EBA Publishes Final Draft RTS: A New Step Towards Harmonising Crypto Asset Exposures

On 5 August 2025, the European Banking Authority (EBA) published its final report on the draft regulatory technical standards (Draft RTS) for the calculation and aggregation of crypto asset exposures under Art. 501d(5) of Regulation (EU) 575/2013 on prudential requirements for credit institutions (Capital Requirements Regulation, CRR) (EBA/RTS/2025/04).

Developed in response to rapid market developments, increased bank interest in crypto-asset activities, and the evolving regulatory landscape shaped by the Regulation (EU) 2023/1114 on markets in crypto-assets (Markets in Crypto-Assets Regulation, MiCAR) and the international standards developed by the Basel Committee on Banking Supervision (the Basel Standard), the new regulatory technical standards are set to bring further harmonisation and legal certainty to prudential requirements applicable to institutions.

Transitional Prudential Regime: Scope and Objectives

Regulation (EU) 2024/1623 (CRR 3), amending the CRR and entered into force on 9 July 2024, introduced a transitional prudential regime for institutions’ exposures to crypto-assets. This interim framework aims to ensure that institutions remain adequately capitalised and are subject to robust risk management practices during the period before the European Union adopts a dedicated level 1 act. The proposal for this act was intended to be published by 30 June 2025. However, no such draft has been published to date.

The transitional regime itself remained incomplete up to this day. It establishes three buckets for risk weights as follows: 

1. First bucket: Crypto-asset exposures to tokenised traditional assets (such as financial instruments) are treated as exposures to the traditional assets that they represent (Art. 501d(2)(a) CRR). This includes e-money tokens, as they are tokenised funds.
2. Second bucket: Crypto-asset exposures to asset-referenced tokens (ARTs) whose issuers comply with MiCAR and that reference one or more traditional assets shall be assigned a risk weight of 250 % (Art. 1(1) Draft RTS). 
3. Third bucket: Other crypto-asset exposures (such as intrinsic tokens like Bitcoin) are assigned a risk weight of 1 250 % (Art. 2(2) Draft RTS). Furthermore, exposures towards these kinds of crypto-assets may not amount to more than 1% of an institution’s Tier 1 capital (Art. 510d(3) CRR).

The Draft RTS specify the technical elements for institutions to calculate their own funds requirements for credit risk, counterparty credit risk (CCR), market risk, and credit valuation adjustment (CVA) risk for crypto-asset exposures falling within the second and third bucket. 

Second bucket: Calculation of own funds requirements for exposures to ARTs 

Art. 1 Draft RTS specifies the own funds requirements for exposures to crypto-assets falling in the second bucket. Those crypto-assets largely align with Group 1b crypto-assets under the Basel Standards (i.e. crypto-assets with stabilisation mechanism that satisfy all of the requirements set out in BCBS SCO 60.11).

Credit risk: Institutions calculate their own funds requirements for credit risk in accordance with the approach they generally apply, i.e. either the standardised approach (SA) or the internal ratings-based approach (IRB Approach) and using a 250% risk weight (Art. 1(1) Draft RTS). Pursuant to Art. 1(2) Draft RTS, institutions shall not recognise ARTs as eligible form of financial collateral within the meaning of Art. 197 CRR. Only crypto-assets falling in the first bucket, that are tokenised versions of the instruments included in the list of eligible financial collateral set out in Art. 197 and 198 CRR may qualify for recognition as eligible collateral.

Counterparty credit risk: Institutions shall calculate their own funds requirements for counterparty credit risk as follows:

• for securities financing transactions (SFT) with ART underlying, institutions shall apply the financial collateral comprehensive method with supervisory volatility adjustments approach (SVAA) set out in Art. 223 to 228 CRR, but without recognising any borrowed, purchased or received ARTs as eligible financial collateral when calculating the net exposure to the counterparty. Institutions that lend, sell or otherwise transfer ARTs, shall apply a supervisory volatility adjustment of 30%. The SVAA for master agreements and the internal model approach (IMA) for master netting agreements laid down in Art. 220 and 221 CRR or the internal model method (IMM) laid down in Art. 283 to 294 CRR are only applicable to crypto-assets falling in the first bucket.
• for derivatives on crypto-assets, institutions shall calculate their own funds requirements for counterparty credit risk by applying one of the methods or approaches for traditional asset derivatives set out in Part Three, Title II, Chapter 6 of the CRR (Art. 272 to 311 CRR), i.e. the standardises approach for counterparty credit risk (SA-CCR), the simplified SA-CCR, the original exposure method (OEM) or the above-mentioned IMM; and
• for SFT and derivatives on crypto-assets, institutions must apply the counterparty's risk weight as determined in accordance with Part Three, Title II of the CRR, i.e. institutions that have been granted permission to use the IRB Approach may use the risk-weight formula laid down in Art. 153 and 154 CRR and estimated probabilities of default (PD) and, if so permitted, loss given default (LGD).

