hierarchy (which L2 are included in each L1) specified in Basel II [Annex 7]. One of the options in the following closed list shall be used: Yes |
| C0020 | Scenario name | No This table should be completed by all groups, also in the cases where the undertaking answers ‘No’ to ‘C0010/R0010’ and/or ‘C0010/R0020’, with the names of the internal scenarios used for Operational risk calculations by the internal model. |
| C0030 | Unique ID | This is a unique ID of the internal scenario. This should be consistent across different reporting periods. This is a numeric field. |
| C0040 | Unique ID of parent level. | This is a unique ID of the immediate parent internal scenario. This should be consistent across different reporting periods. This is a numeric field. |
| C0050 | Basel L1 classification mapping | For completion by undertakings which answer ‘Yes’ in C0010/R0010 or the mapping to Basel L1 exists. Field should be empty if the scenario is higher than level 2 in the classification. |
| One of the options in the following closed list shall be used: 1) Internal fraud 2) External fraud 3) Employment practices and workspace safety 4) Damage to physical assets 5) Business disruption and system failures 6) Clients, products and business practices 7) Execution, delivery and process management | ||
| C0060 | Basel L2 classification mapping | For completion by undertakings which answer ‘Yes’ in C0010/R0020 or the mapping to Basel L2 exists. Field should be empty if the scenario is higher than level 2 in the classification. The occurrence “Other” can be used in case the risk could be classified in a Level 1 Basel category but there is not a Level 2 one. |
| One of the options in the following closed list shall be |
|---|
| used: |
| 1) Internal fraud - Unauthorized activity |
| 2) Internal fraud - Theft and fraud |
| 3) Internal fraud - Other 4) External fraud - Theft and fraud |
| 5) External fraud - Systems security |
| 6) External fraud - Other |
| 7) Employment practices and workspace safety - |
| Employee relations |
| 8) Employment practices and workspace safety - Safe environment |
| 9) Employment practices and workspace safety - |
| Diversity and discrimination |
| 10) Employment practices and workspace safety - |
| Other |
| 11) Damage to physical assets - Disasters and |
| other events |
| 12) Damage to physical assets - Other 13) Business disruption and system failures - |
| Systems |
| 14) Business disruption and system failures - |
| Other |
| 15) Clients, products and business practices - |
| Suitability, disclosure and fiduciary |
| 16) Clients, products and business practices - |
| Improper business or market practices |
| 17) Clients, products and business practices - Product flaws |
| 18) Clients, products and business practices - |
| Selection, sponsorship and exposure |
| 19) Clients, products and business practices - |
| Advisory activities |
| 20) Clients, products and business practices - |
| Other |
| 21) Execution, delivery and process management |
| - Transaction capture, execution and maintenance |
| 22) Execution, delivery and process management |
| - Monitoring and reporting |
| 23) Execution, delivery and process management |
| - Customer intake and documentation |
| 24) Execution, delivery and process management |
| - Customer / client account management |
| 25) Execution, delivery and process management |
| - Trade counterparties |
| 26) Execution, delivery and process management - Vendors and suppliers 27) Execution, delivery and process management - Other | ||
|---|---|---|
| C0070 | Probability Distribution | Identify the probability distribution. One of the options in the following closed list shall be used: 1. Poisson-lognormal 2. Lognormal 3. Poisson-Pareto 4. Empirical 5. Pareto 6. Other, please specify 7. Obtained by aggregation of lower levels Item 1 to 6 to be used in case the probability distribution is quantified; item 7 in case the probability distribution is obtained by aggregation of lower level distributions. |
| C0080 | Solvency Capital Requirement | Solvency capital requirement net of risk mitigating contracts per scenario. |
| C0090-C0210 | Percentiles | Percentiles of the loss distribution (losses corresponds to the right tail) net of risk mitigating contracts per scenario. |
| C0220/R0030 | Total undiversified Level 2 | Sum of stand-alone capital requirements contributions for Level 2 operational risks classification. Any lower aggregation level should be already considered. |
| C0220/R0040 | Sum of diversification inside Level 2 items | Difference between the sum of undiversified leaf risks SCR and C0220/R0030. This amount should be reported as a negative value. For example, if the lower level is L3 (the ones quantified with probability distributions), enter the difference between the sum of Level 3 and the sum of Level 2 (standalone). |
| C0220/R0050 | Total undiversified Level 1 | Sum of stand-alone capital requirements contributions for Level 1 operational risks classification Any lower aggregation level should be already considered. |
| C0220/R0060 | Operational risk – diversification between Level 1 items | Difference of C0220/R0050 and C0220/R0070. This amount should be reported as a negative value. |
|---|---|---|
| C0220/R0070 | Operational risk - diversified | Diversified operational risk capital requirement net of risk mitigating contracts. |