EBA publication of its Consultation Paper on draft RTS on the prudential treatment of crypto-asset exposures under the CRR 3, 8 January 2025

On the 8^th of January 2025, the European Banking Authority published a Consultation Paper on its draft Regulatory Technical Standards (RTS) to clarify the technical elements for institutions to calculate and aggregate crypto-asset exposures in relation to the prudential treatment of such exposures under Regulation 2024/1623/EU (CRR 3). The draft RTS develop the relevant capital treatment for credit risk, counterparty credit risk (CCR), market risk (MR) and credit valuation adjustment risk for ‘ARTs’ and ‘other’ crypto-asset exposures, and align the capital treatment with the elements outlined in the Basel standard on prudential treatment of such exposures. Additionally, the draft RTS provide the relevant technical elements on the use of netting, aggregating of long and short positions, criteria to allow hedge recognition for other crypto-assets, as well as the underlying formulas to calculate the exposure value of crypto-assets for the CCR and MR treatment.

Comments to the Consultation Paper can be submitted by the 8^th of April 2025. The EBA will hold a virtual public hearing on the 4^th of March 2025 from 10:00 to 12:00 CET. Interested stakeholders are invited to register at this link by the 28^th of February 2025 at 16:00 CET.