FR Y-14Q Operational Risk

Quarterly Operational Loss Data Collection Schedule
Table of Contents
Page

1.
2.
3.
4.
5.
6.

Reporting Instructions………………………………………….
Operational Loss Data Collection Schedule …………
Internal Business Line…………………………………………..
Unit-of-Measure…………………………………………………..
Threshold Information…………………………………………
Legal Reserves Frequency Schedule…………………….

2
4
8
8
8
9

Appendices
A: Level 1 and Level 2 Event-Types…………………….
B: Level 1 and Level 2 Business Lines…………………
C: Example - Legal Reserves Frequency Schedule

10
11
12

1

1. Reporting Instructions
Each quarter, submit two data files as described below.
File 1: Operational Loss History
Submit a complete history of operational losses at and above the institution’s established
collection threshold(s) in accordance with the following instructions.
a. The data file should contain all operational losses, with the exception of data on legal
reserves, captured by the institution as of the respective reporting quarter end, starting
from the point-in-time at which the institution began capturing operational loss event data
in a systematic manner. An operational loss is defined as a financial loss (excluding
insurance or tax effects) resulting from an operational loss event and includes all expenses
associated with an operational loss event except for opportunity costs, forgone revenue,
and costs related to risk management and control enhancements implemented to prevent
future operational losses. An operational loss event is defined as an event that results in
loss and is associated with any of the seven operational loss event type categories (Level 1)
identified and defined in Appendix A.
b. Each loss event must contain a unique reference number. A single operational loss event
could have multiple transaction dates (e.g., several accounting or recovery dates) and/or
could be assigned to multiple business lines. In cases where the institution submits a
single loss event that has multiple transactions and/or is assigned to multiple business
lines, the same reference number must be used to link these individual records to the
same event.
c. The requirement for reporting a loss event is based on the event’s total loss amount,
regardless of how the loss amount is distributed. For example, if an institution’s collection
threshold is $10,000 and a single loss event of $12,000 was assigned evenly to three
business lines (i.e., $4,000 each), then the event needs to be included in the institution’s
submitted data file.
d. Do not report separate, distinct operational loss events on an aggregated basis. For
example, the bundling of separate loss events that fall below the institution’s established
threshold into one loss event record should not be reported.
e. Foreign banking institutions should report operational losses that impact the institution’s
U.S. operations in accordance with these reporting instructions.
f.

Ensure that the information provided for each descriptive element conforms to the
reporting instructions in the Operational Loss Data Collection Schedule in Section 2.

File 2: Legal Reserves Frequency
Each quarter, report the total number of outstanding/pending legal events by “Basel Business
Line (Level 1)” and “Basel Event Type (Level 1)” for which a legal reserve(s) has been
established in accordance with the following instructions.
a. The total number reported should be based on the number of legal events, not the number
of “reserve entries.”

2

b. The total number of outstanding/pending legal events should be reported by the quarter
and year in which the first legal reserve for each respective legal event was recorded. For
example, a legal event that had three separate reserves recorded in Q1-2011, Q4-2011, and
Q2-2012 should be included as one event in the Q1-2011 total.
c. Previously reported legal events that have been settled or closed during the current
reporting quarter should not be included in the current or future submissions. Example: A
reserve for a legal event was first recorded in Q1-2011. The legal event was then settled in
Q2-2012. In this example, the legal event should not be included in the institution’s Q22012 submission or future submissions.
d. The total number outstanding/pending legal events for which the first legal reserve was
recorded on or prior to December 31, 2007 must be reported under “Q4-2007” by “Basel
Business Line (Level 1)” and “Basel Event Type (Level 1). To clarify, total numbers reported
by business line and event type under Q4-2007 should represent the total number of
outstanding/pending legal events for which a reserve(s) was established prior to December
31, 2007 and for which reserves are still in place as of the current reporting quarter.
e. Ensure the information provided for each descriptive element conforms to the reporting
instructions in the Legal Reserves Frequecy Schedule in Section 6. For illustrative
purposes, an example of a Legal Reserves Frequency Schedule is provided in Appendix C.

