European Banking Authority publishes final draft standards to harmonise capital requirements for crypto-asset exposures under the Capital Requirements Regulation

The European Banking Authority has published final draft Regulatory Technical Standards setting out how EU institutions must calculate and aggregate crypto-asset exposures for prudential capital purposes under the Capital Requirements Regulation, operationalising the transitional treatment introduced by CRR 3. The standards aim to ensure consistent application of capital requirements for crypto-asset exposures across the EU while a permanent prudential framework is developed. The draft standards further specify the capital treatment for credit risk, counterparty credit risk, market risk and credit valuation adjustment risk for asset-referenced tokens referencing one or more traditional assets, “other” crypto-asset exposures (including asset-referenced tokens referencing a crypto-asset), and unbacked crypto-assets such as Bitcoin. They also set out technical rules for netting, aggregation of long and short positions, criteria for recognising hedges for other crypto-assets, and formulas for calculating exposure values used in counterparty credit risk and market risk treatments, aligning as far as possible with the Basel standard and taking into account the Markets in Crypto Assets Regulation. Changes made after consultation include removing a prudent valuation requirement for fair value crypto-asset exposures and adding clarification on how long and short positions must be aggregated when determining the exposure limit.