EBA consults on draft technical standards on the prudential treatment of crypto assets 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.