The European Banking Authority (EBA) has released draft technical standards on how banks should calculate and report their crypto-asset exposures under the Capital Requirements Regulation (CRR). The proposal aligns EU rules with the Basel Committee’s international standards and the EU’s Markets in Crypto-Assets Regulation (MiCA).
Under the framework, crypto assets are divided into three groups: unbacked tokens such as Bitcoin, asset-referenced tokens linked to fiat currencies, or commodities and tokens representing other crypto assets. Each category comes with its own risk treatment, requiring banks to address credit risk, market risk, counterparty credit risk and credit valuation adjustment risk in their models.
Exposure calculation rules
The draft sets out how long and short positions should be aggregated to determine total exposure. Hedging, netting and position aggregation must all be factored in. The “prudent valuation” requirement for fair-valued crypto exposures, included in earlier consultations, has been removed, a change welcomed by industry participants.
Implications for banks
The new rules are intended as interim guidance under Article 501d of CRR 3. They are designed to give banks a clearer basis for engaging in crypto-related activities such as custody, issuance and brokerage, while meeting prudential standards that may evolve over time.
Banks already involved in crypto will need to update internal risk models, compliance frameworks and reporting processes to align with the standards. The aim is to ensure consistent treatment of digital asset exposures across the EU, in step with broader moves towards a harmonised regulatory environment.
The EBA’s draft is open for consultation before being finalised.