3

2. Operational Loss Data Collection Schedule
Field
Reference

Format

Field Name

Description

A

Reference
Number

The unique institution-established identifier assigned to
each loss event. The reference number should not
include any white spaces, tabs, or special characters.

B

Capture
Date

The date that the institution captured/recorded the loss
event in its internal operational loss database. The
Capture Date must be submitted in the following format:
MM/DD/YYYY. For example, “January 5, 2011, should be
“01/05/2011”.

Date
MM/DD/YYYY

C

Occurrence
Date

The date that the operational loss event occurred or
began. The Occurrence must be submitted in the
following format: MM/DD/YYYY. For example, “January
5, 2011, should be “01/05/2011”.

Date
MM/DD/YYYY

D

Discovery Date

The date that the operational loss event was first
discovered by the institution. The loss event’s discovery
date should not be earlier than its occurrence date. The
Discovery Date must be submitted in the following
format: MM/DD/YYYY. For example, “January 5, 2011,
should be “01/05/2011”.

Date
MM/DD/YYYY

E

Accounting
Date

The date that the financial impact of the operational loss
event was recorded on the institution's financial
statements. The loss event’s accounting date should not
be earlier than its occurrence date. The Accounting Date
must be submitted in the following format:
MM/DD/YYYY. For example, “January 5, 2011, should be
“01/05/2011”.

Date
MM/DD/YYYY

F

Applicable
Loss Data
Collection
Threshold

The institution-established loss data collection threshold
that was applicable to the respective business
line/function and in effect at the time the loss event was
captured.

N

4

N: Numeric
C: Character
N

Field
Reference
G

Field Name

Description

Gross Loss
Amount
($USD)

The total financial impact of the operational loss event
before any recoveries and excluding insurance and/or
tax effects. The GLA should include all expenses
associated with an operational loss event except for
opportunity costs, forgone revenue, and costs related to
risk management and control enhancements
implemented to prevent future operational losses.
Also, the following types of events should not be
included in the gross loss amount or the institution’s
completed Schedule:
•

•

•

•

•

Near Misses: An operational risk event that did not
result in an actual financial loss or gain to the
institution.
Timing Events: An operational risk event that
causes a temporary distortion of the institution’s
financial statements in a particular financial
reporting period but that can be fully corrected
when later discovered (e.g., revenue
overstatement, accounting and mark-to-market
errors).
Credit Boundary Events: Losses that are related to
both operational risk and credit risk. For example,
where a loan defaults (credit risk) and the bank
discovers that the collateral for the loan was not
properly secured (operational risk). [Exception:
Retail credit card losses arising from noncontractual third-party initiated fraud (for example,
identity theft) should be treated as external fraud
operational losses and should be included in the
institution’s submission.]
Forgone Revenues/Opportunity Costs: Inability to
collect potential future revenues due to
operational risk related failures.
Gains: Situations where an operational risk related
failure results in a financial gain for the institution.

In addition, Gross Loss Amounts:
•

•

•

Should be reported in units of one (not thousands),
rounded to the nearest unit (for example, a one
million dollar loss would be reported as 1,000,000).
Should be reported in $US dollars. Losses amounts
recorded in foreign currency amounts should be
converted to $US dollars using a foreign exchange
rate as of the accounting date associated with the
respective loss.
Cannot be reported as a negative value.

5

Format

N: Numeric
C: Character
N

Field
Reference

Format

Field Name

Description

H

Recovery
Amount
($USD)

An independent occurrence, related to the original loss
event, separate in time, in which funds or outflows of
economic benefits are received from a third party,
excluding funds received from insurance providers.
Recovery Amounts:
• Should not be included in the Gross Loss Amount
column or netted into the gross loss amount.
• Should have the same reference number as the
associated loss event.
• Should be reported in units of one (not thousands),
rounded to the nearest unit (for example, a one
million dollar loss would be reported as 1,000,000).
• Should be reported in $US dollars. Recoveries
recorded in foreign currency amounts should be
converted to $US dollars using a foreign exchange
rate as of the accounting date associated with the
respective recovery.
• Cannot be reported as a negative value.

