OSFI finalizes narrow crypto capital change for market-neutral positions

  • OSFI finalized cross-exchange capital recognition for qualifying Group 2a crypto positions.
  • The framework retains a 5% aggregate gross exposure limit for Group 2 crypto assets.
  • The guideline takes effect Nov. 1, 2026, or Jan. 1, 2027, depending on fiscal year-end.

OSFI (Canada's banking regulator) has finalized a targeted change to its 2027 crypto capital guideline that lets banks recognize closely matched positions in the same crypto asset across qualifying regulated exchanges as a single exchange for delta-risk calculations. The treatment applies only to eligible Group 2a exposures with matching maturities and prescribed hedging, liquidity, regulatory and data-history conditions. It does not extend the same recognition to positions linked to unregulated exchanges, and banks cannot recognize diversification across different Group 2a crypto assets. The framework retains a 94% correlation parameter, 100% delta and vega risk weights, stricter Group 2b requirements and a 5% aggregate gross exposure limit for Group 2 crypto assets. The guideline takes effect Nov. 1, 2026, for institutions with an Oct. 31 fiscal year-end and Jan. 1, 2027, for institutions with a Dec. 31 fiscal year-end.

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