Response to consultation on Regulatory Technical Standards on the calculation and aggregation of crypto exposure values
Q1: Do you agree that fair-valued crypto-assets within the scope of MiCAR should be included within the scope of the prudent valuation rules? If not, please explain.
We support the fair valuation of crypto-assets for the purpose of determining own funds requirements. However, the crypto-asset market is diverse and heterogeneous. We do not agree with the broadbrush assertion that crypto-asset market structure inherently gives rise to significant valuation uncertainty. For many crypto-assets, reliable pricing data is widely available, there is a high level of transparency in price formation on different venues, and observed price differences between venues are close to insignificant or are zero. It is therefore appropriate to apply the prudential valuation rules in a proportionate manner.
Q3: Do you agree that a one-size fits all RW of 250% should apply also to CCR transactions requiring specifications on netting set treatment (Alternative A) or do you prefer using the counterparty’s RW as is standard in CCR (Alternative B)? Please briefly justify your assessment.
Given the additional measures that are required of issuers of asset reference tokens (ARTs) when complying with MiCA, we consider it appropriate to review the 250% RW that is applied to these assets in CRR III. We believe Alternative B, whereby exposures are risk-weighted following the usual CCR approach, should be adopted.
Q5: Do you agree that the risk of default of the issuer is relevant in certain specific circumstances and therefore should be considered within the scope of this draft RTS during the transitional period or do you believe that the 250% RW for direct credit risk is sufficient to capture for this risk during the transitions period? Please briefly justify your assessment.
Given the significant additional requirements for ART issuers to maintain adequate reserves under MiCAR we consider that the 250% RW for direct credit risk exposures is sufficient.
Q6: How relevant is it to incorporate this differentiation for crypto-assets exposures referred to in Article 501d (2), point (c), of the CRR at this stage? Are institutions confident that they can assess their crypto-assets exposures against the criteria set out in these draft RTS? Is there sufficient market data available to make those assessments?
We support a differential approach being adopted for exposures to other crypto-assets to reflect the diversity and heterogeneity of the market, including that some crypto assets are very liquid and therefore partial exposure hedging and netting should be recognised.
Q7: For ARTs subject to the calculation of own fund requirements for market risk in this para-graph, do you agree that the risk of default of the issuer is relevant in certain specific circum-stances and therefore should be considered within the scope of these draft RTS during the tran-sitional period as per Article 3(4)(d) or do you believe that the 250% RW for direct credit risk is sufficient to capture for this risk during the transitions period? Please briefly justify your as-sessment.
The 250% RW for direct credit risk should be reviewed, given the obligations under MiCA for ART issuers to maintain reserves and to develop redemption plans, both of which serve to reduce the risk of the issuer’s default.