The draft RTS aim to standardse the implementation of capital requirements for crypto-asset exposures across the European Union (EU), aligning with the prudential framework set out in the Capital Requirements Regulation (CRR 3). CRR 3 introduces a transitional prudential framework for institutions managing crypto-asset exposures.
This framework incorporates legal requirements from the Markets in Crypto Assets Regulation (MiCAR) and provides capital treatment guidelines for various categories of crypto assets. These include electronic money tokens (EMTs), asset-referenced tokens (ARTs) tied to traditional assets or other crypto-assets, and unbacked cryptocurrencies like Bitcoin.
The draft RTS refine the prudential treatment for credit risk, counterparty credit risk (CCR), market risk (MR), and credit valuation adjustment (CVA) risk associated with ARTs and other crypto assets. To ensure consistency, the RTS draw on the Basel standards for prudential treatment of crypto assets.
Main technical aspects outlined in the RTS include the treatment of netting, methods for aggregating long and short positions, criteria for hedge recognition, and formulas for calculating exposure values under CCR and MR. Additionally, the RTS mandate that all fair-valued crypto-assets under MiCAR must comply with CRR 3's prudent valuation requirements.
The transitional framework provided by CRR 3, in conjunction with the draft RTS, aims to ensure that institutions maintain sufficient capital reserves for their crypto-asset exposures until a permanent prudential regime is adopted.
Stakeholders are invited to submit comments on the consultation paper by 8 April 2025 via the EBA's consultation page. A virtual public hearing is scheduled for 4 March 2025, from 10:00 to 12:00 CET, with registration open until 28 February 2025 at 16:00 CET. The EBA will publish all feedback received, unless a contributor requests confidentiality.
The draft RTS align with Regulation (EU) 2024/1623, which amends Regulation (EU) No 575/2013 (CRR 3). Under Article 501d(5) of CRR 3, the EBA is tasked with specifying the technical elements necessary for calculating and aggregating crypto-asset exposures. This includes considering internationally agreed prudential standards and existing EU authorisations under MiCAR.
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