The EBA consults on draft technical standards on the prudential treatment of crypto assets exposures under the Capital Requirements Regulation

The European Banking Authority (EBA) today published a Consultation Paper on its draft Regulatory Technical Standards (RTS) to specify the technical elements necessary for institutions to calculate and aggregate crypto-asset exposures in relation to the prudential treatment of such exposures. These RTS will address implementation aspects and ensure harmonisation of the capital requirements on crypto-assets exposures by institutions across the EU.

Considering the rapidly evolving crypto-market, the Capital Requirements Regulation (CRR 3) introduced a transitional prudential framework for institutions holding crypto-assets exposures. The provisions consider the legal requirements introduced in the Markets in Crypto Assets Regulation (MiCAR) and specify, amongst others, the capital treatment of exposures to electronic money tokens (‘EMTs’), asset reference tokens (‘ARTs’) that reference one or more traditional asset(s) and ‘other’ crypto-assets - including for example ARTs referencing a crypto-asset – and – unbacked crypto-assets, such as Bitcoin.

These draft RTS further develop the relevant capital treatment for credit risk, counterparty credit risk (‘CCR’), market risk (‘MR’) and credit valuation adjustment risk for ‘ARTs’ 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.

These 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 CCR and MR treatment.

In addition, these draft RTS propose that all fair valued crypto assets within the scope of MiCAR 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 capitalise their crypto-asset exposures until a permanent prudential treatment comes into force.

Consultation process

Comments to the consultation paper can be sent by clicking on the "send your comments" button on the EBA's consultation page. The deadline for the submission of comments is 8 April 2025.

The EBA will hold a virtual public hearing on 4 March 2025 from 10:00 to 12:00 CET. The EBA invites interested stakeholders to register using this link by 28 February 2025 at 16:00 CET. The dial-in details will be communicated to those who have registered for the meeting.

All contributions received will be published following the end of the consultation, unless requested otherwise.

Legal basis

Regulation (EU) 2024/1623 amending Regulation (EU) No 575/2013 (CRR 3) introduces in Article 501(d) of the CRR3 a transitional prudential treatment for crypto-assets.

The EBA has developed these draft RTSs in accordance with Article 501d(5) of CRR 3 which mandates the EBA to specify the technical elements necessary for institutions to calculate their own funds requirements in accordance with the approaches set out in paragraph 2, points (b) and (c), including how to calculate the value of the exposures and how to aggregate short and long exposures for the purposes of paragraphs 2 and 3.

According to the mandate, the EBA shall take into consideration the relevant internationally agreed prudential standards as well as existing authorisations in the Union under Regulation (EU) 2023/1114 (MiCAR).

Background

The development of crypto-assets markets and activities has been marked by significant market innovation and advancements. Institutions have shown increasing interest in getting involved in crypto-assets activities. This interest is driven by the potential for new revenue streams and the need to stay competitive in a rapidly evolving financial landscape. Institutions are exploring various roles, including acting as custodians of crypto-assets, issuing crypto-assets, and providing related services such as trading and lending on behalf of their clients. However, this involvement also comes with challenges, including regulatory compliance, risk management, and the need for a robust technological infrastructure.