I

Basel
Event-Type
Category:
Level 1

All loss events reported by the institution must be
mapped to one of the seven “Level 1 Event Types” in
Appendix A. This field must contain the respective Level
1 Event-Type code specified in Appendix A (i.e., ET1, ET2,
ET3….ET7). The exact code provided must be used (e.g.,
“ET1”) with no additional characters or spaces added.

N

J

Basel
Event-Type
Category:
Level 2

If the institution categorizes loss events to the “Level 2
Event-Types” in Appendix A, use the Level 2 Event-Type
codes specified in Appendix B (i.e., ET11 – ET76). If the
institution does not map loss events to those Level 2
Event-Types, or cannot map a particular loss event to
one of the Level 2 Event-Types contained in Appendix A,
then “ET00” should be inserted in this field. The exact
code provided must be used (e.g., “ET41”) with no
additional characters or spaces added.

N

K

Basel
Business Line
Level 1

All loss events reported by the institution must be
mapped to one of the nine “Level 1 Business Lines” in
Appendix B. This field must contain the specific Level 1
Business Line code identified in Appendix B (i.e., BL1,
BL2, BL3….BL9) which corresponds to the Level 1
Business Line.

N

L

Basel
Business Line
Level 2

If the institution categorizes loss events to the “Level 2
Business Lines” (Column L) in Appendix B, use the Level 2
Business Line codes specified in Appendix B (i.e., BL11 –
BL81). If the institution does not map loss events to
those Level 2 Business Lines, then insert BL00 in the
respective field(s) in this column.

N

6

N: Numeric
C: Character
N

Field
Reference

Field Name

Description

M

Internal
Business Line
or Corporate
Function

The institution-specific business line (e.g., Equities) or
corporate function (e.g., HR, Finance or Compliance) to
which the operational loss event has been assigned.
This field should contain a numeric code (i.e., 1, 2, 3…)
with each unique internal business line mapped to a
unique digit representing that business line/corporate
function. The institution should provide this mapping
using the schedule provided in Table 3 (‘Internal
Business Line’) of the attachment.

N

Acquired or
Merged
Entities

If the loss event being reported originated from an
acquired or merged entity, then include the name of the
respective acquired or merged entity in this field. If not,
then insert “NA” (not applicable). “Events originating
from acquired or merged entities” refers to loss events
that have a capture date prior to the acquisition/merger
date. This requirement should also apply to loss events
originating from acquired or merged entities that have
capture dates after the acquisition/merger date, if those
losses have not yet been integrated into the business
lines/functions of the merged entity.

O

Is Loss Event
Included in the
Institution’s
Most Recently
Reported
Operational
Risk Capital
Estimate?

P

Unit of
Measure

Q

Detailed
Description of
Loss Event
(required for
events >
$250k)

If the institution uses statistical model to estimate
operational risk capital, enter “Yes” or “No” depending
on whether or not the respective loss event is included
in the institution's most recently reported operational
risk estimate.

Format

N: Numeric
C: Character
N

C

C
Y/N/NA

If the institution does not estimate operational risk using
a statistical model, enter "N/A" for this field.
The Unit-of-Measure (UOM), established by the
institution, to which the loss has been assigned for
regulatory and/or economic capital calculation purposes.
It is the level at which the BHC's quantification model
generates a separate distribution for estimating
potential operational losses (for example, organizational
unit, operational loss event type, risk category, etc.).
Some institutions estimate a unique loss distribution for
each business line/event type combination while others
may estimate scenario loss distributions that span
multiple business lines or events types (for example,
"Retail Banking/External Fraud"). The UOM field should
contain a numeric code (i.e., 1, 2, 3….) that is mapped to
a unique UOM. The institution should provide this
mapping using the schedule provided in Table 4 (‘Unitof-Measure’) of the attachment.