Market risk: The Draft RTS takes into account the Commission Delegated Regulation (EU) 2024/2795 (DelReg 2024/2795) which postpones the date of application of the new own funds requirements under the fundamental review of the trading book (FRTB) by one year to 1 January 2026. 

To ensure consistency between the Draft RTS and the DelReg 2024/2795, institutions shall apply to their exposures to ARTs in the trading book the unfloored market risk own funds requirements under the old standardised approach for market risk laid down in Art. 325(1)(a) and (2) and Part Three, Title IV, Chapters 2, 3 and 4 of the CRR in their version in force on 8 July 2024, i.e. prior to the entering into force of the CRR 3 (Art. 4(a) Draft RTS). The application of the old internal model approach set out in Art. 325(1)(b) and Part Three, Title IV, Chapter 5 of the CRR is not permitted (Art. 4(d) Draft RTS). Once the new own funds requirements under the FRTB apply, institutions will be able to use either the new alternative standardised approach set out in Part Three, Title IV, Chapter 1a CRR or the new alternative internal model approach set out in Part Three, Title IV, Chapter 1b CRR. The Draft RTS provides for modifications to each of these approaches to take account of the specific risk profiles of exposures to ARTs. 

Whether own funds requirements for market risk needs to be calculated depends on whether the crypto-assets are assigned to the institution’s trading book or banking book. The Draft RTS provide that the distinction between trading book and banking book positions is based on the boundary criteria for equivalent traditional assets (recital 2 of Draft RTS).  

CVA risk: Finally, own funds requirements for CVA risk for SFTs and derivatives on crypto-assets follow the established rules for traditional assets set out in Part Three, Title VI of the CRR (Art. 382 to 386 CRR).

Third Bucket: Calculation of own funds requirements for exposures to “other” crypto-assets

Art. 2 Draft RTS addresses crypto-assets not covered by the first and second bucket. It further distinguishes between crypto-assets that meet certain criteria in terms of liquidity and tradability (similar to Group 2a crypto-assets under the Basel Standards which meet the hedging recognition criteria set out in BCBS SCO 60.55) and those that do not (similar to Group 2b crypto-assets). 

Regardless of whether the crypto-assets meet the liquidity and tradability criteria, crypto-assets within the third bucket are not recognized as eligible collateral for credit risk mitigation purposes (Art. 2(7) Draft RTS).

In order to benefit from a more nuanced own funds requirements calculation treatment, in particular by recognising netting and hedging to some extent, the “other” crypto-asset exposure must fulfil the following criteria:

• the exposure must be any of the following 
  • a direct holding in the crypto-asset, where there exists a derivative, or exchange-traded fund (ETF) or exchange-traded note (ETN) that solely references the crypto-asset and that is traded on a regulated exchange, and, in the case of a derivative, is cleared through a qualifying central counterparty (QCCP); a QCCP means a European central counterparty that has been authorised in accordance with Art.14 of Regulation (EU) No 648/2012 (European Market Infrastructure Regulation, EMIR) or a third-country central counterparty that has been recognised in accordance with Art. 25 EMIR; 
  • a derivative or an ETF or an ETN that references a crypto-asset, insofar the derivative or ETF or ETN has been explicitly approved by the competent authorities for trading or the derivative is cleared through a QCCP, 
  • a derivative or an ETF or an ETN referencing such aforementioned derivative, or 
  • a derivative or an ETF or an ETN that references a crypto-asset related reference rate published by a regulated exchange that clears trades using this reference rate through a QCCP (Art. 2(1)(a) Draft RTS);
• the underlying crypto-asset having a high average market capitalization (≥ EUR 10bn) and daily trading volume (≥ EUR 50m) over the previous year (Art. 2(1)(b) Draft RTS); and
• there is sufficient verifiable price and trading data availability (Art. 2(1)(c) Draft RTS).

For “other” crypto-asset exposures complying with these liquidity/tradability criteria, the following treatment applies:

Credit risk: Institutions shall calculate their own funds requirements for credit risk by applying the standardised approach set out in Part Three, Title II, Chapter 2 of the CRR and using a 1,250% risk weight (Art. 2(2) Draft RTS). 

