Capital Requirements for Crypto Asset Exposures – Summary of the EBA’s Related Draft Regulatory Technical Standards
On 5 August 2025, the European Banking Authority (EBA) published its draft Regulatory Technical Standards (RTS) on capital requirements for exposures to crypto‑assets, pursuant to Article 501d(5) of the Capital Requirements Regulation (CRR3). These draft standards operationalize the transitional prudential framework for crypto‑assets introduced in CRR3, which entered into force under Regulation (EU) 2024/1623 on 9 July 2024.
The aim of the draft RTS is to provide a uniform and harmonised methodology for credit institutions and investment firms operating in the EU to measure and aggregate credit risk, market risk, counterparty credit risk (CCR) and credit valuation adjustment (CVA) arising from crypto‑asset exposures. It offers technical guidance on how to calculate and aggregate crypto‑asset exposures, how to treat netting and hedging arrangements, and which prudent valuation requirements apply to crypto‑assets. The framework closely aligns with the Basel Committee on Banking Supervision’s standards for crypto‑assets, as well as the Markets in Crypto‑Assets Regulation (MiCA).
Scope of the Draft RTS
Under MiCA and CRR3, crypto‑assets that do not qualify as financial instruments or commodities fall into several categories. The current draft focuses on two CRR3 categories:
- Asset‑Referenced Tokens (ARTs), which reference one or more traditional assets;
- Other crypto‑assets, covering all crypto‑assets outside the ART category.
These are broadly equivalent to Groups 1b and 2 under the Basel crypto‑asset standard. Tokenised traditional assets and electronic money tokens (EMTs) fall outside the mandate, as they must be treated prudentially as their underlying traditional assets.
CRR3 assigns explicitly high risk weights to the above crypto categories:
- 250% risk weight for ARTs;
- 1,250% risk weight for all other crypto‑assets.
Additionally, Article 501d(3) of CRR3 sets an upper limit for total exposures to other crypto‑assets: such exposures may not exceed 1% of an institution’s Tier 1 capital. The RTS provides detailed rules on how to calculate these capital requirements and how to determine total exposures using specific aggregation rules for long and short positions.
Credit Risk Treatment
For direct credit exposures to crypto‑assets (e.g., loans, securities investments), the draft RTS applies the risk weights defined in CRR3. These extremely high values (250% for ARTs and 1,250% for other crypto‑assets) result in significant capital requirements relative to traditional assets, indirectly limiting institutions’ capacity to build large crypto portfolios.
For derivatives and securities financing transactions (SFTs) referencing crypto‑assets, CCR rules apply. The draft specifies that such exposures must use the counterparty’s credit risk weight—not the 250%/1,250% crypto‑asset weights. However, netting is tightly restricted: it is permitted only within legally enforceable netting sets referencing the same crypto‑asset.
Importantly, crypto‑assets do not qualify as eligible collateral under CRR and therefore cannot be used to reduce capital requirements for other exposures.
Market Risk Treatment
Crypto‑assets held in the trading book are subject to specific market risk rules. The draft RTS introduces a dedicated crypto‑asset risk class, consistent with the Basel standard. It clarifies requirements for applying both the alternative standardised approach and internal models for calculating capital requirements for crypto‑asset exposures.
Internal models will only be permitted once the CRR3 market risk reforms enter into force; until then, only the simplified standardised approach may be used. However, for calculating the output floor—which ensures that internal‑model‑based capital charges are not lower than 72.5% of those from the standardised approach—the alternative standardised approach may be used.
Aggregation, Netting and Hedging
A central element of the regulation concerns how positions are aggregated. Netting is allowed only between identical crypto‑assets. Different crypto‑assets cannot hedge each other, except in a narrow range of strictly defined circumstances.
Institutions must determine the position‑risk capital requirement separately for each crypto‑asset. Gross long and short positions must be identified by market and venue; netting is permitted only in limited cases. The resulting net position determines the capital requirement for that specific crypto‑asset, and all crypto‑asset capital requirements must then be summed without diversification benefits. This ensures prudent capitalisation and adequate risk coverage for the portfolio as a whole.
Total crypto‑asset exposure must be calculated as the sum of net positions and compared with the 1% Tier 1 limit.
Other Valuation Considerations
The EBA acknowledges that valuing crypto‑assets remains challenging. The prudential valuation requirement previously proposed was ultimately not included in the draft RTS. Institutions must therefore rely on market prices and applicable accounting standards when valuing crypto‑assets.
Implications for Banks and Investment Firms
The draft RTS imposes an extremely conservative capital treatment for crypto‑asset exposures. The high risk weights and the 1% Tier 1 cap substantially limit banks’ potential crypto‑asset exposure, with even relatively small positions tying up significant amounts of capital.
Institutions must undertake major system, model and process upgrades to ensure compliance—covering risk categorisation, position segregation and granular reporting.
At the same time, the RTS provides clarity and legal certainty, offering a harmonised methodology aligned with MiCA and international Basel principles. Over time, this may support the prudent and transparent integration of crypto‑assets into the European financial system. Once finalised, the RTS will enter into force as a delegated regulation and apply throughout the entire transitional period.
How We Can Help
KPMG stands ready to assist its clients in interpreting regulatory requirements and industry practices through tailored workshops and market benchmarking analyses. Our expert teams support financial‑sector participants in developing their risk‑management and capital‑calculation functions based on emerging needs.
Newsletter prepared by: György Székely, Edina Szirmai
