Technical advice on standard formula capital requirements for crypto assets

The European Commission’s call for advice requests EIOPA to assess the appropriateness of the prudential treatment of investments in such assets under current rules and to provide, where appropriate, advice on possible revised calibrations considering also the differences in risk features of different categories of crypto-assets.

Policy Options and Recommendations

This document presents four policy options for addressing the treatment of investments in crypto-assets:

• Option 1: No change to the current treatment of investments in crypto-assets
• Option 2: Stressing the crypto-assets at 80% without diversification 
• Option 3: Stressing the crypto-assets at 100% without diversification
• Option 4: Tokenised assets are subject to look through and stressed according to the underlying assets’ risk

Following an analysis of the policy options, EIOPA advises Option 3, which addresses the high volatility of crypto-assets in a prudent manner. EIOPA also advises that the future development of EMTs and ARTs, along with expected amendment to the CRR, be reviewed to assess whether a specific treatment in Solvency II would be appropriate.