Page 32 - CCFA Journal - 11th Issue

金融监管 Regulation 加中金融

It is important to note that banks have a responsibility to demonstrate the materiality of these risks during the supervisory review
of their cryptoasset exposures. Supervisory authorities will assess whether the risks associated with short positions and other types
of exposures are adequately captured and whether the capital requirements appropriately reflect the potential risks. This review
ensures that banks do not materially underestimate the risks associated with Group 2b cryptoassets and maintain appropriate
levels of capital to mitigate these risks effectively.

将 1250%的风险权重应用于 Group 2b 加密资产敞口确保银行需要持有至少等于其对这些加密资产的敞口价值的最低风险
资本。这个风险权重作为一种保障，确保银行拥有足够的资本来覆盖与 Group 2b 加密资产相关的潜在风险。

为了简化和谨慎考虑，该公式将 1250%的风险权重应用于多头和空头头寸。这种做法承认了某些类型的敞口，包括空头头
寸，可能导致无限损失。通过对多头和空头头寸应用风险权重，银行需要持有足够的资本来应对这些潜在损失。

需要注意的是，在监管审查银行的加密资产敞口时，银行有责任证明这些风险的重要性。监管当局将评估空头头寸和其他
类型敞口所涉风险是否得到充分捕捉，并且资本要求是否适当反映了潜在风险。这种审查确保银行不会实质低估与 Group
2b 加密资产相关的风险，并且保持适当水平的资本以有效地降低这些风险。

Summary:

In the finalized framework issued by the Basel Committee on Banking Supervision (BCBS), cryptoassets are classified into two
groups. Group 1 represents tokenized traditional assets and stablecoins, while Group 2 includes all other cryptoassets, including
cryptocurrencies.

For Group 1 cryptoassets, the capital treatment is generally aligned with the current capital treatment for the traditional assets that
the cryptoasset represents or is linked to. This means that the capital requirements for Group 1 cryptoassets follow the same rules
and methodologies as the traditional assets they represent.

Group 2(a) cryptoassets are those referenced by a derivative or Exchange Traded Fund/Exchange Traded Note (ETF/ETN) that is
traded on a regulated exchange, approved by the jurisdiction's market regulator, or cleared by a qualified central counterparty. For
these assets, the capital treatment follows the general Standardized Approach (SA) approach for market risk. They are assigned to a
separate risk class with no diversification benefits within or across risk buckets.

For all other cryptoassets in Group 2(b), which includes cryptocurrencies, the capital charge is set at 1250% of the value of the
cryptoasset. This means that banks are required to hold capital equal to 1250% of the value of the Group 2(b) cryptoassets they
hold. In other words, for every dollar worth of Group 2(b) cryptoassets held, banks must hold a dollar in capital to account for the
market and credit risk associated with these cryptoassets.

This framework ensures that banks have appropriate capital requirements in place to address the specific risks associated with
different types of cryptoassets, considering factors such as their underlying nature, market liquidity, and regulatory oversight.

总结

在巴塞尔银行监管委员会（BCBS）发布的最终框架中，加密资产被分为两个组别。Group 1 代表了代币化的传统资产和稳
定币，而 Group 2 则包括其他所有加密资产，包括加密货币。

对于 Group 1 加密资产，其资本处理通常与其所代表或与之关联的传统资产的当前资本处理方式保持一致。这意味着
Group 1 加密资产的资本要求遵循与其所代表的传统资产相同的规则和方法。

Group 2(a)加密资产是指被衍生品或在受监管交易所上交易的交易所交易基金（ETF）/交易所交易票据（ETN）所引用的资
产，或者这些资产通过受到司法管辖区市场监管机构批准的合格中央对手方进行了清算。对于这些资产，其资本处理遵循
市场风险的一般标准化方法（SA）处理方式。它们被分配到一个独立的风险类别中，在风险桶内和风险桶之间没有多元化
效益。

对于 Group 2(b)中的所有其他加密资产，包括加密货币，其资本要求被设定为该加密资产价值的 1250%。这意味着银行需
要持有相当于其所持有的 Group 2(b)加密资产价值 1250%的资本。换句话说，对于每一美元的 Group 2(b)加密资产，银行
必须持有一美元的资本来应对这些加密资产所涉及的市场和信用风险。

这个框架确保银行根据加密资产的不同类型和特定风险因素（如其基础性质、市场流动性和监管监督）制定了适当的资本
要求，以应对相应的风险。

Implementation Challenges
Implementing standardized methods in the field of cryptoassets faces several challenges. Here are some possible implementation
challenges:

Regulatory Differences: Different countries and regions have varying regulatory methods and regulations for cryptoassets. These
differences may involve compliance requirements for crypto exchanges, Know Your Customer (KYC) regulations, exchange licensing
requirements, and more. Such regulatory disparities can create difficulties in implementing a uniform approach globally.

CCFA JOURNAL OF FINANCE July 2023
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