It must be preliminary observed that, according to the Regulation (EU) No 451/2021 (ITS on Reporting), gross loss “means a loss – as referred to in point (b) of Article 322(3) CRR – stemming from an operational risk event or loss event type before recoveries of any kind, without prejudice to ‘Rapidly recovered loss events” and “Rapidly recovered loss events’ means operational risk events that lead to losses that are partly or fully recovered within five working days.”

The same regulation sets out that “In case of a rapidly recovered loss event, only the part of the loss that is not fully recovered (i.e. the loss net of the partial rapid recovery) shall be included into the gross loss definition. As a consequence, loss events that lead to losses that are fully recovered within five working days shall not be included into the gross loss definition, and neither into the OPR DETAILS reporting. In the case described in the question, the recovery takes place after five working days, therefore, the event is not a “rapidly recovered loss event”.

Regarding the specific question, the ITS state that:

• the number and gross loss amounts (e.g., direct charges, provisions, settlements) pertinent to operational risk events should be reported when they are accounted for within the reporting reference period, and;
• the date of accounting means the date when a loss or reserve/provision was first recognized in the Profit and Loss statement, against an operational risk loss 

This means that the number and the gross loss amounts of discovered operational risk events should be reported in COREP in the reporting reference period when they were accounted, i.e., were recognised in the P&L statement of the institution within this reporting reference period.

In the above-described example, as the cash out has not been recovered within 5 days, it is not a considered as a ‘rapidly recovered loss event’. However, as the bank has not recognised yet the loss in the P&L statements, it should not be reported as a gross operational risk loss in COREP C17.01 in the current reporting reference period.

Irrespective of this conclusion based on the current wording of the ITS, it should be observed that the event in the above-described example fully meets the definition of operational risk according to Article 4 (1) (52) of CRR 575/2013 and as such it should be considered for the institution's effective operational risk management.

Moreover, where the reporting Institution is using an AMA for the purpose of calculating its own funds requirements for operational risk, it should be carefully assessed whether such events, i.e., operational risk events discovered but not recognised yet in the P&L statement, are to be instead included within the scope of operational risk for AMA calculation, since triggering the definition of “pending losses”, according to Article 22 (1) (d) of CDR 959/2018.

According to the template instructions of Annex II to Regulation (EU) No 680/2014 (ITS on Reporting), gross loss amounts do not take into account obtained recoveries. The amount of the loss can only be decreased by the “rapidly recovered loss events” (losses that are partly or fully recovered within five working days). In the case described in the question, the recovery takes place after five working days, therefore, the event is not a “rapidly recovered loss event”, but a loss event that should be reported in the gross loss amount line. In addition, the amount recovered should be considered a “recovery” that is, “an independent occurrence related to the original operational risk loss that is separate in time, in which funds or inflows of economic benefits are received from first or third parties, such as insurers or other parties”. In particular, it should be considered a “direct loss recovery”, since the amount is not subject to article 323 CRR (insurance or other risk transfer).