European Banking Authority publishes final draft technical standards on operational risk loss taxonomy, annual loss calculation waivers and merger-related data adjustments

The European Banking Authority published three final draft Regulatory Technical Standards (RTS) underpinning the EU Banking Package implementation for operational risk losses. The package sets a common taxonomy for recording operational risk loss events, clarifies when institutions may be exempted from calculating annual operational risk loss, and specifies how loss datasets must be adjusted when entities or activities are merged or acquired. The taxonomy RTS provides a list of operational risk event types, categories and attributes that institutions must use when recording operational risk loss events, aligned with the current framework and international standards. The RTS on “unduly burdensome” conditions allows a temporary waiver where it would be disproportionate for an institution to promptly calculate annual operational risk loss. The merger and acquisition RTS sets expectations on currency and taxonomy when incorporating loss data from merged or acquired entities or activities, and includes an approach to calculating annual operational risk loss when historical loss data are unavailable; the legal bases cited include Articles 317(9) and 316(3) of the Capital Requirements Regulation (Regulation (EU) No 575/2013) and Article 321(2) of CRR3, with the taxonomy also aligned to definitions in the Digital Operational Resilience Act and complemented by ESG-related attributes.