Draft Regulatory Technical Standards (RTS) on Crypto-Assets exposures published

This work follows the Markets in Crypto-Assets Regulation (MiCAR) and the Capital Requirements Regulation (CRR III), which introduced a framework for the prudential treatment of crypto exposures, including how institutions must calculate their own funds requirements.

Regulatory reporting requirements under new crypto-asset standards

Credit institutions and investment firms subject to CRR rules that hold or deal in crypto-assets must:

• Calculate own funds requirements in line with the draft RTS
• Report exposures to supervisory bodies such as the EBA
• Disclose details of the types of crypto-assets held and related risks

Other regulated entities, such as Crypto-Asset Service Providers (CASPs) and insurance companies, must also disclose:

• The scale of their crypto exposures
• Risk mitigation strategies in place
• Results of stress tests
• AML compliance measures
• Liquidity requirements

Prudential treatment of crypto exposures

Specific guidelines are provided for calculating own funds requirements for various risks associated with crypto-assets.

1. Credit risk:

• A 1,250% risk weight is applied to the exposure value as calculated under the RTS
• Crypto-assets are not recognised as eligible collateral.

2. Counterparty credit risk:

• For securities financing transactions: a 30% volatility adjustment
• For derivatives: a new risk category for crypto-assets, with a supervisory factor of 32% and a supervisory volatility of 120% for Potential Future Exposure (PFE) add-on calculations.

3. Market risk:

• Crypto-assets not referencing traditional assets (for example, shares, bonds or pegged to EUR or USD), are classified as an ‘other’ crypto-asset.
• Exposures face a 100% charge under an enhanced standardised approach
• A dedicated risk class will be introduced under FRTB
• Internal models will not be permitted

Outlook

The EBA’s draft RTS will now be submitted to the European Commission for adoption. Go-live is expected in 2026. These rules will bring greater transparency and consistency to the treatment of crypto exposures across the EU, aligning them with other prudential requirements under the CRR and CRD.

How can Forvis Mazars help?

Our prudential risk experts understand that the draft RTS on crypto-asset exposures is a pivotal development for financial institutions.

We help clients in the financial services sector to:

• Understand their new regulatory obligations
• Design and implement reporting processes
• Develop strategies to ensure full compliance with CRR and CRD requirements

We work in partnership with our clients to navigate complex regulations and deliver practical solutions.