N

For all operational loss events with gross loss amounts
greater than or equal to $250 thousand, include a
detailed description of the loss event. Generally, the
"short-form" descriptions captured in an institutions'
internal loss database should suffice.

N

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3. Internal Business Line
Field Name
Internal
Business Line
Code
Internal
Business Line
Name
Internal
Business Line
Description

Description
The unique numeric code assigned to the respective
Internal Business Line by the institution.

Format

N: Numeric
C: Character
N

The name of the Internal Business Line.

C

Brief description of the Internal Business Line.

C

4. Unit-of-Measure (UOM)
Field Name
UOM Code
UOM Name
UOM
Description

Description
The unique numeric code assigned to the respective Unitof-Measure by the institution.
The name of the Unit-of-Measure.
Additional details on Unit-of-Measure, as necessary.

Format

N: Numeric
C: Character
N
C
C

5. Threshold Information
Field Name

Description

Collection
Threshold(s)
Applicable
Internal
Business
Line(s)
Effective
Time Period
of Collection
Threshold
(FROM)
Effective
Time Period
of Collection
Threshold
(TO)
Comments

Identify all loss data collection thresholds used for the data
reported.
Identify the "Applicable Internal Business Line(s)" for which
the threshold applies. If the same threshold is used for all
data reported, indicate "firmwide" in the Applicable
Internal Business Line(s) field.
For all collection thresholds applicable to the data
reported, identify the time period for which the respective
threshold is/was in effect.

For all collection thresholds applicable to the data
reported, identify the time period for which the respective
threshold is/was in effect.

Use as necessary.

Format

N: Numeric
C: Character
N
C

Date
MM/DD/YYYY

Date
MM/DD/YYYY

C

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6. Legal Reserves Frequency Schedule
Field
Reference

Field Name

Description

A

Quarter

B

Year

C

Basel Event Type

D

Basel Business Line

E

Number of
Outstanding/Pending
Legal Events

The quarter in which the first legal
reserve was established for a legal
event.
The year in which the first legal
reserve was established for a legal
event.
The number of outstanding/pending
legal events reported by the
institution must be mapped to one of
the seven “Level 1 Event Types” in
Appendix A. This field must contain
the respective Level 1 Event-Type
code specified in Appendix A (i.e.,
ET1, ET2, ET3….ET7). The exact code
provided must be used (e.g., “ET1”)
with no additional characters or
spaces added.
The number of outstanding/pending
legal events reported by the
institution must be mapped to one of
the nine “Level 1 Business Lines” in
Appendix B. This field must contain
the specific Level 1 Business Line code
identified in Appendix B (i.e., BL1,
BL2, BL3….BL9) which corresponds to
the Level 1 Business Line.
The number of outstanding/pending
legal events.

9

Format

N: Numeric
C: Character
C

N

C

C

N

Appendix A
Level 1 and Level 2 Event-Types
Level 1 Event-Type Categories

Level 2 Event-Type Categories

Code Name

Code Name

ET1

Internal Fraud

ET2

External Fraud

ET3

Employment Practices and Workplace
Safety

ET4

Clients, Products & Business Practices

ET5
ET6

Damage to Physical Assets
Business disruption and system failures

ET7

Execution, Delivery and Process
Management

ET11
ET12
ET21
ET22
ET31
ET32
ET33
ET41
ET42
ET43
ET44
ET45
ET51
ET61
ET71
ET72
ET73
ET74
ET75
ET76
ET00

Level 1 Event-Type Categories

Unauthorised Activity
Theft and Fraud
Theft and Fraud
Systems Security
Employee Relations
Safe Environment
Diversity & Discrimination
Suitability, Disclosure & Fiduciary
Improper Business or Market Practices
Product Flaws
Selection, Sponsorship & Exposure
Advisory Activities
Disasters and other events
Systems
Transaction, Capture, Execution and Maintenance
Monitoring and Reporting
Customer Intake and Documentation
Customer/Client Account Management
Trade Counterparties
Vendors & Suppliers
Not Applicable

Definition

Internal Fraud

Losses due to acts of a type intended to defraud, misappropriate property
or circumvent regulations, the law or company policy, excluding
diversity/discrimination events, which involves at least one internal party.

