The correct answer is A.

Recall that

$$\text{ORC} = \text{BIC} \times \text{ILM}$$

Where

$$\text{BIC} = \sum (\alpha_i \times \text{BI}_i)$$

And,

$$\text{ILM} = \ln\left[\exp(1) - 1 + \left(\frac{\text{LC}}{\text{BIC}}\right)^{0.8}\right]$$

Also recall that for firms with BI levels less than €1bn, the ILM is set to 1, and therefore internal loss data does not affect the capital calculation.

Thus, the operational risk capital in his case is a function of the business Indicator Component only.

With a BI of €960 million, the bank falls under bucket 1 of the Basel guidelines and therefore the relevant BI coefficient is 0.12.

$$\text{BIC} = 0.12 \times 960 = €115.2 \text{ million}$$

So,

$$\text{ORC} = 115.2 \times 1 = 115.2$$