The European Banking Authority has published a consultation paper on draft Regulatory Technical Standards setting out the technical elements institutions must use to calculate and aggregate crypto-asset exposures for prudential purposes under the transitional framework in the Capital Requirements Regulation (CRR 3). The draft RTS are intended to support harmonised application of EU capital requirements for banks’ crypto-asset exposures, taking into account the Markets in Crypto Assets Regulation (MiCAR). The package further specifies the capital treatment for exposures to asset-referenced tokens and other crypto-assets across credit risk, counterparty credit risk, market risk and credit valuation adjustment risk, and seeks to align the approach, where possible, with the Basel standard on the prudential treatment of crypto-asset exposures. It also covers netting and the aggregation of long and short positions, criteria for recognising hedges for other crypto-assets, and formulas for calculating exposure values for counterparty credit risk and market risk. In addition, it proposes applying CRR 3 prudent valuation requirements to all fair-valued crypto assets within MiCAR scope under the applicable accounting framework. Comments are due by 8 April 2025. A virtual public hearing is scheduled for 4 March 2025, with registration open until 28 February 2025, and submitted contributions will be published after the consultation unless confidentiality is requested.

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