On 8 January 2025, the European Banking Authority (EBA) published a consultation paper on draft Regulatory Technical Standards (RTS) specifying the technical elements necessary for institutions to calculate and aggregate crypto-asset exposures in relation to the prudential treatment of such exposures.

Background

Regulation (EU) 2024/1623 amending Regulation (EU) No 575/2013 (CRR 3) provides for the transitional prudential treatment for banks’ exposures in crypto-assets taking into account ongoing international developments and the legal requirements introduced by the Markets in Crypto-Assets Regulation (MiCAR). The transitional treatment specifies the capital treatment of tokenised traditional assets (including Electronic Money Tokens), Asset Referenced Tokens (ARTs) and other crypto-assets). In particular,  for these other crypto-assets, a total exposure limit shall be part of the transitional treatment. The transitional treatment also provides reporting and disclosure requirements for exposures in crypto-assets and related activities. The transitional provisions, which are specified in Article 501d of the CRR 3, have become applicable in the EU since 9 July 2024 (i.e. date of entry into force of Regulation (EU) 2024/1623).

Draft RTS

The draft RTS have been developed in accordance with Article 501d(5) of the 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. In particular, they:

  • Further specify the relevant capital treatment under the credit risk, including counterparty credit risk (CCR), market risk (MR) and credit valuation adjustment risk framework for exposures under Article 501d(2), points (b) (ARTs that reference one or more traditional asset(s)) and (c) (‘other’ crypto-assets) and Article 501d(2) subparagraph 2 (crypto-assets exposures in tokenised traditional assets whose values depend on any other crypto-asset), while achieving, to the extent possible, consistency with the Basel Committee on Banking Supervision standard on prudential treatment of crypto-asset exposures.
  • Include 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.
  • Aim to ensure that institutions have reliable valuation processes of their crypto-asset exposures to ensure that they correctly calculate the own funds’ requirements for exposures to crypto-assets within the scope of MiCAR and which are not financial instruments or commodities and requires institutions to include them within the scope of prudent valuation rules.

Next steps

The deadline for comments on the consultation paper 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 by 28 February 2025 at 16:00 CET. The dial-in details will be communicated to those who have registered for the meeting.

Following the feedback received from the consultation, the EBA will revise, where appropriate, the draft RTS and send them in their final form to the European Commission for adoption.

Following the adoption by the Commission, draft the RTS will be subject to scrutiny by the European Parliament and the Council before being published in the Official Journal of the European Union.