Page 27 - CCFA Journal - 11th Issue

加中金融 金融监管 Regulation

The Basel Capital Framework for Cryptoasset

巴塞尔加密资产资本框架

Jeff Huang, Director, Exposure and Capital Analytics, Scotiabank

Charley Chen, Former Director at Filswan (A web3 technology Company)

Disclaimer This article was prepared by authors in their personal capacity. The opinions expressed in this article are author’s own
and do not reflect the view of their (or former) employers. 本文由作者以个人身份撰写。本文中表达的观点仅代表作者个人观
点，并不反映其（或前任）的观点。本文由作者以个人身份撰写。本文表达的观点是作者自己的观点，并不反映其（或前）
雇主的观点。

Over the past few years, the cryptoasset market has experienced rapid development, with the total market cap of all
1
cryptocurrencies reaching close to $1.18 trillion as of May 30, 2023, according to CoinGecko . Although the relative size of the
cryptoasset market is still small compared to that of the traditional asset market, banks' exposure to cryptoassets has been
increasing over time. As a result, cryptoassets and related services may have the potential to raise financial stability concerns and
increase risks faced by banks, including liquidity risk, credit risk, market risk, and operational risk.

To address the potential risks associated with cryptoasset exposure in the banking industry, the Basel Committee on Banking
Supervision (BCBS) published its finalized prudential standard for the treatment of cryptoassets in December 2022 [1]. This standard
covers the classification of cryptoassets and the corresponding treatments for market risk, credit risk, counterparty credit risk (CCR),
operational capital, as well as leverage ratio and large exposure requirements. This paper provides a summary of the BCBS capital
requirements for banks' exposure to cryptoassets, specifically in relation to market and credit risk.

在过去几年中，加密资产市场经历了快速发展，根据 CoinGecko 的数据，截至 2023 年 5 月 30 日，所有加密货币的总市值
接近 1.18 万亿美元。尽管与传统资产市场相比，加密资产市场的规模相对较小，但随着银行对加密资产的曝险逐渐增加，
加密资产及相关服务可能存在引发金融稳定性担忧和增加银行面临的风险，包括流动性风险、信用风险、市场风险和运营
风险的潜力。

为了应对银行业中加密资产潜在风险曝险，2022 年 12 月，银行监管委员会（BCBS）发布了针对加密资产的审慎资本要求
的最终规定[1]。该规定涵盖了加密资产的分类以及市场风险、信用风险、CCR、运营资本以及杠杆比率和大额敞口要求的
相应处理。本文对 BCBS 关于银行加密资产曝险的市场风险和信用风险方面的资本要求进行了概述。

Cryptoasset Definition and Classification

In the BCBS published standard treatment, cryptoassets are defined as digital assets that primarily rely on cryptography and
distributed ledger or similar technology. They are classified into two distinct groups.

Group 1 cryptoassets consist of two subcategories. The first subcategory, group 1(a), includes tokenized traditional assets. These
are cryptoassets that represent ownership or rights to traditional assets, such as real estate or securities.

1 https://www.coingecko.com/en/global-
charts#:~:text=The%20global%20cryptocurrency%20market%20cap,a%20Bitcoin%20dominance%20of%2048.32%25.
CCFA JOURNAL OF FINANCE July 2023 Page 27 第27页