European Banking Authority consults on draft technical standards on the prudential treatment of crypto-assets exposures

The European Banking Authority has published a consultation paper on its draft Regulatory Technical Standards on the calculation and aggregation of crypto-exposure values under the Capital Requirements Regulation 3. The RTS specify the technical elements necessary for institutions to calculate and aggregate crypto-asset exposures in relation to the prudential treatment of such exposures. The RTS aim to address implementation aspects and ensure harmonization of the capital requirements on crypto-assets exposures by institutions across the EU.

The draft RTS also further develop the relevant capital treatment for credit risk, counterparty credit risk, market risk and credit valuation adjustment risk for 'asset reference tokens' and 'other' crypto-assets exposures and align, to the extent possible, the capital treatment with the elements specified in the Basel standard on prudential treatment of crypto-asset exposures.

The draft RTS also include all the relevant technical elements on the use of netting, aggregating of long and short positions, criteria to allow hedge recognition for other crypto-assets, and the underlying formulas relevant for calculating the exposure value of crypto-assets for the counterparty credit risk and market risk treatment. In addition, the draft RTS propose that all fair valued crypto-assets within the scope of the Markets in Crypto Assets Regulation under the applicable accounting framework shall be subject to the requirements for prudent valuation under the CRR 3. Transitional provisions in the CRR 3, together with the rules set out in these draft RTS, enable institutions to adequately capitalize their crypto-asset exposures until a permanent prudential treatment comes into force.

The EBA will hold a virtual public hearing on March 4, 2025. Responses to the consultation may be submitted until April 8, 2025.

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