EBA Sets New Risk Framework for Crypto Assets in EU Banks

The European Banking Authority (EBA) has unveiled draft Regulatory Technical Standards (RTS) outlining how EU banks should manage and calculate risks associated with crypto-asset exposures under the Capital Requirements Regulation [1]. The new rules aim to create a consistent framework for handling digital assets as the EU moves toward a more integrated crypto regulatory environment. The EBA's guidelines align with the Basel Committee’s international standards on crypto risk and the Markets in Crypto-Assets Regulation (MiCA) framework [1].

The draft regulations categorise crypto assets into three main types: unbacked tokens like Bitcoin, asset-referenced tokens linked to fiat or commodities, and tokens referencing other crypto assets. Institutions must now apply specific risk models to account for credit risk, market risk, counterparty credit risk, and credit valuation adjustment risk. These models require banks to factor in hedging, netting, and position aggregation when calculating exposure levels [1].

A notable change from earlier consultations is the removal of the "prudent valuation" requirement for fair-valued crypto exposures, a move that has been positively received by industry participants [1]. Instead, the draft clarifies how long and short positions should be aggregated to ensure accurate exposure calculations. This interim framework, outlined under Article 501d of CRR 3, allows banks to engage in crypto-related activities—including custody, issuance, and brokerage—while adhering to transitional prudential standards [1].

Banks with existing crypto exposure will need to update their internal risk models, compliance systems, and reporting procedures in accordance with the new standards. This includes recalibrating capital models to account for crypto’s inherent volatility and implementing accurate valuation methods. The EBA also mandates that hedging strategies must comply with its detailed criteria to be considered valid [1].

The EBA’s release provides much-needed clarity for institutions seeking to expand their offerings in crypto services, including custody and trading. Failure to comply with the new rules may lead to higher capital requirements and increased regulatory scrutiny [1].

Separately, the European Central Bank reaffirmed its commitment to preserving physical cash alongside digital innovations. In a statement, ECB Executive Board Member Piero Cipollone confirmed that euro banknotes will remain in circulation and coexist with the future digital euro [1]. The ECB emphasized that while digital payments are rising, cash remains a vital part of the financial ecosystem and will be modernized accordingly.

Source:

[1] European Banking Authority Unveils New Capital Rules for Crypto – Here’s What Banks Must Do

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