EBA publishes key regulatory products on operational risk losses under the EU Banking Package implementation

The European Banking Authority (EBA) today published three final draft Regulatory Technical Standards (RTS) that provide a taxonomy for operational risk losses and offer clarity on the exemptions for the calculation of the annual operational risk loss and on the adjustments to the loss data set that banks must perform when merging or acquiring entities or activities.

• The RTS on establishing a risk taxonomy on operational risk provide a list of operational risk event types, categories and attributes that institutions must use when recording operational risk loss events, in line with the current framework and the international standards.
• The RTS on the conditions under which it would be unduly burdensome for an institution to calculate the annual operational risk loss recognise cases when it would be disproportionate for an institution to promptly calculate the annual operational risk loss. In such cases, the RTS allow for a temporary waiver from the requirement to calculate the annual operational risk loss.
• The RTS on the adjustments to an institution’s loss data set following the inclusion of losses from merged or acquired entities or activities provide indications on the currency and the risk taxonomy to be used when incorporating the loss data set of merged entities or activities, and provides guidance on how to calculate the annual operational risk loss when data on historical losses are not available.