Response to consultation on Regulatory Technical Standards on the calculation and aggregation of crypto exposure values
Q1: Do you agree that fair-valued crypto-assets within the scope of MiCAR should be included within the scope of the prudent valuation rules? If not, please explain.
We have two questions that we would appreciate clarity on re scope of application and the IFR as part of this consultation. Both questions are copied here for ease. Thank you.
1.
In the light of the consultation paper from 08/01/2025 (“Draft Regulatory Technical Standards on the calculation and aggregation of crypto exposure values under Article 501d(5) of the CRR”) that will bring clarity for institutions that apply CRR rules, there is also a need to develop and clarify rules regarding crypto-assets under the Investment Firm Regulation (IFR) rules.
The EBA has previously acknowledged the need to review and potentially adjust capital requirements for investment firms, particularly concerning their interactions with crypto-asset service providers. In particular, in a discussion paper from June 2024, the EBA noted that capital requirements under the IFR and Investment Firms Directive (IFD), especially certain K-factors, may require reassessment in this context. However, no further development on this topic (amendment of IFR to clarify rules regarding crypto-assets) has come to our attention.
Thus, does the EBA also plan to align the IFR capital requirements calculation rules with the CRR rules (Article 501d(5)) or amend IFR to consider crypto-assets more thoroughly? If so, is there an estimated timeline for this alignment?
2.
The EBA consultation paper from 08/01/2025, page 15, paragraph 9, indicates that crypto assets referred to in Article 501d(2) points (b) and (c) should not be eligible for credit risk mitigation.
However, this EBA consultation paper does not list point (a) as non-eligible collateral, so we could infer that point (a) will be eligible. Point (a) in Article 501d(2) is referred to as "crypto-asset exposures to tokenised traditional assets".
Besides, in Article 5a of the CRR (Definitions specific to crypto-assets), in point (5), it is further defined that "‘tokenised traditional asset’ means a type of crypto-asset that represents a traditional asset, including an e-money token".
Consequently, as this EBA consultation paper is silent on Electronic Money Tokens (EMTs)and only lists Asset Reference Tokens (ARTs) and other assets as non-eligible collateral, we would conclude that EMTs are an eligible form of collateral.
Could the EBA confirm our understanding that Electronic Money Tokens (EMTs) that are MiCA compliant 1) can be an eligible form of collateral under CRR credit risk mitigation rules and 2) can be treated as cash equivalent, without any haircut, when used as collateral in the calculation of capital requirements?