OSFI Finalizes Capital Rule Change for Crypto Exposures
The Office of the Superintendent of Financial Institutions (OSFI) has finalized its 2027 guideline for banks to calculate delta risk for qualifying Group 2a crypto exposures. The change treats all regulated exchanges of traditional financial assets as one exchange, allowing positions in the same crypto asset on different qualifying regulated exchanges to receive full capital recognition when they also have the same time to maturity.
The new rule addresses a specific mismatch between trading practice and capital calculations, which could make the calculated risk and capital held against it larger than the underlying position warranted. The final treatment does not create unconditional offsetting and applies only to Group 2a exposures that satisfy the guideline's hedging-recognition tests, including product structure, regulatory approval or qualifying clearing, liquidity, and data-history conditions.
The rule retains a 94% correlation parameter for calculating delta or vega capital within a Group 2a bucket. Delta and vega risk weights remain 100%, and banks cannot recognize diversification across different Group 2a crypto assets. The framework also keeps Canada's aggregate gross exposure limit for Group 2 crypto assets at 5% of Net Tier 1 capital, with an exclusion for certain client-clearing derivatives.