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巴塞尔委员会对银行加密货币持有提出了很高的资本要求,对稳定币则要求较低

2021-6-11 11:26


今天,巴塞尔银行监管委员会(Basel Committee on Banking Supervision)发布了一份关于加密资产风险暴露的资本要求的咨询意见。它提议加密货币敞口的风险权重为1250%,阻止银行暴露于风险之中。对通证化的传统资产的要求不是那么陡峭,但稳定币的风险权重并不像人们可能期望的那么小。


巴塞尔协议III要求银行根据所承担的风险拨备额外资本。一般来说,风险越高,回报就越高,巴塞尔旨在控制这种风险偏好。


为了让加密货币风险权重数据有个背景,持有美国国债被视为拥有0%的风险权重,而最极端的风险吸引了1250%。


住宅抵押贷款的风险权重通常为50%,公开交易的股票的风险权重为300%。高杠杆投资基金吸引了600%的风险权重。1250%这个数字通常用于逾期未付款的证券交易。或者是一种证券化资产,银行对该资产的索赔权排在最后。


《巴塞尔协议III》相当复杂,上述内容过于简单化。


许多《巴塞尔协议III》(Basel III)规定,特别是针对基金的规定,要求投资者通过基金查看其标的资产。


这提出了一个关于MicroStrategy的有趣观点,这家软件公司已经在比特币上投资了数十亿美元,并刚刚筹集了另一轮债务来投资更多。银行用它作为投资加密货币资产类别的代理,大概是代表客户。对于《巴塞尔协议III》(Basel III)的风险权重,它会被视为基金还是上市公司?

稳定币的风险权重并不小


在今天的报纸上,巴塞尔委员会将加密资产分为两个部分。首先,风险较低的群体是代币化的传统资产,如股票或债券,或稳定币。加密货币属于第二种。


稳定币的风险权重并非微不足道。它是与支持资产相关的风险之和,加上银行向稳定币持有者提供无担保贷款时的风险权重。从银行的角度来看,这似乎使无担保贷款相对更具吸引力,因为贷款的回报可能高于稳定币的回报。


为了吸引更低的风险处理(与加密货币相比),通证化资产必须满足一定的要求。例如,稳定币必须是完全可赎回的,任何参与赎回、转账或结算的组织都必须受到监管。


对于像股票或债券这样的通证化资产,它建议适用传统资产的现有规则,可能会提高任何额外的操作风险。这可能包括无许可区块链与有许可区块链的不同风险。如果代币化版本的流动性不如传统资产,那么也需要额外的风险加权。


巴塞尔委员会正在寻求各方在9月10日前对此次磋商做出回应。

Today the Basel Committee on Banking Supervision published a consultation on capital requirements for crypto asset risk exposures. It proposes a 1250% risk weighting for cryptocurrency exposures, discouraging banks from exposing themselves to the risks. Requirements for tokenized conventional assets are not as steep, but stablecoin risk weightings are not as little as one might expect.

Basel III requires banks to set aside additional capital based on the risks they take. Generally, the higher the risk, the higher the return, and Basel aims to reign in that risk appetite.

To put the crypto risk weighting figure in context, holdings in U.S. Treasuries are treated as having 0% risk weighting and the most extreme risks attract 1250%. 

Residential mortgages typically have a 50% risk weighting and publicly traded equities have a 300% risk weighting. Highly leveraged investment funds attract a 600% risk weighting. The figure of 1250% is usually for securities trades that are very overdue for payment. Or a securitized asset where the bank’s claim on the asset is at the back of the queue. 

Basel III is pretty complex, and the above is an oversimplification.

A lot of Basel III rules, particularly for funds, require one to look through the fund at the underlying asset. 

This raises an interesting point about MicroStrategy, the software firm that has invested billions in Bitcoin and just raised another round of debt to invest even more. Banks have used it as a surrogate to invest in the cryptocurrency asset class, presumably on behalf of clients. For Basel III risk weighting, would it be treated as a fund or a publicly-traded company? 

Stablecoin risk weighting is not that small

In today’s paper, the Basel Committee split cryptoassets into two buckets. The first, lower risk group is for tokenized traditional assets such as stocks or bonds, or a stablecoin. Cryptocurrencies fall into the second group.

The stablecoin risk weighting is not insignificant. It is the sum of the risk associated with the backing asset plus a risk weighting as if a bank had granted an unsecured loan to the stablecoin holder. Looking at it from a bank’s perspective, this seems to make unsecured lending relatively more attractive because the return on that lending is likely to be higher than the stablecoin return.

To attract the lower risk treatment (compared to cryptocurrencies), tokenized assets have to meet certain requirements. For example, stablecoins must be fully redeemable and any organizations involved in redemption, transfers, or settlement must be regulated. 

For tokenized assets such as stocks or bonds, it proposes the existing rules for traditional assets should apply, potentially with an uplift for any additional operating risk. That might include a different risk for a permissionless versus a permissioned blockchain. If a tokenized version is less liquid than a traditional asset, that would also require an additional risk weighting.

The Basel Committee is seeking responses to the consultation by September 10.

来自: Ledger Insights