Page 28 - CCFA Journal - 11th Issue

金融监管 Regulation 加中金融

The second subcategory, group 1(b), encompasses cryptoassets that have effective stabilization mechanisms linking their value to a
traditional asset or a pool of traditional assets. An example of this is stablecoins, which are cryptocurrencies with their value pegged
to stable assets like precious metals or fiat currencies such as the US Dollar.

Group 2 cryptoassets are those that do not meet the requirements of group 1 assets. Cryptoassets in group 2(a) can demonstrate
liquidity through being referenced by a derivative or an ETF/ETN (Exchange-Traded Fund/Exchange-Traded Note), which are traded
on regulated exchanges, approved by the jurisdiction's market regulator, or cleared by a qualified central counterparty.

The remaining cryptoassets in group 2(b) do not meet the criteria of group 2(a) and include examples such as Bitcoin, Ether,
Litecoin, and Dogecoin.

加密资产定义和分类

在银行监管委员会（BCBS）发布的标准处理中，加密资产被定义为主要依赖于密码学、分布式账本或类似技术的数字资
产。它们被划分为两个明确的组别。

第一组别是 Group 1 加密资产，包括两个子类别。第一个子类别是 Group 1(a)，其中包括代表传统资产所有权或权益的代
币化传统资产，例如房地产或证券。第二个子类别是 Group 1(b)，它包括具有有效稳定机制的加密资产，将其价值与传统
资产或一篮子传统资产联系起来。其中一个例子是稳定币，它是将价值与贵金属或法定货币（如美元）等稳定资产挂钩的
加密货币。

Group 2 加密资产是那些不符合 Group 1 资产要求的资产。Group 2(a)的加密资产可以通过与衍生品或 ETF/ETN（交易所交
易基金/交易所交易票据）相关联来展示流动性，这些衍生品或 ETF/ETN 在受监管的交易所上交易，得到司法管辖区市场
监管机构的批准，或者由合格的中央对手方结算。Group 2(b)中的其余加密资产不符合 Group 2(a)的标准，其中包括比特币、
以太币、莱特币和狗狗币等例子。

Capital Treatment for Market and Credit Risk

For Group 1 cryptoassets, the calculation of market risk capital can be done using either the Standardized Approach (SA) or the
Internal Model Approach (IMA).

Under the SA approach, both the sensitivity-based method and default risk charge apply. The same risk factors and jump-to-default
are used as those for the traditional assets represented by the cryptoasset or its derivative. In the case of Group 1(b) assets, where
there is a default risk associated with the redeemer, credit risk capital is required using the standard method.

Similarly, under the IMA approach, each instrument in Group 1 is decomposed into the same risk factors as the traditional asset it
represents within the same risk classes. In the IMA default risk charge (DRC), tokenized assets and non-tokenized assets are
considered as separate instruments to the same obligor. The DRC requirement must account for different losses in these different
instruments, including estimates for loss given default (LGD).

市场和信用风险的资本处理
对于 Group 1 加密资产，可以使用标准化方法（SA）或内部模型方法（IMA）来计算市场风险资本。

在 SA 方法下，应用敏感性方法和违约风险费用。使用与加密资产或其衍生品所代表的传统资产相同的风险因素和违约跳
跃。对于 Group 1(b)资产，存在赎回人违约风险，需要使用标准方法计算信用风险资本。

类似地，在 IMA 方法下，将 Group 1 中的每个工具分解为同一风险类别中所代表的传统资产的相同风险因素。在 IMA 违
约风险费用（DRC）中，代币化资产和非代币化资产被视为同一债务人的不同工具。DRC 要求必须考虑这些不同工具的不
同损失，包括违约损失率（LGD）的估计。

CCFA JOURNAL OF FINANCE July 2023
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