On Jan. 8, EBA issued consultation on calculating crypto values.
EBA issued consultation on draft regulatory technical standards (RTS) on the prudential treatment of crypto assets exposures under Capital Requirements Regulation (CRR 3).
RTS will specify the technical elements necessary for institutions to calculate and aggregate crypto asset exposures relating to prudential treatment of such exposures.
Aim to address implementation aspects, ensure harmonization across the EU.
Background
Considering the rapidly evolving crypto market, CRR 3 introduced a transitional prudential framework for institutions holding crypto-asset exposures.
The provisions consider legal requirements introduced in the Markets in Crypto Assets Regulation, specify capital treatment of exposures to electronic money tokens (EMTs), asset reference tokens (ARTs) that reference one or more traditional assets.
And other crypto assets e.g. ARTS referencing a crypto asset, unbacked crypto assets.
Consultation
The draft RTS further develop relevant capital treatment for credit risk, counterparty credit risk (CCR), market risk (MR), credit valuation adjustment risk for ARTs, others.
The RTS align the capital treatment, to the extent possible, with the elements specified in Basel standard on prudential treatment of crypto-asset exposures, see #156853.
Draft RTS also include all relevant technical elements on use of netting, aggregating of long and short positions, criteria to allow hedge recognition for other crypto assets.
Underlying formulas to calculate crypto assets exposure value for CCR, MR treatment.
Propose that all fair valued crypto assets within scope of MiCA under the applicable accounting framework shall be subject to requirements for prudent valuation in CRR 3.
Transitional provisions in the CCR 3 together with the rules in the draft RTS enable institutions to adequately capitalize their crypto asset exposures until a permanent prudential treatment comes into force.
Effectiveness
The closing date for submission of feedback on the consultation is Apr. 8, 2025.
EBA will hold a public hearing on Mar. 4, 2025, must register by Feb. 28, 2025.
