On 5 August 2025, the European Banking Authority (EBA) published a final report on the 'draft regulatory technical standards on the calculation and aggregation of crypto exposure values under Article 501d(5) of the CRR III'. Amongst other things, these draft RTS aim to ensure that institutions have reliable valuation processes of their cryptoasset exposures to ensure that they correctly calculate the own funds' requirements for exposures to cryptoassets within the scope of Regulation (EU) 2023/1114 on markets in crypto-assets (MiCA), which are not financial instruments or commodities.
On 5 August 2025, the European Banking Authority (EBA) published a final report on the 'draft regulatory technical standards on the calculation and aggregation of crypto exposure values under Article 501d(5) of the CRR III'. Regulation (EU) 2024/1623 amends Regulation (EU) No 575/2013 (CRR III) and introduces transitional prudential treatment for banks' exposures in cryptoassets. The transitional measures align with international standards and Regulation (EU) 2023/1114 on markets in cryptoassets (MiCA). These measures specify the capital treatment for tokenised traditional assets (including Electronic Money Tokens, Asset Referenced Tokens and other cryptoassets) and set reporting and disclosure requirements.
Article 501d(5) of the CRR III tasks the EBA with developing RTS to outline the technical elements necessary for institutions to calculate their own funds requirements. This includes how to calculate the value of the exposures in crypto-assets and how to aggregate short and long positions. The draft RTS outline the capital treatment for credit risk, counterparty credit risk, market risk and credit valuation adjustment risk for asset-referenced tokens and other crypto-assets exposures. They also specify the relevant technical elements on netting, aggregating of long and short positions and criteria for recognising hedges for other cryptoassets. The RTS include formulas for calculating the exposure value of cryptoassets for the counterparty credit risk and market risk treatment.
These standards aim to ensure consistency with international frameworks while providing a proportionate and risk-sensitive approach to crypto-asset exposures until the full Basel implementation.
The draft RTS will be submitted to the European Commission for adoption. After this, they will be subject to scrutiny by the European Parliament and the Council before being published in the Official Journal of the European Union.
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