This document presents the draft regulatory technical standards concerning the calculation and aggregation of crypto exposure values. It specifies the transitional prudential treatment requirements for banks regarding exposures to crypto-assets, taking into account international standards and the legal framework established by the regulation on crypto-asset markets. The standards aim to clarify the capital…
The document is a final report of 43 pages published in 2025 by the European Banking Authority (EBA). It presents draft regulatory technical standards (RTS) on the calculation and aggregation of exposure values to crypto-assets, pursuant to Article 501d(5) of the Capital Requirements Regulation (CRR 3). The scope covers transitional prudential requirements for credit institutions' exposures to crypto-assets, notably asset-referenced tokens (ARTs), electronic money tokens (EMTs), and other crypto-assets. The framework takes into account the international standards of the Basel Committee (BCBS SCO60) and the European MiCA regulation. The document applies to the European Union since July 9, 2024, with a deadline for RTS submission to the Commission set at July 10, 2025 (p. 1-11).
- Subject: The report presents draft regulatory technical standards for the calculation of capital requirements related to exposures to crypto-assets within the transitional framework of CRR 3.
- Importance: The rise of crypto-assets in banking activities requires a harmonized prudential framework to manage risks and ensure financial stability.
- Main findings:
- CRR 3 introduces a transitional treatment of exposures to crypto-assets, including exposure limits (1% of Tier 1 capital for certain crypto-assets).
- The RTS specify calculation methods for exposures, limited recognition of hedges, and risk weighting (250% for certain ARTs, 1250% for other crypto-assets).
- Valuation of crypto-assets is complex due to the absence of specific international accounting standards and high volatility.
- Prudent valuation is not imposed in these transitional RTS but recommended for the future full framework.
- Conclusions: The RTS aim to ensure a proportionate and harmonized prudential treatment, aligned as much as possible with international standards, while considering the MiCA framework.
- Recommendations: Submission of the RTS to the Commission for adoption, followed by the Parliament and the Council, with direct application in the EU. Prudent valuation of crypto-assets should be integrated into the upcoming full framework (p. 3-4).
- Context: The growing interest of credit institutions in crypto-assets raises risk management and regulatory compliance issues. The MiCA framework came into force in 2023 to regulate these assets.
- Problem: Until now, there has been no harmonized prudential framework for exposures to crypto-assets, posing potential risks to financial stability.
- Objectives: Develop RTS to specify technical elements necessary for calculating capital requirements during the transitional period, considering BCBS international standards and the MiCA regulation.
- Scope: Exposures to ARTs, other crypto-assets, and crypto-assets linked to tokenized traditional assets, excluding EMTs which are treated separately.
- Limits: Transitional RTS, without immediate integration of prudent valuation requirements, which will be addressed in a future full framework (p. 5-11).
1. Classification and prudential treatment of crypto-assets:
- Crypto-assets are classified according to MiCA and CRR 3 into ARTs (point b), other crypto-assets (point c), and crypto-assets linked to tokenized assets (second paragraph).
- ARTs are subject to a uniform risk weight of 250%, corresponding to BCBS group 1b.
- Other crypto-assets are subject to a risk weight of 1250%, aligned with BCBS group 2b.
- Limited criteria for recognition of hedges and netting are defined, with specific rules for derivatives and securities financing transactions (SFTs).
2. Calculation of exposures and aggregation:
- The RTS specify calculation methods for credit risk exposures, market risk, and credit valuation adjustment (CVA).
- Long and short positions are aggregated for the calculation of the total exposure limit (1% of Tier 1 capital).
- Derivative exposures on crypto-assets must be treated according to specific rules, with a supervisory factor of 32% for potential future risk.
3. Valuation and accounting challenges:
- Absence of specific international accounting standards for crypto-assets; IFRS considers cryptocurrencies as intangible assets or inventories, non-financial.
- High price volatility, even for stablecoins (e.g., USDC 8.7% annualized).
- Difficulties accessing reliable data and market fragmentation.
- Prudent valuation is not imposed in these transitional RTS but recommended for the future full framework.
4. Alignment with international standards and European framework:
- The RTS strive to ensure consistency with BCBS SCO60 standard and MiCA regulation.
- MiCA classification is respected, even if it sometimes differs from BCBS.
- Implementation of the full framework is planned after the transitional period, with progressive adoption of FRTB rules for market risk.
5. Consultation and stakeholder feedback:
- General support for the RTS to clarify transitional treatment.
- Requests to extend the transitional period until 2027 for greater international clarity.
- Emphasis on technological neutrality and proportionality.
- Preference for applying the counterparty risk-weighted approach (Alternative B) rather than a uniform rate for counterparty credit risk.
- Call for a balanced approach between prudence and innovation, and better definition of aggregation and netting rules.
- Rejection of immediate inclusion of prudent valuation in these transitional RTS (p. 12-34).
- Established facts:
- CRR 3 introduces a transitional framework applicable since July 2024 for exposures to crypto-assets.
- The RTS define precise rules for calculating capital requirements, with differentiated risk weights (250% and 1250%).
- Valuation of crypto-assets is complex and subject to high volatility.
- Prudent valuation is not integrated in these transitional RTS but recommended for the future.
- Assumptions:
- Available market data are sufficient to apply liquidity and modeling criteria for certain crypto-assets.
- Partial alignment with BCBS standards is possible despite classification differences.
- Interpretations:
- The combined MiCA-BCBS approach allows a proportionate and harmonized prudential treatment.
- The absence of recognition of crypto-assets as collateral reflects their specific risk.
- Uncertainties:
- Evolution of crypto markets and international regulatory frameworks.
- Potential impact of full implementation of BCBS and MiCA standards.
- Institutions’ capacity to manage valuation and associated risks during the transitional period (p. 5-11, 25-34).
- The proposed RTS specify the technical elements necessary for calculating capital requirements on exposures to crypto-assets during the CRR 3 transitional period.
- They ensure a proportionate, harmonized prudential treatment aligned as much as possible with BCBS international standards and the MiCA framework.
- Prudent valuation of crypto-assets, although recommended, will be integrated into the future full framework.
- The European Commission must adopt these RTS, which will then be submitted to the European Parliament and Council before official publication.
- Institutions must apply these rules upon their entry into force to ensure adequate capitalization and consistent risk management.
- Particular attention must be paid to technological neutrality, proportionality, and international consistency to preserve competitiveness and financial stability.
- Monitoring and revision will be necessary during the implementation of the full framework, notably to integrate prudent valuation requirements and FRTB rules (p. 3-4, 25-35).
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