Counterparty credit risk: Institutions shall calculate their own funds requirements for counterparty credit risk as follows:

• for SFTs with “other” crypto-asset underlying, institutions shall apply the same approach applicable to SFTs with ART underlying (Art. 2(3)(a) Draft RTS).
• for derivatives on crypto-assets, institutions shall calculate their own funds requirements for counterparty credit risk by applying the SA-CCR. The use of the simplified SA-CCR, the OEM and the IMM is not permitted (Art. 2(3)(b) Draft RTS). Wen applying the SA-CCR, institutions shall create a new risk category “crypto asset” and (i) calculate the potential future exposure (PFE) add-on fur such new risk category by using the same methodology as for the foreign exchange risk category applying a supervisory factor of 32% and a supervisory volatility for the delta adjustment of options of 120%, (ii) separate hedging sets for each crypto-asset priced in a currency or in another crypto-asset that meets the liquidity and tradability criteria set out in Art. 2(1) Draft RTS and (iii) set the calculation of the adjusted notional as the crypto-asset's notional expressed in the reporting currency of each institution. Where a crypto-asset is priced in another crypto-asset, the institution shall apply the larger of the two adjusted notionals. If pairs to the reporting currency are not liquidly traded, the most liquid currency shall be taken with FX spot rates against the reporting currency (Art. 2(3)(b) Draft RTS).
• where a netting set contains derivatives on traditional assets or crypto-assets referred to in Art. 501d(2)(a) or (b) CRR, i.e. , crypto-assets falling in the first and second bucket, and derivatives on “other” crypto-assets referred to Art. 501d(2)(c) CRR, i.e., crypto-assets falling in the third bucket, institutions may assign the derivatives on “other” crypto-assets to their own separate netting set and apply the 1,250% risk weight referred to in Art. 2(2) Draft RTS only to this separate netting set 

Market risk. As is also the case for exposures to ARTs, until the new own funds requirements for market risk under the FRTB apply, institutions may only use the old standardised approach for market risk laid down in Art. 325(1)(a) and (2) and Part Three, Title IV, Chapters 2, 3 and 4 of the CRR in their version in force on 8 July 2024. Once the new own funds requirements apply, institutions must apply the new alternative standardised approach set out in Part Three, Title IV, Chapter 1a CRR. The use of the new alternative internal model approach set out in Part Three, Title IV, Chapter 1b CRR is not permitted (Art. 2(4)(c) Draft RTS). As for exposures to ARTs the Draft RTS provides for modifications to both approaches to take account of the specific risk profiles of exposures to “other” crypto-assets.

CVA risk: As is also the case for exposures to ARTs, own funds requirements for CVA risk for SFTs and derivatives on “other” crypto-assets follow the established rules for traditional assets set out in Part Three, Title VI of the CRR (Art. 382 to 386 CRR).

For “other” crypto-asset exposures that do not comply with the liquidity and tradability criteria set out in Art. 2(1) Draft RTS:

• Institutions shall include in their calculation of own funds requirements for non-eligible “other” crypto-assets all their trading book and banking book crypto-assets exposures.
• They shall determine a risk-weighted exposure amount for each separate non-eligible “other” crypto asset by applying a risk weight of 1250% to the higher of (i) the absolute sum of the long exposures or (ii) the absolute sum of short exposures.
• For derivatives on non-eligible “other” crypto asset, netting for the purposes of calculating the replacement cost in accordance with Art. 274(2) CRR is only permitted within eligible netting sets of the same crypto-asset underlying, and PFE is calculated as 50% of the gross notional amount for each transaction. Leverage is adjusted upwards, capped at the maximum possible loss.

Total exposure limit for “other” crypto-assets 

Art. 3 Draft RTS specifies how to calculate the total exposure to “other” crypto-assets of the third bucket for the purpose of the 1% of Tier 1 capital limit set out in Art. 501d(3) CRR.

Institutions must aggregate both long and short positions in each “other” crypto-asset separately. The 1% of Tier 1 capital limit is then applied to the higher of (i) the absolute sum of the long positions in such “other” crypto-asset or (ii) the absolute sum of short positions in such “other” crypto-asset. A netting between long and short positions of the same crypto-asset is not permitted. 

Where an institution is acting purely as a financial intermediary between a client and a QCCP, cleared intermediary positions are excluded from the total exposure calculation. This ensures that purely intermediated, back-to-back cleared positions do not count towards the limit.

Next Steps and Timeline 

The Draft RTS have now been submitted to the European Commission for adoption, after which they will undergo scrutiny by the European Parliament and Council before publication in the Official Journal.