国际清算银行-DeFi杠杆（英）-2024.3.docx

DeFi1.everageWearegratefulforhelpfulcommentsfromRaphaelAuer,MikeAlonso,AndreaBarbon,AgostinoCapponi,JonanthanChiu,PedroCuadrosSolas,MarcGlowka,Alfred1.ehar,CyrilMonnet,TheoNijman,AndreasSchrimpf,VladSushko,NikolaTarashev,GaneshViSWanaIh-NaI商，ShihaoYu,ArielZetlin-Jones,ShengxingZhang,MariusZoican,andparticipantsattheBankforInternationalSettlementsresearchmeeting,PSEworkshoponcentralclearingandmarketinfrastructures:newchallenges,GerzenseesummerworkshopinMoney,Payments,BankingandFinance,theSwissNationalBankTechnologyandFinanceseminar,INQUIREUKconference,theCEM1.AconferenceandtheEBApolicyresearchworkshop.1.iobaHeimbachacknowledgesthefinancialsupportfromtheINQUIREEuroperesearchgrant.TheviewsareoursandnotnecessarilythoseoftheBankforInternationalSettlements.1.iobaHeimbachETHZurich,hliobaethz.ch.WenqianHuangBankforInternationalSettlements,wenqian.huangbis.org.DeFi1.everageAbstractIndecentralizedfinance(DeFi),lendingprotocolsaregovernedbypredefinedalgorithmsthatfacilitateautomaticloans-allowinguserstotakeonleverage.ThispaperexaminesDeFileverage-i.e.,theasset-to-equityratio-usingwallet-by-walletdataonmajorlendingplatforms.Theoverallleveragetypicallyrangesbetween1.4and1.9,whilethelargestandmostactiveusersconsistentlyexhibithigherleverageincomparisontotherest.1.everageismainlydrivenbyloan-to-valuerequirementsandborrowcost,aswellascryptomarketpricemovementsandsentiments.Higherborrowerleveragegenerallyundermineslendingresilience,particularlyincreasingtheshareofoutstandingdebtclosetobeingliquidated.Borrowerswithhighleveragearemorelikelytotilttowardsvolatilecollateralwhentheirdebtpositionsareabouttobeliquidated.JE1.classification:G12,G23,036KeyWords:1.everage,collateralisedborrowing,decentralisedfinance,automatedalgorithm.1IntroductionDecentralizedfinance(DeFi)haswitnessedameteoricrisesince2020,disruptingtraditionalfinancialservicesbyofferingusersanalternativewayofconductingtransactions.AmongtheplethoraofDeFiprotocols,lendingplatformshaveemergedasacornerstone,facilitatingcollateralisedborrowingactivitiesonaneconomicallysignificantscale(Aramonte,Huang,andSchrimpf,2021;Chiu,Ozdenoren,Yuan,andZhang,2022).Attheirzenith,theseplatformsheldover$35billionindepositsand$25billioninoutstandingdebt,underscoringtheirsignificancewithintheDeFiecosystem(IOSCO,2022;FSB,2023b).Despiteitsimportance,theintricaciesofuserbehaviorandpooldynamicswithinDeFilendingremainlargelyunexplored.Borrowingwithcollateralandtheassociatedleverage,however,arenotnewtopicsintraditionalfinance.Theroleofcollateralandleveragehasbeenthoroughlyinvestigatedingeneralequilibriummodels(Geanakoplos,2001;Geanakoplos,2010),infinancialintermediarytheory(AdrianandShin,2010;AdrianandShin,2014)andinasymmetricinformationproblems(AcharyaandViswanathan,2011),aswellasineventfulmarketssuchastherepurchaseagreements(i.e.,repo)(Infante,2019).However,obtainingdetaileddataonuser-levelleveragehasproventobechallenging,resultinginsporadicempiricalanalyses(withfewexceptionssuchasAng,Gorovyy,andVanInwegen,2011;KahramanandTookes,2017).Thispaperaimstobridgetheseknowledgegapsbyprovidingacomprehensiveanalysisofleveragetakingbehaviorincollateralisedborrowing.Thecontributionofthepaperisthree-fold.Firstly,tothebestofourknowledge,wearethefirsttodocumentindividualDeFiwallets,leverage-whichisdefinedastheasset-to-equityratio(i.e.,theleverageconceptinAdrianandShin(2010)andAdrianandShin(2014).UsinggranulardatafromtheEthereumblockchain,ourpaperprovidesanextensiveexaminationofDeFileverage,elucidatingitsoveralltrends,groupdisparities,anddrivingfactors.Secondly,ouranalysispresentsnewempiricalevidenceonthesystemicriskimpactofhighleverageonDeFilendingplatforms.Inparticular,wefocusonlendingresilienceandstrategicsubstitutionbehaviour,basedonindividualwallets'investmentportfoliodata.1.astbutnotleast,althoughDeFiremainsapredominantlyself-referentialsystem,thelessonsgleanedfromDeFilending-arealworldlaboratory-couldpotentiallyberelevanttounderstandfinancialstabilityconcerns,inparticularinrepoandsecuritieslendingmarketsgiventhesimilaritiestheyshare.Wesystemicallyreviewthesimilarities,aswellasthedistinctions,betweenDeFilendingandtraditionalcollateralisedborrowing,suchasrepo.Themainfindingsconsistofthreeparts.Firstly,weexaminetheoveralltrendsofDeFileverage.Throughoutoursampleperiod(January2021-March2023),theoverallleverageofDeFiusersInthecontextofDcFi,whichispseudo-anonymous,wcuse“wallets”andt4uscrs,interchangeably.Becausewalletsarestandaloneunits,largelyisolatedfromthebroaderbalancesheetoftheentity.rangesfrom1.4to1.9.Thisleveragetracksthemarket-widepricemovementswithanapproximately3-monthlag,probablyreflectingspeculativemotivesincryptotrading(Biais,Bisiere,Bouvard,Casamatta,andMenkveld,2020;Auer,Comelli,Doerr,Frost,andGambacorta,2023).Thisasset-to-equityratiotypeofleverageissignificantlylowerthantheleveragepermittedbytheloan-to-value(1.TV)ratio(i.e.,theleverageconceptinGeanakoplos(2001)andFostelandGeanakoplos(2014),whichrangesfrom3.4to4.8.Userleverageexhibitshe