External Fraud

Losses due to acts of a type intended to defraud, misappropriate property
or circumvent the law, by a third party.

Employment Practices and Workplace Safety

Losses arising from acts inconsistent with employment, health or safety
laws or agreements, from payment of personal injury claims, or from
diversity/discrimination events.

Clients, Products & Business Practices

Losses arising from an unintentional or negligent failure to meet a
professional obligation to specific clients (including fiduciary and
suitability requirements), or from the nature or design of a product.

Damage to Physical Assets

Losses arising from loss or damage to physical assets from a natural
disaster or other events.

Business disruption and system failures

Losses arising from disruption of business or system failures.

Execution, Delivery and Process
Management

Losses from failed transaction processing or process management, from
relations with trade counterparties and vendors.

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Appendix B
Level 1 and Level 2 Business Lines
Level 1 Business Lines
Code
BL1

BL2

BL3

Name
Corporate Finance

Trading & Sales

Retail Banking

Level 2 Business Lines
Code

Name

BL11

Corporate Finance

BL12

Municipal/Government
Finance

BL13

Merchant Banking

BL14

Advisory Services

BL21

Sales

BL22

Market Making

BL23

Proprietary Positions

BL24

Treasury

BL31

Retail Banking

BL32

Private Banking

BL33

Card Services

Activity Groups
Mergers and acquisitions, underwriting,
privatisations, securitization, research, debt
(government, high yield), equity,
syndications, IPO, secondary private
placements

Fixed income, equity, foreign exchanges,
commodities, credit, funding, own position
securities, lending and repos, brokerage,
debt, prime brokerage

Retail lending and deposits, banking
services, trust and estates
Private lending and deposits, banking
services, trust and estates, investment advice
Merchant/commercial/corporate cards,
private labels and retail
Project finance, real estate, export finance,
trade finance, factoring, leasing, lending,
guarantees, bills of exchange

BL4

Commercial Banking

BL41

Commercial Banking

BL5

Payment and Settlement

BL51

External Clients

Payments and collections, funds transfer,
clearing and settlement

BL6

Agency Services

BL61

Custody

Escrow, depository receipts, securities
lending (customers) corporate actions

BL62

Corporate Agency

Issuer and paying agents

BL63

Corporate Trust

BL71

Discretionary Fund
Management

Pooled, segregated, retail, institutional,
closed, open, private equity

BL72

Non-Discretionary Fund
Management

Pooled, segregated, retail, institutional,
closed, open

BL81

Retail Brokerage

Execution and full service

BL00

Not Applicable

BL7

BL8

BL9

Asset Management

Retail Brokerage

Corporate Level – NonBusiness Line Specific

Losses originating from a corporate/firm-wide function that cannot be linked to a specific
business line.

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Appendix C
Example of a Completed Legal Reserves Frequency Schedule
(for illustrative purposes only)

Quarter

Year

Basel
Event
Type
Level 1

Q4
Q4
Q4
Q1
Q3
Q2
Q2
Q3
Q3
Q4

2007
2007
2007
2008
2008
2009
2009
2009
2010
2010

ET4
ET4
ET1
ET4
ET4
ET4
ET3
ET7
ET4
ET7

Basel
Business
Line
Level 1

Number of
Outstanding
/Pending
Legal Events

BL2
BL7
BL2
BL3
BL2
BL1
BL4
BL2
BL1
BL7

4
6
5
1
1
2
1
1
3
1

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